def orderbook_demo():
import time, random
ITERS = 100000
max_price = 10
ob = OrderBook("FOOBAR", max_price=max_price)
start = time.clock()
for i in range(ITERS):
os.system("clear")
buysell, qty, price, trader = random.choice([0,1]), random.randrange(1,50), \
random.randrange(1,max_price), 'trader %s' % random.randrange(1000)
print "NEW ORDER: %s %s %s @ %s" % (trader, "BUY" if buysell==0 else "SELL", qty, price)
ob.limit_order(buysell, qty, price, trader)
print ob.render()
raw_input()
class Engine:
def __init__(self):
self.orderbook = OrderBook()
self.orderbook.on_event = self.on_event
self.trades = []
self._next_order_id = 0
self.all_orders = {}
def next_order_id(self):
n = self._next_order_id
self._next_order_id += 1
return n
def limit_order(self, side, price, amount):
o = Order(self.next_order_id(), side, price, amount)
self.all_orders[o.id] = o
self.orderbook.limit_order(o)
self.validate()
return o
def cancel_order(self, orderid):
o = self.orderbook.cancel_order(self.all_orders[orderid].price,
orderid)
self.validate()
return o
def on_event(self, name, evt):
if name == 'trade':
self.trades.append(evt)
def validate(self):
book = self.orderbook
assert not book.bids or not book.asks or book.bids.max() < book.asks.min(), \
'bids asks shouldn\'t cross'
assert all(price == self.all_orders[makerid].price
for _, makerid, _, price in self.trades), \
'trade price equals to maker price'
assert all(better_price(price,
self.all_orders[takerid].price,
self.all_orders[takerid].side)
for takerid, _, _, price in self.trades), \
'trade price equal or better than taker price'
assert all(order.price == price
for price, lvl in book.levels.items()
for order in lvl.orders), \
'level price is correct'
assert all(sum(o.size for o in lvl.orders) == lvl.volume
for price, lvl in book.levels.items()), \
'level volume is correct'
def orderbook_demo():
import time, random
ITERS = 100000
max_price = 10
ob = OrderBook("FOOBAR", max_price=max_price)
start = time.clock()
for i in range(ITERS):
os.system("clear")
buysell, qty, price, trader = random.choice([0,1]), random.randrange(1,50), \
random.randrange(1,max_price), 'trader %s' % random.randrange(1000)
print "NEW ORDER: %s %s %s @ %s" % (trader, "BUY" if buysell == 0 else
"SELL", qty, price)
ob.limit_order(buysell, qty, price, trader)
print ob.render()
raw_input()
def bench(n):
book = OrderBook()
length = len(tests)
for i in range(n):
o = tests[i % length]
book.limit_order(Order(o.id, o.side, o.price, o.original_size))
