'side': 'ask',
'qty': np.random.poisson(volume) * lot_size,
'tid': order_id
}
if order['qty'] > 0:
next_orders.append(order)
# Process orders
random.shuffle(next_orders)
for order in next_orders:
x_traded = [initial_price]
y_traded = [0]
order_side = order['side'] if order['type'] == 'market' else ''
# market_order = order['side'] if order['type'] == 'market' else ''
trades, order = lob.processOrder(order, False, False)
total_orders += 1
if order:
# order was created or not fully executed
idNum = order['idNum']
order['time_limit'] = t + np.random.geometric(
float(df[df['price'] == order['price']]['gamma']))
limit_orders.insert(idNum, order)
born_and_dead_history[idNum] = {
'idNum': idNum,
'born': t,
'dead': order['time_limit']
}
if trades:
'qty': 5,
'price': 99,
'tid': 102
},
{
'type': 'limit',
'side': 'bid',
'qty': 5,
'price': 97,
'tid': 103
},
]
# Add orders to LOB
for order in someOrders:
trades, idNum = lob.processOrder(order, False, False)
# The current book may be viewed using a print
print lob
# Submitting a limit order that crosses the opposing best price will
# result in a trade.
crossingLimitOrder = {
'type': 'limit',
'side': 'bid',
'qty': 2,
'price': 102,
'tid': 109
}
trades, orderInBook = lob.processOrder(crossingLimitOrder, False, False)
print "Trade occurs as incoming bid limit crosses best ask.."