indices.append(index)
runtimes.append(value['t'])
inventories.append(value['i'])
rewards.append(value['reward'])
actions.append(value['action'])
state = orderbook.getState(index)
prices.append(state.getBidAskMid())
action_delta = 0.1 * levels[value['action']]
if side == OrderSide.BUY:
order_prices.append(state.getBidAskMid() + action_delta)
else:
order_prices.append(state.getBidAskMid() - action_delta)
times.append(state.getTimestamp())
# price chart
ps = [x.getBidAskMid() for x in orderbook.getStates()]
ts = [x.getTimestamp() for x in orderbook.getStates()]
plt.plot(ts, ps)
# if show_bidask:
max_level = 0
buyer = [x.getBuyers()[max_level].getPrice() for x in orderbook.getStates()]
seller = [x.getSellers()[max_level].getPrice() for x in orderbook.getStates()]
plt.plot(ts, buyer)
plt.plot(ts, seller)
# order placement
#plt.scatter(times, prices, s=60)
plt.scatter(times, order_prices, s=60)
for i, time in enumerate(times):
if i == 0 or i == len(times) - 1:
from orderbook import Orderbook
import numpy as np
import pandas as pd
import os
book = 'query_result_test.tsv'
tmp = 'feature.tsv'
orderbook = Orderbook()
orderbook.loadFromFile(book)
states = orderbook.getStates()
def stateDiff(start, end):
"""Calculate time difference between two states."""
consumed = (end.getTimestamp() - start.getTimestamp()).total_seconds()
return consumed
def getPastState(i, t):
"""Find state at index i - time t."""
endState = states[i]
state = endState
while (stateDiff(state, endState) < t):
i = i - 1
if i < 0:
raise Exception("Not enough states available for diff.")
state = states[i]
return i
def traverse(f, g, default=0.0, t=60):