add tick model

rqalpha/utils/tick.py

@@ -0,0 +1,90 @@
+# -*- coding: utf-8 -*-
+#
+# Copyright 2017 Ricequant, Inc
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#     http://www.apache.org/licenses/LICENSE-2.0
+#
+# 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.
+
+
+class Tick(object):
+    def __init__(self, order_book_id, dt, snapshot):
+        self._order_book_id = order_book_id
+        self._dt = dt
+        self._snapshot = snapshot
+
+    @property
+    def order_book_id(self):
+        return self._order_book_id
+
+    @property
+    def datetime(self):
+        return self._dt
+
+    @property
+    def open(self):
+        return self._snapshot['open']
+
+    @property
+    def last(self):
+        return self._snapshot['last']
+
+    @property
+    def high(self):
+        return self._snapshot['high']
+
+    @property
+    def low(self):
+        return self._snapshot['low']
+
+    @property
+    def prev_close(self):
+        return self._snapshot['prev_close']
+
+    @property
+    def volume(self):
+        return self._snapshot['volume']
+
+    @property
+    def total_turnover(self):
+        return self._snapshot['total_turnover']
+
+    @property
+    def open_interest(self):
+        return self._snapshot['open_interest']
+
+    @property
+    def prev_settlement(self):
+        return self._snapshot['prev_settlement']
+
+    @property
+    def bid(self):
+        return self._snapshot['bid']
+
+    @property
+    def bid_volume(self):
+        return self._snapshot['bid_volume']
+
+    @property
+    def ask(self):
+        return self._snapshot['ask']
+
+    @property
+    def ask_volume(self):
+        return self._snapshot['ask_volume']
+
+    @property
+    def limit_up(self):
+        return self._snapshot['limit_up']
+
+    @property
+    def limit_down(self):
+        return self._snapshot['limit_down']