From 0615b58c9645670ae55a7e4452152f6974f781ae Mon Sep 17 00:00:00 2001
From: "vn.py" <xiaoyou.chen@foxmail.com>
Date: Thu, 21 Dec 2023 14:47:25 +0800
Subject: [PATCH] [Mod] add TickTrade and TickBook object

---
 .flake8               |  2 +-
 CHANGELOG.md          |  7 ++++-
 requirements.txt      |  2 +-
 setup.cfg             |  1 +
 vnpy/trader/event.py  |  3 +++
 vnpy/trader/object.py | 59 +++++++++++++++++++++++++++++++++++++++++++
 6 files changed, 71 insertions(+), 3 deletions(-)

diff --git a/.flake8 b/.flake8
index c8372ee..3801cfa 100644
--- a/.flake8
+++ b/.flake8
@@ -4,4 +4,4 @@ ignore =
     # line too long, fixed by black
     E501,
     # line break before binary operator
-    W503,
+    W503,
\ No newline at end of file
diff --git a/CHANGELOG.md b/CHANGELOG.md
index 257efa4..b481e38 100644
--- a/CHANGELOG.md
+++ b/CHANGELOG.md
@@ -1,3 +1,8 @@
 # 3.9.0
 
-1. First release of VeighNa Crypto
\ No newline at end of file
+## Framework
+
+1. First release of VeighNa Crypto as a fork of the original VeighNa project
+2. Translate core and UI language from Chinese to English
+3. Support only crypto exchanges for the Exchange enum
+4. Remove unnecessary offset converter related data update and functions
diff --git a/requirements.txt b/requirements.txt
index daea6b5..f108268 100644
--- a/requirements.txt
+++ b/requirements.txt
@@ -12,4 +12,4 @@ pyzmq==23.2.1
 plotly==5.10.0
 importlib-metadata==4.12.0
 tqdm==4.64.1
-backports.zoneinfo; python_version < '3.9'
+sortedcontainers==2.4.0
diff --git a/setup.cfg b/setup.cfg
index 907b308..883b35a 100644
--- a/setup.cfg
+++ b/setup.cfg
@@ -49,6 +49,7 @@ install_requires =
     pyzmq
     plotly
     tqdm
+    sortedcontainers
 
 [options.package_data]
 * = *.dll, *.so, *.pyd
diff --git a/vnpy/trader/event.py b/vnpy/trader/event.py
index 3af9cef..d4f1ed9 100644
--- a/vnpy/trader/event.py
+++ b/vnpy/trader/event.py
@@ -12,3 +12,6 @@
 EVENT_QUOTE = "eQuote."
 EVENT_CONTRACT = "eContract."
 EVENT_LOG = "eLog"
+
+EVENT_TICK_BOOK = "eTickBook"
+EVENT_TICK_TRADE = "eTickTrade"
diff --git a/vnpy/trader/object.py b/vnpy/trader/object.py
index f5b9446..7d3315f 100644
--- a/vnpy/trader/object.py
+++ b/vnpy/trader/object.py
@@ -6,8 +6,11 @@
 from datetime import datetime
 from logging import INFO
 
+from sortedcontainers import SortedDict
+
 from .constant import Direction, Exchange, Interval, Offset, Status, Product, OptionType, OrderType
 
+
 ACTIVE_STATUSES = set([Status.SUBMITTING, Status.NOTTRADED, Status.PARTTRADED])
 
 
@@ -421,3 +424,59 @@ def create_quote_data(self, quoteid: str, gateway_name: str) -> QuoteData:
             gateway_name=gateway_name,
         )
         return quote
+
+
+@dataclass
+class TickTrade(BaseData):
+    """
+    Detailed fill data of the market.
+    """
+
+    symbol: str
+    exchange: Exchange
+    price: float
+    volume: int
+    datetime: datetime
+    direction: Direction = None
+
+    def __post_init__(self) -> None:
+        """"""
+        self.vt_symbol: str = f"{self.symbol}.{self.exchange.value}"
+
+
+class TickBook:
+    """Order book with detailed market depth"""
+
+    def __init__(self, vt_symbol: str) -> None:
+        """"""
+        self.vt_symbol: str = vt_symbol
+
+        self.bid_book: SortedDict = SortedDict(lambda i: -i)
+        self.ask_book: SortedDict = SortedDict()
+
+        self.sequence_id: int = 0
+
+    def update_bid(self, price: float, volume: float) -> None:
+        """Update bid data into the book"""
+        if volume:
+            self.bid_book[price] = volume
+        else:
+            self.bid_book.pop(price, None)
+
+    def update_ask(self, price: float, volume: float) -> None:
+        """Update ask data into the book"""
+        if volume:
+            self.ask_book[price] = volume
+        else:
+            self.ask_book.pop(price, None)
+
+    def update_sequence(self, sequence_id: int) -> None:
+        """Update sequence id of order book"""
+        self.sequence_id = sequence_id
+
+    def clear(self) -> None:
+        """Clear all depth data"""
+        self.bid_book.clear()
+        self.ask_book.clear()
+
+        self.sequence_id = 0