Tick stream structure:
{
'type': 'PRICE',
'time': '2018-01-12T20:59:01.706352414Z',
'bids': [
{'price': '13227.9', 'liquidity': 25},
{'price': '13227.8', 'liquidity': 25},
{'price': '13227.7', 'liquidity': 50},
{'price': '13227.5', 'liquidity': 50},
{'price': '13227.3', 'liquidity': 50}],
'instrument': 'DE30_EUR',
'status': 'non-tradeable',
'asks': [
{'price': '13229.8', 'liquidity': 50},
{'price': '13229.9', 'liquidity': 50},
{'price': '13230.1', 'liquidity': 50},
{'price': '13230.3', 'liquidity': 50}],
'closeoutAsk': '13230.3',
'closeoutBid': '13227.3',
'tradeable': False}
is it true?
# Common fields
self.lines.datetime[0] = parse_date(msg['time'])
self.lines.volume[0] = 0.0
self.lines.openinterest[0] = 0.0
# Put the prices into the bar
tick = float(msg['asks'][0]['price']) if self.p.useask else float(msg['bids'][0]['price'])
self.lines.open[0] = tick
self.lines.high[0] = tick
self.lines.low[0] = tick
self.lines.close[0] = tick
self.lines.volume[0] = 0.0
self.lines.openinterest[0] = 0.0