INNER CODE UNIT · Python
on_trade_ticks_message
keanekwa/Optiver-Ready-Trader-Go · ASModel.py:230
def on_trade_ticks_message(self, instrument: int, sequence_number: int, ask_prices: List[int],
ask_volumes: List[int], bid_prices: List[int], bid_volumes: List[int]) -> None:
"""Called periodically when there is trading activity on the market.
The five best ask (i.e. sell) and bid (i.e. buy) prices at which there
has been trading activity are reported along with the aggregated volume
traded at each of those price levels.
If there are less than five prices on a side, then zeros will appear at
the end of both the prices and volumes arrays.
"""
self.logger.info("received trade ticks for instrument %d with sequence number %d", instrument,
sequence_number)