INNER CODE UNIT · Python

qty

crypto-lake/analysis-sharing · lake_to_hftbacktest.py:84

                            qty = cols.iloc[4 + level * 2 + side_idx * 40]
                            side[rns[side_idx]] = [
                                DEPTH_SNAPSHOT_EVENT,
                                cols['origin_time'].value,
                                cols['received_time'].value,
                                side_sign,
                                price,
                                qty,
                            ]
                            rns[side_idx] += 1
                if True:
                    # is_sod_snapshot = False
                    if True: #is_snapshot:
                        # End of the snapshot.
                        # is_snapshot = False

                        # Add DEPTH_CLEAR_EVENT before refreshing the market depth by the snapshot.

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