Fix Polymarket data timestamping

nautechsystems · Sep 27, 2024 · de332c3 · de332c3
1 parent d1664de
commit de332c3
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Showing 3 changed files with 7 additions and 13 deletions.
diff --git a/nautilus_trader/adapters/polymarket/data.py b/nautilus_trader/adapters/polymarket/data.py
@@ -419,13 +419,9 @@ def _handle_quote(
             quote_price = instrument.make_price(float(ws_message.price))
             if ws_message.side == PolymarketOrderSide.BUY:
                 if quote_price < last_quote.bid_price:
-                    # Uncomment for development
-                    # self._log.debug(f"NOT TOB BUY: {quote_price=} {last_quote=}")
                     return  # No top-of-book change
             else:  # SELL
                 if quote_price > last_quote.ask_price:
-                    # Uncomment for development
-                    # self._log.debug(f"NOT TOB SELL: {quote_price=} {last_quote=}")
                     return  # No top-of-book change
 
             quote = ws_message.parse_to_quote_tick(
@@ -439,8 +435,6 @@ def _handle_quote(
                 and quote.bid_size == last_quote.bid_size
                 and quote.ask_size == last_quote.ask_size
             ):
-                # Uncomment for development
-                # self._log.info(f"NO TOB CHANGE: {quote=} {last_quote=}", LogColor.MAGENTA)
                 return  # No top-of-book change
 
             self._last_quotes[instrument.id] = quote

diff --git a/nautilus_trader/adapters/polymarket/schemas/book.py b/nautilus_trader/adapters/polymarket/schemas/book.py
@@ -18,7 +18,7 @@
 import msgspec
 
 from nautilus_trader.adapters.polymarket.common.enums import PolymarketOrderSide
-from nautilus_trader.core.datetime import secs_to_nanos
+from nautilus_trader.core.datetime import millis_to_nanos
 from nautilus_trader.model.data import BookOrder
 from nautilus_trader.model.data import OrderBookDelta
 from nautilus_trader.model.data import OrderBookDeltas
@@ -159,7 +159,7 @@ def parse_to_delta(
             order=order,
             flags=RecordFlag.F_LAST,
             sequence=0,  # N/A
-            ts_event=secs_to_nanos(float(self.timestamp)),
+            ts_event=millis_to_nanos(float(self.timestamp)),
             ts_init=ts_init,
         )
 
@@ -186,7 +186,7 @@ def parse_to_quote_tick(
             ask_price=ask_price,
             bid_size=bid_size,
             ask_size=ask_size,
-            ts_event=secs_to_nanos(float(self.timestamp)),
+            ts_event=millis_to_nanos(float(self.timestamp)),
             ts_init=ts_init,
         )
 
@@ -214,6 +214,6 @@ def parse_to_trade_tick(
             size=instrument.make_qty(float(self.size)),
             aggressor_side=aggressor_side,
             trade_id=TradeId(str(uuid.uuid4())),
-            ts_event=secs_to_nanos(float(self.timestamp)),
+            ts_event=millis_to_nanos(float(self.timestamp)),
             ts_init=ts_init,
         )
diff --git a/tests/integration_tests/adapters/polymarket/test_parsing.py b/tests/integration_tests/adapters/polymarket/test_parsing.py
@@ -111,7 +111,7 @@ def test_parse_order_book_delta() -> None:
     assert delta.order.price == instrument.make_price(0.514)
     assert delta.order.size == instrument.make_qty(21_574.08)
     assert delta.flags == RecordFlag.F_LAST
-    assert delta.ts_event == 18446744073709551615
+    assert delta.ts_event == 1723967931411000064
     assert delta.ts_init == 2
 
 
@@ -142,7 +142,7 @@ def test_parse_quote_tick() -> None:
     assert quote.ask_price == instrument.make_price(0.514)
     assert quote.bid_size == instrument.make_qty(100_000.0)
     assert quote.ask_size == instrument.make_qty(21_574.08)
-    assert quote.ts_event == 18446744073709551615
+    assert quote.ts_event == 1723967931411000064
     assert quote.ts_init == 2
 
 
@@ -169,7 +169,7 @@ def test_parse_trade_tick() -> None:
     assert trade.price == instrument.make_price(0.491)
     assert trade.size == instrument.make_qty(85.36)
     assert trade.aggressor_side == AggressorSide.SELLER
-    assert trade.ts_event == 18446744073709551615
+    assert trade.ts_event == 1724564136087000064
     assert trade.ts_init == 2