def __init__(self):
self.priceTree = RBTree()
self.priceMap = {} # Map from price -> orderList object
self.orderMap = {} # Order ID to Order object
self.volume = 0 # How much volume on this side?
self.nOrders = 0 # How many orders?
self.lobDepth = 0 # How many different prices on lob?
def __init__(self):
self.priceTree = RBTree()
self.priceMap = {} # Map from price -> orderList object
self.orderMap = {} # Order ID to Order object
self.volume = 0 # How much volume on this side?
self.nOrders = 0 # How many orders?
self.lobDepth = 0 # How many different prices on lob?
def shrinkData(filename, symbol, verbose):
symbol = symbol.ljust(6)
try:
if verbose: print "started reading file: {}".format(filename)
reader = open(filename,'r')
except IOError:
sys.exit('Cannot open input file: {}'.format(filename))
else:
if verbose: print "file in memory, opening outfile"
writer = open(filename+'_short','w')
ids = RBTree()
for line in reader:
messageType = line[9]
idNum = line[10:22]
if messageType == 'A':
if line[29:35] == symbol:
ids.insert(idNum, idNum)
writer.write(line)
elif messageType == 'a':
if line[33:39] == symbol:
ids.insert(idNum, idNum)
writer.write(line)
elif messageType == 'E':
if idNum in ids:
writer.write(line)
elif messageType == 'e':
if idNum in ids:
writer.write(line)
elif messageType == 'X':
if idNum in ids:
writer.write(line)
elif messageType == 'x':
if idNum in ids:
writer.write(line)
if verbose: print "done"
reader.close()
writer.close()
# os.chdir('/Users/user/Desktop/BATSCHIX/CXE')
# shrinkData('2013-05-13_EU_pitch', 'DBKd', True)
class OrderTree(object):
def __init__(self):
self.priceTree = RBTree()
self.priceMap = {} # Map from price -> orderList object
self.orderMap = {} # Order ID to Order object
self.volume = 0 # How much volume on this side?
self.nOrders = 0 # How many orders?
self.lobDepth = 0 # How many different prices on lob?
def __len__(self):
return len(self.orderMap)
def getPrice(self, price):
return self.priceMap[price]
def getOrder(self, idNum):
return self.orderMap[idNum]
def createPrice(self, price):
self.lobDepth += 1
newList = OrderList()
self.priceTree.insert(price, newList)
self.priceMap[price] = newList
def removePrice(self, price):
self.lobDepth -= 1
self.priceTree.remove(price)
del self.priceMap[price]
def priceExists(self, price):
return price in self.priceMap
def orderExists(self, idNum):
return idNum in self.orderMap
def insertOrder(self, quote):
if self.orderExists(quote['idNum']):
self.removeOrderById(quote['idNum'])
self.nOrders += 1
if quote['price'] not in self.priceMap:
self.createPrice(quote['price'])
order = Order(quote, self.priceMap[quote['price']])
self.priceMap[order.price].appendOrder(order)
self.orderMap[order.idNum] = order
self.volume += order.qty
def updateOrder(self, orderUpdate):
order = self.orderMap[orderUpdate['idNum']]
originalVolume = order.qty
if orderUpdate['price'] != order.price:
# Price changed
orderList = self.priceMap[order.price]
orderList.removeOrder(order)
if len(orderList) == 0:
self.removePrice(order.price)
self.insertOrder(orderUpdate)
else:
# Quantity changed
order.updateQty(orderUpdate['qty'], orderUpdate['timestamp'])
self.volume += order.qty-originalVolume
def removeOrderById(self, idNum):
self.nOrders -= 1
order = self.orderMap[idNum]
self.volume -= order.qty
order.orderList.removeOrder(order)
if len(order.orderList) == 0:
self.removePrice(order.price)
del self.orderMap[idNum]
def maxPrice(self):
if self.lobDepth > 0:
return self.priceTree.max_key()
else: return None
def minPrice(self):
if self.lobDepth > 0:
return self.priceTree.min_key()
else: return None
def maxPriceList(self):
if self.lobDepth > 0:
return self.getPrice(self.maxPrice())
else: return None
def minPriceList(self):
if self.lobDepth > 0:
return self.getPrice(self.minPrice())
else: return None
class OrderTree(object):
def __init__(self):
self.priceTree = RBTree()
self.priceMap = {} # Map from price -> orderList object
self.orderMap = {} # Order ID to Order object
self.volume = 0 # How much volume on this side?
self.nOrders = 0 # How many orders?
self.lobDepth = 0 # How many different prices on lob?
def __len__(self):
return len(self.orderMap)
def getPrice(self, price):
return self.priceMap[price]
def getOrder(self, idNum):
return self.orderMap[idNum]
def createPrice(self, price):
self.lobDepth += 1
newList = OrderList()
self.priceTree.insert(price, newList)
self.priceMap[price] = newList
def removePrice(self, price):
self.lobDepth -= 1
self.priceTree.remove(price)
del self.priceMap[price]
def priceExists(self, price):
return price in self.priceMap
def orderExists(self, idNum):
return idNum in self.orderMap
def insertOrder(self, quote):
if self.orderExists(quote['idNum']):
self.removeOrderById(quote['idNum'])
self.nOrders += 1
if quote['price'] not in self.priceMap:
self.createPrice(quote['price'])
order = Order(quote, self.priceMap[quote['price']])
self.priceMap[order.price].appendOrder(order)
self.orderMap[order.idNum] = order
self.volume += order.qty
def updateOrder(self, orderUpdate):
order = self.orderMap[orderUpdate['idNum']]
originalVolume = order.qty
if orderUpdate['price'] != order.price:
# Price changed
orderList = self.priceMap[order.price]
orderList.removeOrder(order)
if len(orderList) == 0:
self.removePrice(order.price)
self.insertOrder(orderUpdate)
else:
# Quantity changed
order.updateQty(orderUpdate['qty'], orderUpdate['timestamp'])
self.volume += order.qty - originalVolume
def removeOrderById(self, idNum):
self.nOrders -= 1
order = self.orderMap[idNum]
self.volume -= order.qty
order.orderList.removeOrder(order)
if len(order.orderList) == 0:
self.removePrice(order.price)
del self.orderMap[idNum]
def maxPrice(self):
if self.lobDepth > 0:
return self.priceTree.max_key()
else:
return None
def minPrice(self):
if self.lobDepth > 0:
return self.priceTree.min_key()
else:
return None
def maxPriceList(self):
if self.lobDepth > 0:
return self.getPrice(self.maxPrice())
else:
return None
def minPriceList(self):
if self.lobDepth > 0:
return self.getPrice(self.minPrice())
else:
return None
