def __init__(self, ccy, exchange):
"""
OrderBook constructor
:param ccy: currency symbol
:param exchange: 'coinbase' or 'bitfinex'
"""
self.sym = ccy
self.db = Database(ccy, exchange)
self.bids = CoinbaseBook(ccy, 'bids') if exchange == 'coinbase' else \
BitfinexBook(ccy, 'bids')
self.asks = CoinbaseBook(ccy, 'asks') if exchange == 'coinbase' else \
BitfinexBook(ccy, 'asks')
self.midpoint = float()
self.buy_tracker = TradeTracker()
self.sell_tracker = TradeTracker()
def __init__(self, ccy: str, exchange: str):
"""
OrderBook constructor.
:param ccy: currency symbol
:param exchange: 'coinbase' or 'bitfinex'
"""
self.sym = ccy
self.db = Database(sym=ccy, exchange=exchange)
self.db.init_db_connection()
self.bids = get_orderbook(name=exchange)(sym=ccy, side='bids')
self.asks = get_orderbook(name=exchange)(sym=ccy, side='asks')
self.exchange = exchange
self.midpoint = float()
self.spread = float()
self.buy_tracker = TradeTracker()
self.sell_tracker = TradeTracker()
self.last_tick_time = None
def __init__(self, sym: str, exchange: str):
"""
OrderBook constructor.
:param sym: instrument name
:param exchange: 'coinbase' or 'bitfinex' or 'bitmex'
"""
self.sym = sym
self.db = Database(sym=sym, exchange=exchange)
self.db.init_db_connection()
self.bids = BOOK_BY_EXCHANGE[exchange](sym=sym, side='bids')
self.asks = BOOK_BY_EXCHANGE[exchange](sym=sym, side='asks')
self.exchange = exchange
self.midpoint = float()
self.spread = float()
self.buy_tracker = TradeTracker()
self.sell_tracker = TradeTracker()
self.last_tick_time = None
class OrderBook(ABC):
def __init__(self, ccy, exchange):
"""
OrderBook constructor
:param ccy: currency symbol
:param exchange: 'coinbase' or 'bitfinex'
"""
self.sym = ccy
self.db = Database(ccy, exchange)
self.bids = CoinbaseBook(ccy, 'bids') if exchange == 'coinbase' else \
BitfinexBook(ccy, 'bids')
self.asks = CoinbaseBook(ccy, 'asks') if exchange == 'coinbase' else \
BitfinexBook(ccy, 'asks')
self.midpoint = float()
self.buy_tracker = TradeTracker()
self.sell_tracker = TradeTracker()
def __str__(self):
return '%s || %s' % (self.bids, self.asks)
@abstractmethod
def new_tick(self, msg):
"""
Event handler for incoming tick messages
:param msg: incoming order or trade message
:return:
"""
pass
def clear_trade_trackers(self):
"""
Reset buy and sell trade trackers; used between LOB snapshots
:return: (void)
"""
self.buy_tracker.clear()
self.sell_tracker.clear()
def clear_book(self):
"""
Method to reset the limit order book
:return: (void)
"""
self.bids.clear()
self.asks.clear()
print('--Cleared %s order book--' % self.sym)
# def render_book(self):
# """
# Convert the limit order book into a DataFrame
# :return: pandas dataframe
# """
#
# pd_bids = self.bids.get_bids_to_list()
# pd_asks = self.asks.get_asks_to_list()
#
# return pd.concat([pd_bids, pd_asks], sort=False)
def render_book(self):
"""
Create stationary feature set for limit order book
Source: https://arxiv.org/abs/1810.09965v1
:return: numpy array
"""
bid_price, bid_level = self.bids.get_bid()
ask_price, ask_level = self.asks.get_ask()
self.midpoint = (bid_price + ask_price) / 2.0
bid_data = self.bids.get_bids_to_list(midpoint=self.midpoint)
ask_data = self.asks.get_asks_to_list(midpoint=self.midpoint)
buy_trades = np.array(self.buy_tracker.notional)
sell_trades = np.array(self.sell_tracker.notional)
self.clear_trade_trackers()
if INCLUDE_ORDERFLOW:
bid_distances, bid_notionals, bid_cancel_notionals, bid_limit_notionals, \
bid_market_notionals = bid_data
ask_distances, ask_notionals, ask_cancel_notionals, ask_limit_notionals, \
ask_market_notionals = ask_data
return np.hstack((bid_notionals, ask_notionals, bid_distances,
ask_distances, buy_trades, sell_trades,
bid_cancel_notionals, ask_cancel_notionals,
bid_limit_notionals, ask_limit_notionals,
bid_market_notionals, ask_market_notionals))
else:
bid_distances, bid_notionals = bid_data
ask_distances, ask_notionals = ask_data
return np.hstack((bid_notionals, ask_notionals, bid_distances,
ask_distances, buy_trades, sell_trades))
# def render_book(self):
# """
# Create stationary feature set for limit order book
#
# Source: https://arxiv.org/abs/1810.09965v1
#
# :return: numpy array
# """
# bid_price, bid_level = self.bids.get_bid()
# ask_price, ask_level = self.asks.get_ask()
#
# self.midpoint = (bid_price + ask_price) / 2.0
#
# bids = self.bids.get_bids_to_list(self.midpoint)
# asks = self.asks.get_asks_to_list(self.midpoint)
#
# buy_trades = np.array(self.buy_tracker.notional)
# sell_trades = np.array(self.sell_tracker.notional)
#
# self.clear_trade_trackers()
#
# return np.hstack((bids, asks, buy_trades, sell_trades))
@property
def best_bid(self):
"""
Get the best bid
:return: float best bid
"""
return self.bids.get_bid()
@property
def best_ask(self):
"""
Get the best ask
:return: float best ask
"""
return self.asks.get_ask()
def done_warming_up(self):
"""
Flag to indicate if the entire Limit Order Book has been loaded
:return: True if loaded / False if still waiting to download
"""
return ~self.bids.warming_up & ~self.asks.warming_up
class OrderBook(ABC):
def __init__(self, ccy: str, exchange: str):
"""
OrderBook constructor.
:param ccy: currency symbol
:param exchange: 'coinbase' or 'bitfinex'
"""
self.sym = ccy
self.db = Database(sym=ccy, exchange=exchange)
self.db.init_db_connection()
self.bids = get_orderbook(name=exchange)(sym=ccy, side='bids')
self.asks = get_orderbook(name=exchange)(sym=ccy, side='asks')
self.exchange = exchange
self.midpoint = float()
self.spread = float()
self.buy_tracker = TradeTracker()
self.sell_tracker = TradeTracker()
self.last_tick_time = None
def __str__(self):
return '%s || %s' % (self.bids, self.asks)
@abstractmethod
def new_tick(self, msg: dict) -> bool:
"""
Event handler for incoming tick messages.
:param msg: incoming order or trade message
:return: FALSE if reconnection to WebSocket is needed, else TRUE if good
"""
return True
def clear_trade_trackers(self) -> None:
"""
Reset buy and sell trade trackers; used between LOB snapshots.
:return: (void)
"""
self.buy_tracker.clear()
self.sell_tracker.clear()
def clear_book(self) -> None:
"""
Method to reset the limit order book.
:return: (void)
"""
self.bids.clear() # warming_up flag reset in `Position` class
self.asks.clear() # warming_up flag reset in `Position` class
self.last_tick_time = None
LOGGER.info("{}'s order book cleared.".format(self.sym))
def render_book(self) -> np.ndarray:
"""
Create stationary feature set for limit order book.
:return: LOB feature set
"""
# get price levels of LOB
bid_price, bid_level = self.bids.get_bid()
ask_price, ask_level = self.asks.get_ask()
# derive midpoint price and spread from bid and ask data
self.midpoint = (ask_price + bid_price) / 2.0
self.spread = round(ask_price - bid_price, 4) # round to clean float rounding
# transform raw LOB data into stationary feature set
bid_data = self.bids.get_bids_to_list(midpoint=self.midpoint)
ask_data = self.asks.get_asks_to_list(midpoint=self.midpoint)
# convert buy and sell trade notional values to an array
buy_trades = np.array(self.buy_tracker.notional)
sell_trades = np.array(self.sell_tracker.notional)
# reset trackers after each LOB render
self.clear_trade_trackers()
return np.hstack((self.midpoint, self.spread,
buy_trades, sell_trades,
*bid_data, *ask_data))
@staticmethod
def render_lob_feature_names(include_orderflow: bool = INCLUDE_ORDERFLOW) -> list:
"""
Get the column names for the LOB render features.
:param include_orderflow: if TRUE, order flow imbalance stats are included in set
:return: list containing features names
"""
feature_names = list()
feature_names.append('midpoint')
feature_names.append('spread')
feature_names.append('buys')
feature_names.append('sells')
feature_types = ['distance', 'notional']
if include_orderflow:
feature_types += ['cancel_notional', 'limit_notional', 'market_notional']
for side in ['bid', 'ask']:
for feature in feature_types:
for row in range(MAX_BOOK_ROWS):
feature_names.append("{}_{}_{}".format(side, feature, row))
LOGGER.info("render_feature_names() has {} features".format(len(feature_names)))
return feature_names
@property
def best_bid(self) -> float:
"""
Get the best bid.
:return: float best bid
"""
return self.bids.get_bid()
@property
def best_ask(self) -> float:
"""
Get the best ask.
:return: float best ask
"""
return self.asks.get_ask()
@property
def done_warming_up(self) -> bool:
"""
Flag to indicate if the entire Limit Order Book has been loaded.
:return: True if loaded / False if still waiting to download
"""
return self.bids.warming_up is False & self.asks.warming_up is False