def __call__(self, side = None):
from marketsim.gen._out.side._sell import Sell_ as _side_Sell_
from marketsim.gen._out.order._limit import Limit
side = side if side is not None else _side_Sell_()
price = self.price
volume = self.volume
return Limit(side, price, volume)
def __call__(self, price=None):
from marketsim.gen._out._constant import constant_Float as _constant_Float
from marketsim.gen._out.order._limit import Limit
price = price if price is not None else _constant_Float(100.0)
side = self.side
volume = self.volume
return Limit(side, price, volume)
def __call__(self, side=None, price=None):
from marketsim.gen._out.side._sell import Sell_ as _side_Sell_
from marketsim.gen._out._constant import constant_Float as _constant_Float
from marketsim.gen._out.order._limit import Limit
side = side if side is not None else _side_Sell_()
price = price if price is not None else _constant_Float(100.0)
volume = self.volume
return Limit(side, price, volume)
def Limit(self, price=None, volume=None):
from marketsim.gen._out.order._limit import Limit
return Limit(self, price, volume)
def inner(self, myQueue, side):
"""Called when in some queue a new best order appeared"""
# ordered set of queues on my side
myQueues = self._bests[side.id]
oppositeSide = side.opposite
# ordered set of queues on the opposite side
oppositeQueues = self._bests[oppositeSide.id]
bestOrder = myQueue.best if not myQueue.empty else None
# since the price of the best order changed,
# we remove its queue from the set of all queues
if myQueue in self._oldBests:
try:
p = self._oldBests[myQueue]
myQueues.pop(p)
except Exception:
pass # very strange things...
# if the queue becomes empty
if bestOrder == None:
# just remove it from the set of all queues
if myQueue in self._oldBests:
self._oldBests.pop(myQueue)
else:
# otherwise, update correspondance queue -> signedPrice -> queue
self._oldBests[myQueue] = bestOrder.signedPrice
myQueues[bestOrder.signedPrice] = myQueue
# if there are opposite queues
if len(oppositeQueues) > 0:
# take the best price of the best one
bestOppositeSignedPrice = oppositeQueues.viewkeys()[0]
# and the queue itself
oppositeQueue = oppositeQueues[bestOppositeSignedPrice]
if oppositeQueue.empty or oppositeQueue.best.price != abs(bestOppositeSignedPrice):
# it means that we haven't yet received event that another queue has changed
return
oppositePrice = abs(bestOppositeSignedPrice)
myPrice = bestOrder.price
# is there some sense to trade
if not side.better(oppositePrice, myPrice):
volumeToTrade = min(bestOrder.volumeUnmatched, oppositeQueue.best.volumeUnmatched)
# make two complimentary trades
# for these trades we create limit orders
# since price may change before orders will be processed
# but cancel them immediately in order to avoid storing these limit orders in the book
# this logic is implemented by ImmediateOrCancelOrder
def send(o):
self._send(myQueue.book, o)
from marketsim.gen._out.side._buy import Buy
from marketsim.gen._out.side._sell import Sell
my_side = Buy() if side == Side.Buy else Sell()
opp_side = Buy() if side == Side.Sell else Sell()
from marketsim.gen._out._constant import constant
send(ImmediateOrCancel(
Limit(
opp_side,
constant(myPrice),
constant(volumeToTrade)))())
send(ImmediateOrCancel(
Limit(
my_side,
constant(oppositePrice),
constant(volumeToTrade)))())