def build_order_book_series(self, limit_order_book):
bid_price_columns = list(filter(lambda x: 'BidPrice' in x, self.order_data.columns))
bid_size_columns = list(filter(lambda x: 'BidSize' in x, self.order_data.columns))
ask_price_columns = list(filter(lambda x: 'AskPrice' in x, self.order_data.columns))
ask_size_columns = list(filter(lambda x: 'AskSize' in x, self.order_data.columns))
books = list()
times = self.order_data['Time']
for idx in range(0, len(self.order_data)):
# for each row in the order book data populate bid/ask queues with orders
row = self.order_data.iloc[idx]
ask = Queue()
bid = Queue()
for ask_p, ask_s in zip(ask_price_columns, ask_size_columns):
#limit_order_book.ask_queue.queue.append(Order(row['Time'], OrderType.Submission, 0, row[ask_s], row[ask_p], OrderDirection.Sell))
ask.queue.append(Order(row['Time'], OrderType.Submission, 0, row[ask_s], row[ask_p], OrderDirection.Sell))
for bid_p, bid_s in zip(bid_price_columns, bid_size_columns):
#limit_order_book.bid_queue.queue.append(Order(row['Time'], OrderType.Submission, 0, row[bid_s], row[bid_p], OrderDirection.Buy))
bid.queue.append(Order(row['Time'], OrderType.Submission, 0, row[bid_s], row[bid_p], OrderDirection.Buy))
#bid = Queue()
#ask = Queue()
#bid.queue = limit_order_book.bid_queue.queue.copy()
#ask.queue = limit_order_book.ask_queue.queue.copy()
data_reader_result = DataReaderResult(row['Time'], bid, ask)
books.append(data_reader_result)
return LimitOrderBookSeries(books, times)
class LimitOrderBook:
def __init__(self):
self.bid_queue = Queue()
self.ask_queue = Queue()
def get_bid_price_size(self):
size = 0
for order in self.bid_queue.queue:
size += order.size
return size
def get_ask_price_size(self):
size = 0
for order in self.ask_queue.queue:
size += order.size
return size
def get_best_bid(self):
return self.bid_queue.get_top()
def get_best_ask(self):
return self.ask_queue.get_top()
class NestedQueue:
def __init__(self):
self.queue = Queue()
def enqueue(self, item):
if self.queue.size() == 0:
self.queue.enqueue(item)
return
for price_queue in self.queue.queue:
if price_queue.price == item.price:
self.queue.enqueue(item)
return
self.queue.enqueue(item)
return
def dequeue(self, item):
for price_queue in self.queue.queue:
if price_queue.price == item.price:
price_queue.dequeue(item)
if len(price_queue.queue) == 0:
self.queue.dequeue(price_queue)
return
return
def generate_books_from_message_data(self, limit_order_book):
books = list()
time_series_idx = list()
if len(limit_order_book.ask_queue.queue) == 0 and len(limit_order_book.bid_queue.queue) ==0:
self.update_empty_order_book(limit_order_book)
for order in self.messages:
if order.direction == OrderDirection.Buy:
if order.order_type == OrderType.Submission:
limit_order_book.bid_queue.enqueue(order)
else:
limit_order_book.bid_queue.dequeue(order)
else:
if order.order_type == OrderType.Submission:
limit_order_book.ask_queue.enqueue(order)
else:
limit_order_book.ask_queue.dequeue(order)
time = order.submission_time
bid = Queue()
ask = Queue()
bid.queue = [val for val in limit_order_book.bid_queue.queue]
ask.queue = [val for val in limit_order_book.ask_queue.queue]
data_reader_result = DataReaderResult(time, bid, ask)
time_series_idx.append(time)
books.append(data_reader_result)
return LimitOrderBookSeries(books, time_series_idx)
def __init__(self):
self.queue = Queue()
def __init__(self):
self.bid_queue = Queue()
self.ask_queue = Queue()