WIP, Implement cryptofeed adapter for Upbit exchange

nautilus_trader/adapters/upbit/__init__.pxd

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+# -------------------------------------------------------------------------------------------------
+#  Copyright (C) 2015-2021 Nautech Systems Pty Ltd. All rights reserved.
+#  https://nautechsystems.io
+#
+#  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
+#  You may not use this file except in compliance with the License.
+#  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
+#
+#  Unless required by applicable law or agreed to in writing, software
+#  distributed under the License is distributed on an "AS IS" BASIS,
+#  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#  See the License for the specific language governing permissions and
+#  limitations under the License.
+# -------------------------------------------------------------------------------------------------

nautilus_trader/adapters/upbit/data.pxd

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+# -------------------------------------------------------------------------------------------------
+#  Copyright (C) 2015-2021 Nautech Systems Pty Ltd. All rights reserved.
+#  https://nautechsystems.io
+#
+#  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
+#  You may not use this file except in compliance with the License.
+#  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
+#
+#  Unless required by applicable law or agreed to in writing, software
+#  distributed under the License is distributed on an "AS IS" BASIS,
+#  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#  See the License for the specific language governing permissions and
+#  limitations under the License.
+# -------------------------------------------------------------------------------------------------
+
+from libc.stdint cimport int64_t
+
+from nautilus_trader.adapters.upbit.providers cimport UpbitInstrumentProvider
+from nautilus_trader.live.data_client cimport LiveMarketDataClient
+from nautilus_trader.model.bar cimport Bar
+from nautilus_trader.model.bar cimport BarSpecification
+from nautilus_trader.model.bar cimport BarType
+from nautilus_trader.model.identifiers cimport InstrumentId
+from nautilus_trader.model.instrument cimport Instrument
+from nautilus_trader.model.tick cimport TradeTick
+
+
+cdef class UpbitDataClient(LiveMarketDataClient):
+    cdef object _client
+    cdef UpbitInstrumentProvider _instrument_provider
+
+    cdef object _subscriber
+
+    cdef set _subscribed_instruments
+    cdef dict _subscribed_order_books
+    cdef dict _subscribed_quote_ticks
+    cdef dict _subscribed_trade_ticks
+    cdef dict _subscribed_bars
+
+    cdef dict _market_id_to_instrument
+
+    cdef object _handle_messages_task
+
+    cdef object _update_instruments_task
+
+    cdef inline void _log_ccxt_error(self, ex, str method_name) except *
+    cdef inline int64_t _ccxt_to_timestamp_ns(self, int64_t millis) except *
+    cdef inline void _on_bar(
+        self,
+        BarType bar_type,
+        double open_price,
+        double high_price,
+        double low_price,
+        double close_price,
+        double volume,
+        int64_t timestamp_ns,
+        int price_precision,
+        int size_precision,
+    ) except *
+    cdef inline TradeTick _parse_trade_tick(
+        self,
+        InstrumentId instrument_id,
+        dict trade,
+        int price_precision,
+        int size_precision,
+    )
+    cdef inline Bar _parse_bar(
+        self,
+        BarType bar_type,
+        list values,
+        int price_precision,
+        int size_precision,
+    )
+    cdef str _make_timeframe(self, BarSpecification bar_spec)
+    cdef str _convert_instrument_to_market_id(self, Instrument instrument)
+    cdef str _make_order_book_topic(self, str market_id)
+    cdef str _make_trade_tick_topic(self, str market_id)