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@@ -2,8 +2,6 @@ import threading
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import websocket
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import json
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import pandas as pd
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-import numpy as np
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-import time
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import warnings
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import logging
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import colorlog
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@@ -41,10 +39,11 @@ previous_order_book = None
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fill_probabilities = {}
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order_disappearances = {}
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order_executions = {}
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+last_trade_price = None
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def on_message_trade(_ws, message):
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- global df_trades, order_executions
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+ global df_trades, order_executions, last_trade_price
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json_message = json.loads(message)
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trade = {
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'price': float(json_message['p']),
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@@ -57,6 +56,7 @@ def on_message_trade(_ws, message):
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# 记录每个价格的实际成交总量
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price = trade['price']
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+ last_trade_price = price
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if price not in order_executions:
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order_executions[price] = 0
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order_executions[price] += trade['qty']
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