def __init__(self, tickSize=1, _digitsToShow = None, label="", timeseries = [],
marketOrderFee = None, # optional function (order, book)-> price to calculate fee for a market order
limitOrderFee = None,
cancelOrderFee = None):
""" Initializes empty order book with given tick size
"""
BookBase.__init__(self,
Bids(tickSize, self),
Asks(tickSize, self),
label, timeseries)
self._digitsToShow = _digitsToShow
if self._digitsToShow is None:
nDigits = 0
d = 1.
while tickSize * d < 1:
nDigits += 1
d *= 10
self._digitsToShow = nDigits
self._tickSize = tickSize
self._marketOrderFee = marketOrderFee
self._limitOrderFee = limitOrderFee
self._cancelOrderFee = cancelOrderFee
def __init__(self, orderbook, link):
BookBase.__init__(self, # TODO: dependency tracking
Queue(orderbook.bids, self, link.down),
Queue(orderbook.asks, self, link.down),
orderbook.label)
self.link = link
self._book = orderbook
self._digitsToShow = self._book._digitsToShow