class CmeImpliedBookStream(BookStream):
"""
This extends the BookStream iteration to support CME trade throughs. The
class tracks both books and trades. If the timestamp of the next trade is
before the timestamp of the next book, it implies a book from the current
book by pulling out the trade quantities.
One aspect of the way this works with iteration is, if the the trade does
not improve the book, where improve means trade at the top price or
better, then the current book is returned *again*.
"""
def __init__(self, date, symbol):
BookStream.__init__(self, date, symbol)
self.__trade_ds = filter(lambda n: n._v_name == symbol, self.input_file.root)[0].trades
self.__trade_count = self.__trade_ds.nrows
self.__trade_index = 0
self.__trade = None
if self.__trade_count > 0:
self.__next_trade = self.__trade_ds[self.__trade_index]
else:
self.__next_trade = None
self.__implied_book = None
self.__logged_original = False
def peek_trade(self):
if self.__trade_index < self.__trade_count:
return self.__trade_ds[self.__trade_index]
return None
def next(self):
next_trade = self.peek_trade()
next_book = self.peek_book()
current_book = self._current_book
# If next trade timestamp is ahead of book timestamp, imply a book
if next_trade and next_book and next_trade["seqnum"] <= next_book["seqnum"]:
self.__trade_index += 1
trade_price = next_trade["price"]
# See if this trade_price improves the book and if so make/use implied book
improvement = current_book.trade_improves_top(trade_price)
if improvement:
side = improvement[0]
improve_amount = improvement[1]
trade_qty = next_trade["quantity"]
# Use timestamp/seqnum of trade to push InMemoryBook forward
timestamp = next_trade["timestamp"]
timestamp_s = next_trade["timestamp_s"]
seqnum = next_trade["seqnum"]
# Track how much of the book has been eaten at each price
if not self.__implied_book:
self.__implied_book = InMemoryBook(current_book.book())
if False and improve_amount > 0:
if not self.__logged_original:
print "------------------------------------------------------"
print "Original Book", current_book
self.__logged_original = True
print "Trade %s (%s @ %s) improves %s" % (seqnum, next_trade[1], next_trade[0], improvement)
# iterate over the implied book and draw down existing quantities
if side == "B":
for i, bid in enumerate(self.__implied_book["bid"]):
if bid[0] == trade_price:
if bid[1] > trade_qty:
self.__implied_book.move_bid_down(i)
self.__implied_book.reduce_top_bid_qty(trade_qty)
else:
self.__implied_book.move_bid_down(i + 1)
self.__implied_book.advance_timestamp(timestamp, timestamp_s, seqnum)
break
elif bid[0] < trade_price:
self.__implied_book.move_bid_down(i)
self.__implied_book.advance_timestamp(timestamp, timestamp_s, seqnum)
break
if False and improve_amount > 0:
print "Bid Improved Implied\n", Book(self.__implied_book)
else:
assert side == "A"
for i, ask in enumerate(self.__implied_book["ask"]):
if ask[0] == trade_price:
if ask[1] > trade_qty:
self.__implied_book.move_ask_up(i)
self.__implied_book.reduce_top_ask_qty(trade_qty)
else:
self.__implied_book.move_ask_up(i + 1)
self.__implied_book.advance_timestamp(timestamp, timestamp_s, seqnum)
break
elif ask[0] > trade_price:
self.__implied_book.move_ask_up(i)
self.__implied_book.advance_timestamp(timestamp, timestamp_s, seqnum)
break
if False and improve_amount > 0:
print "Ask Improved Implied\n", Book(self.__implied_book)
return self.__implied_book
else:
# Recurse to advance to next
return self.next()
else:
# As soon as we get here we have book update, clear any implied data
result = BookStream.next(self)
if self.__implied_book:
self.__implied_book = None
if False and self.__logged_original:
self.__logged_original = False
print "Next Book After Trade Through", result
return result
def next(self):
next_trade = self.peek_trade()
next_book = self.peek_book()
current_book = self._current_book
# If next trade timestamp is ahead of book timestamp, imply a book
if next_trade and next_book and next_trade["seqnum"] <= next_book["seqnum"]:
self.__trade_index += 1
trade_price = next_trade["price"]
# See if this trade_price improves the book and if so make/use implied book
improvement = current_book.trade_improves_top(trade_price)
if improvement:
side = improvement[0]
improve_amount = improvement[1]
trade_qty = next_trade["quantity"]
# Use timestamp/seqnum of trade to push InMemoryBook forward
timestamp = next_trade["timestamp"]
timestamp_s = next_trade["timestamp_s"]
seqnum = next_trade["seqnum"]
# Track how much of the book has been eaten at each price
if not self.__implied_book:
self.__implied_book = InMemoryBook(current_book.book())
if False and improve_amount > 0:
if not self.__logged_original:
print "------------------------------------------------------"
print "Original Book", current_book
self.__logged_original = True
print "Trade %s (%s @ %s) improves %s" % (seqnum, next_trade[1], next_trade[0], improvement)
# iterate over the implied book and draw down existing quantities
if side == "B":
for i, bid in enumerate(self.__implied_book["bid"]):
if bid[0] == trade_price:
if bid[1] > trade_qty:
self.__implied_book.move_bid_down(i)
self.__implied_book.reduce_top_bid_qty(trade_qty)
else:
self.__implied_book.move_bid_down(i + 1)
self.__implied_book.advance_timestamp(timestamp, timestamp_s, seqnum)
break
elif bid[0] < trade_price:
self.__implied_book.move_bid_down(i)
self.__implied_book.advance_timestamp(timestamp, timestamp_s, seqnum)
break
if False and improve_amount > 0:
print "Bid Improved Implied\n", Book(self.__implied_book)
else:
assert side == "A"
for i, ask in enumerate(self.__implied_book["ask"]):
if ask[0] == trade_price:
if ask[1] > trade_qty:
self.__implied_book.move_ask_up(i)
self.__implied_book.reduce_top_ask_qty(trade_qty)
else:
self.__implied_book.move_ask_up(i + 1)
self.__implied_book.advance_timestamp(timestamp, timestamp_s, seqnum)
break
elif ask[0] > trade_price:
self.__implied_book.move_ask_up(i)
self.__implied_book.advance_timestamp(timestamp, timestamp_s, seqnum)
break
if False and improve_amount > 0:
print "Ask Improved Implied\n", Book(self.__implied_book)
return self.__implied_book
else:
# Recurse to advance to next
return self.next()
else:
# As soon as we get here we have book update, clear any implied data
result = BookStream.next(self)
if self.__implied_book:
self.__implied_book = None
if False and self.__logged_original:
self.__logged_original = False
print "Next Book After Trade Through", result
return result