def get_last_price(last_price, trades):
return trades[len(trades) -
1]['price'] if len(trades) > 0 else last_price
def get_traded_volume(trades):
return sum([trade['qty'] for trade in trades] + [0])
# Loop
for t in range(max_iterations):
traded_volume = 0
next_orders = []
# Limit order cancellations
for idNum, order in limit_orders.items():
if t >= order['time_limit']:
lob.cancelOrder(order['side'], idNum)
limit_orders.remove(idNum)
# Limit order arrivals
df['orders'] = df['lambda'].apply(lambda x: np.random.poisson(x))
for idx, row in df.iterrows():
for i in range(int(row['orders'])):
if row['price'] < ask:
side = 'bid'
order_id = order_id + 1
order = {
'type': 'limit',
'side': side,
'qty': np.random.poisson(row['volume']) * lot_size,
'price': row['price'],
print "Large incoming bid limit crosses best ask.\
Remaining volume is placed in the book.."
print lob
############# Market Orders ##############
# Market orders only require that the user specifies a side (bid
# or ask), a quantity and their unique tid.
marketOrder = {'type': 'market', 'side': 'ask', 'qty': 40, 'tid': 111}
trades, idNum = lob.processOrder(marketOrder, False, False)
print "A limit order takes the specified volume from the\
inside of the book, regardless of price"
print "A market ask for 40 results in.."
print lob
############ Cancelling Orders #############
# Order can be cancelled simply by submitting an order idNum and a side
print "cancelling bid for 5 @ 97.."
lob.cancelOrder('bid', 8)
print lob
########### Modifying Orders #############
# Orders can be modified by submitting a new order with an old idNum
lob.modifyOrder(5, {'side': 'bid', 'qty': 14, 'price': 99, 'tid': 100})
print "book after modify..."
print lob