[EN-1454] TimeNanos column renamed

Author: iamishalkin

dxfeed/core/listeners/listener.pyx

@@ -14,7 +14,7 @@ cdef class FuncWrapper:
 
 
 TRADE_COLUMNS = ['Symbol', 'Sequence', 'Price', 'ExchangeCode', 'Size', 'Tick', 'Change', 'DayVolume',
-                 'DayTurnover', 'Direction', 'Time', 'Nanos', 'RawFlags', 'IsETH', 'Scope']
+                 'DayTurnover', 'Direction', 'Time', 'TimeNanos', 'RawFlags', 'IsETH', 'Scope']
 cdef void trade_default_listener(int event_type,
                                  dxf_const_string_t symbol_name,
                                  const dxf_event_data_t*data,
@@ -41,8 +41,8 @@ cdef void trade_default_listener(int event_type,
                                                    trades[i].is_eth,
                                                    trades[i].scope])
 
-QUOTE_COLUMNS = ['Symbol', 'Sequence', 'Time', 'Nanos', 'BidTime', 'BidExchangeCode', 'BidPrice', 'BidSize', 'AskTime',
-                 'AskExchangeCode', 'AskPrice', 'AskSize', 'Scope']
+QUOTE_COLUMNS = ['Symbol', 'Sequence', 'Time', 'TimeNanos', 'BidTime', 'BidExchangeCode', 'BidPrice', 'BidSize',
+                 'AskTime', 'AskExchangeCode', 'AskPrice', 'AskSize', 'Scope']
 cdef void quote_default_listener(int event_type,
                                  dxf_const_string_t symbol_name,
                                  const dxf_event_data_t*data,
@@ -186,7 +186,7 @@ cdef void candle_default_listener(int event_type,
                                                    candle[i].open_interest,
                                                    candle[i].imp_volatility])
 
-ORDER_COLUMNS = ['Symbol', 'EventFlags', 'Index', 'Time', 'Nanos', 'Sequence', 'Price', 'Size', 'Count', 'Scope',
+ORDER_COLUMNS = ['Symbol', 'EventFlags', 'Index', 'Time', 'TimeNanos', 'Sequence', 'Price', 'Size', 'Count', 'Scope',
                  'Side', 'ExchangeCode', 'Source', 'MarketMaker', 'SpreadSymbol']
 cdef void order_default_listener(int event_type,
                                  dxf_const_string_t symbol_name,

dxfeed/core/utils/handler.pyx

@@ -2,6 +2,7 @@ from warnings import warn
 from dxfeed.core.utils.data_class import DequeWithLock as deque_wl
 import pandas as pd
 from typing import Iterable
+from dateutil.relativedelta import relativedelta
 
 
 cdef class EventHandler:
@@ -102,7 +103,10 @@ cdef class DefaultHandler(EventHandler):
 
 
         df = pd.DataFrame(df_data, columns=self.columns)
-        time_columns = df.columns[df.columns.str.contains('Time')]
+        time_columns = df.columns[df.columns.str.contains('Time')].tolist()
+        nanos = time_columns.pop(time_columns.index('TimeNanos')) if 'TimeNanos' in time_columns else None
         for column in time_columns:
-            df.loc[:, column] = df.loc[:, column].astype('<M8[ms]')
+            df.loc[:, column] = df.loc[:, column].astype('M8[ms]')
+        if nanos and 'Time' in time_columns:
+            df.loc[:, 'Time'] += df.loc[:, nanos].values.astype('timedelta64[ns]')
         return df