class Gateway():
""" Creates an empty Python Matching Engine (market simulator) and injects
real historical orders to it creating the real orderbooks and trades
that happened in that market session. It also allows you to send
your own orders to make them interact (i.e. cross) with the historical
orderbooks that were present that day. The orders you send to the market
through this Gateway will also experience latency as they
would in real life.
The Gateway allows us to run a synchronous simulation of the interaction
of your algorithm with a Python Matching Engine (market simulator)
that will be injected with real life historical orders of a
past market session while taking into account the effect
of this latency.
For example, when your algorithm receives a new market best bid price,
actually this price happened "md_latency" microseconds in the past,
the time it took to reach your algorithm. Your algo will take "algo_latency"
microseconds to make a decission and send a message (new/cancel/modif),
and finally, this message will take "mkt_latency" microseconds to reach
the market because of the physical distance and the different systems
it needs to cross through before reaching the market.
The total latency will be:
latency = md_latency + algo_latency + mkt_latency
When you send messages to a market through this Gateway,
your messages will reach the market "latency" microseconds
after the time of the last historical order that reached the market
and that produced the last market data update upon which your
algo made its last decission.
Args:
ticker (str): symbol of the shares
year (int): year
month (int): month
day (int): day
latency (int): mean latency in microseconds that we expect
our orders to have in real life when sent
to the market (market data one way
+ algo decission time
+ market access one way)
"""
def __init__(self, ticker, year, month, day, latency):
self.ticker = ticker
self.year = year
self.month = month
self.day = day
self.latency = latency
self.my_queue = deque()
self.mkt_idx = 0
self.mkt = Market(ticker=ticker)
date = f'{year}-{month}-{day}'
self.mkt.date = ticker, date
self.OrdTuple = namedtuple('Order',
'ordtype uid is_buy qty price timestamp')
self.my_last_uid = 0
# book positions (bid+ask) available in historical data
BOOK_POS = 20
# load historical orders from csv file
session = f'./data/orders-{ticker}-{date}.csv'
csv = pd.read_csv(session, sep=';', float_precision='round_trip')
csv['timestamp'] = pd.to_datetime(csv['timestamp'])
# We will be working with ndarrays instead of DataFrames for speed
self.hist_orders = csv.values
self.mkt_nord = csv.shape[0]
# we store index positions of columns for array indexing
columns = csv.columns
self.col_idx = {}
for col_name in csv.columns:
self.col_idx.update({col_name:np.argmax(columns==col_name)})
# send first 20 orders that will compose first market snapshot
# this is the real orderbook that was present when the market opened
# right after the opening auction
for ord_idx in range(BOOK_POS):
self._send_to_market(self.hist_orders[ord_idx], is_mine=False)
self.mkt_idx = BOOK_POS - 1
self.mkt_time = self.hist_orders[BOOK_POS-1][self.col_idx['timestamp']]
def _send_to_market(self, order, is_mine):
""" Send an order/modif/cancel to the market
Args:
order (ndarray): order to be sent
is_mine (bool): False if historical, True if user sent
"""
ord_type = order[self.col_idx['ordtype']]
if ord_type == "new":
self.mkt.send(is_buy=order[self.col_idx['is_buy']],
qty=order[self.col_idx['qty']],
price=order[self.col_idx['price']],
uid=order[self.col_idx['uid']],
is_mine=is_mine,
timestamp=order[self.col_idx['timestamp']])
elif ord_type == "cancel":
self.mkt.cancel(uid=order[self.col_idx['uid']])
elif ord_type == "modif":
self.mkt.modif(uid=order[self.col_idx['uid']],
new_qty=order[self.col_idx['qty']])
else:
raise ValueError(f'Unexpected ordtype: {ord_type}')
def move_n_seconds(self, n_seconds):
"""
"""
stop_time = self.mkt_time + timedelta(0, n_seconds)
while (self.mkt_time<=stop_time):
self.tick()
self.mkt_time = stop_time
def _send_historical_order(self, mktorder):
self.mkt_idx += 1
self._send_to_market(mktorder, is_mine=False)
self.mkt_time = mktorder[self.col_idx['timestamp']]
def move_until(self, stop_time):
"""
Params:
stop_time (datetime):
"""
while (self.mkt_time <= stop_time):
mktorder = self.hist_orders[self.mkt_idx+1]
self._send_historical_order(mktorder)
def tick(self):
""" Move the market forward one tick (process next order)
If the user has messages (new/cancel/modif) queued, it will
decide whether to send a user or historical order based on
their theoretical arrival time (timestamp)
"""
# next historical order to be sent
mktorder = self.hist_orders[self.mkt_idx+1]
# if I have queued orders
if self.my_queue:
# if my order reaches the market before the next historical order
if self.my_queue[0].timestamp < mktorder[self.col_idx['timestamp']]:
my_order = self.my_queue.popleft()
self._send_to_market(my_order, is_mine=True)
self.mkt_time = my_order[self.col_idx['timestamp']]
return
# otherwise sent next historical order
self._send_historical_order(mktorder)
def queue_my_new(self, is_buy, qty, price):
""" Queue a user new order to be sent to the market when time is due
Args:
is_buy (bool): True for buy orders
qty (int): quantity or volume
price (float): limit price of the order
Reuturns:
An int indicating the uid that the market will assign to
it when it is introudced.
NOTES: as the order is queued by this function, its uid does
not exist yet in the market. It will not exist until
the time is due and the order reaches the market. Requesting
the status of this uid will therefore raise a KeyError
meanwhile.
Uids of user orders will be negative, this
way we ensure no collisions with historical positive uids and
have an easy way to know if an order is ours
"""
self.my_last_uid -= 1
message = self.OrdTuple(ordtype="new",
uid=self.my_last_uid,
is_buy=is_buy,
qty=qty,
price=price,
timestamp=self._arrival_time())
self.my_queue.append(message)
return self.my_last_uid
def queue_my_modif(self, uid, new_qty):
""" Modify an order identified by its uid without loosing priority.
Modifications can only downsize the volume.
If you attempt to increase the volume, the
modification message will do nothing. Downsizing volume will
mantain your price-time priority in the market. If you want to
increase volume or change price, you need to cancel your previous
order and send a new one.
Args:
uid (int): uid of our order to be modified
new_qty(int): new quantity. Only downsizing allowed.
"""
message = self.OrdTuple(ordtype="modif",
uid=uid,
is_buy=np.nan,
qty=new_qty,
price=np.nan,
timestamp=self._arrival_time())
self.my_queue.append(message)
def queue_my_cancel(self, uid):
""" Cancel an order by its uid
"""
message = self.OrdTuple(ordtype="cancel",
uid=uid,
is_buy=np.nan,
qty=np.nan,
price=np.nan,
timestamp=self._arrival_time())
self.my_queue.append(message)
def ord_status(self, uid):
""" Returns the current mkt status of an order identified by its uid.
Args:
uid (int): unique order identifier
NOTE: when an order is queued, its uid does not exist yet in the
market since it did not arrive there yet. Calling this function
on a uid that is queued by not yet in the market will raise a
KeyError exception that will have to be handled.
"""
# TODO: use ticker to select market orderbook
return self.mkt.get(uid)
def _arrival_time(self):
""" Returns the estimated time of arrival of an order
"""
return self.mkt_time + timedelta(0, 0, self.latency)
def plot(self):
trades = pd.DataFrame(self.mkt.trades)
@author: fmerlos """ from market.market import Market # initialize an empty market book for Santander shares (san) mkt = Market(ticker='san') # Not all prices are allowed. Check MiFID II tick-size regime # Move n ticks from one price mkt.get_new_price(price=10, n_moves=1) mkt.get_new_price(price=10, n_moves=-1) # fill with different passive orders mkt.send(uid=-1, is_buy=True, qty=100, price=10.) mkt.send(uid=-2, is_buy=True, qty=80, price=10.) mkt.send(uid=-3, is_buy=True, qty=90, price=10.) mkt.send(uid=-4, is_buy=True, qty=70, price=mkt.get_new_price(10., -1)) mkt.send(uid=-5, is_buy=False, qty=60, price=mkt.get_new_price(10., 2)) mkt.send(uid=-6, is_buy=False, qty=30, price=mkt.get_new_price(10., 1)) mkt.send(uid=-7, is_buy=False, qty=50, price=mkt.get_new_price(10., 1)) # Show current market orderbook print(mkt) # Show book dictionary of LevelPrices mkt._bids.book mkt._asks.book # Get best bid