class OrderBook(object):
def __init__(self, tick_size = 0.0001):
self.tape = deque(maxlen=None) # Index [0] is most recent trade
self.bids = OrderTree()
self.asks = OrderTree()
self.lastTick = None
self.lastTimestamp = 0
self.tickSize = tick_size
self.time = 0
self.nextQuoteID = 0
def clipPrice(self, price):
""" Clips the price according to the ticksize """
return round(price, int(math.log10(1 / self.tickSize)))
def updateTime(self):
self.time+=1
def processOrder(self, quote, fromData, verbose):
orderType = quote['type']
orderInBook = None
if fromData:
self.time = quote['timestamp']
else:
self.updateTime()
quote['timestamp'] = self.time
if quote['qty'] <= 0:
sys.exit('processLimitOrder() given order of qty <= 0')
if not fromData: self.nextQuoteID += 1
if orderType=='market':
trades = self.processMarketOrder(quote, verbose)
elif orderType=='limit':
quote['price'] = self.clipPrice(quote['price'])
trades, orderInBook = self.processLimitOrder(quote, fromData, verbose)
else:
sys.exit("processOrder() given neither 'market' nor 'limit'")
return trades, orderInBook
def processOrderList(self, side, orderlist,
qtyStillToTrade, quote, verbose):
'''
Takes an order list (stack of orders at one price) and
an incoming order and matches appropriate trades given
the orders quantity.
'''
trades = []
qtyToTrade = qtyStillToTrade
while len(orderlist) > 0 and qtyToTrade > 0:
headOrder = orderlist.getHeadOrder()
tradedPrice = headOrder.price
counterparty = headOrder.tid
if qtyToTrade < headOrder.qty:
tradedQty = qtyToTrade
# Amend book order
newBookQty = headOrder.qty - qtyToTrade
headOrder.updateQty(newBookQty, headOrder.timestamp)
# Incoming done with
qtyToTrade = 0
elif qtyToTrade == headOrder.qty:
tradedQty = qtyToTrade
if side=='bid':
# Hit the bid
self.bids.removeOrderById(headOrder.idNum)
else:
# Lift the ask
self.asks.removeOrderById(headOrder.idNum)
# Incoming done with
qtyToTrade = 0
else:
tradedQty = headOrder.qty
if side=='bid':
# Hit the bid
self.bids.removeOrderById(headOrder.idNum)
else:
# Lift the ask
self.asks.removeOrderById(headOrder.idNum)
# We need to keep eating into volume at this price
qtyToTrade -= tradedQty
if verbose: print('>>> TRADE \nt=%d $%f n=%d p1=%d p2=%d' %
(self.time, tradedPrice, tradedQty,
counterparty, quote['tid']))
transactionRecord = {'timestamp': self.time,
'price': tradedPrice,
'qty': tradedQty,
'time': self.time}
if side == 'bid':
transactionRecord['party1'] = [counterparty,
'bid',
headOrder.idNum]
transactionRecord['party2'] = [quote['tid'],
'ask',
None]
else:
transactionRecord['party1'] = [counterparty,
'ask',
headOrder.idNum]
transactionRecord['party2'] = [quote['tid'],
'bid',
None]
self.tape.append(transactionRecord)
trades.append(transactionRecord)
return qtyToTrade, trades
def processMarketOrder(self, quote, verbose):
trades = []
qtyToTrade = quote['qty']
side = quote['side']
if side == 'bid':
while qtyToTrade > 0 and self.asks:
bestPriceAsks = self.asks.minPriceList()
qtyToTrade, newTrades = self.processOrderList('ask',
bestPriceAsks,
qtyToTrade,
quote, verbose)
trades += newTrades
elif side == 'ask':
while qtyToTrade > 0 and self.bids:
bestPriceBids = self.bids.maxPriceList()
qtyToTrade, newTrades = self.processOrderList('bid',
bestPriceBids,
qtyToTrade,
quote, verbose)
trades += newTrades
else:
sys.exit('processMarketOrder() received neither "bid" nor "ask"')
return trades
def processLimitOrder(self, quote, fromData, verbose):
orderInBook = None
trades = []
qtyToTrade = quote['qty']
side = quote['side']
price = quote['price']
if side == 'bid':
while (self.asks and
price >= self.asks.minPrice() and
qtyToTrade > 0):
bestPriceAsks = self.asks.minPriceList()
qtyToTrade, newTrades = self.processOrderList('ask',
bestPriceAsks,
qtyToTrade,
quote, verbose)
trades += newTrades
# If volume remains, add to book
if qtyToTrade > 0:
if not fromData:
quote['idNum'] = self.nextQuoteID
quote['qty'] = qtyToTrade
self.bids.insertOrder(quote)
orderInBook = quote
elif side == 'ask':
while (self.bids and
price <= self.bids.maxPrice() and
qtyToTrade > 0):
bestPriceBids = self.bids.maxPriceList()
qtyToTrade, newTrades = self.processOrderList('bid',
bestPriceBids,
qtyToTrade,
quote, verbose)
trades += newTrades
# If volume remains, add to book
if qtyToTrade > 0:
if not fromData:
quote['idNum'] = self.nextQuoteID
quote['qty'] = qtyToTrade
self.asks.insertOrder(quote)
orderInBook = quote
else:
sys.exit('processLimitOrder() given neither bid nor ask')
return trades, orderInBook
def cancelOrder(self, side, idNum, time = None):
if time:
self.time = time
else:
self.updateTime()
if side == 'bid':
if self.bids.orderExists(idNum):
self.bids.removeOrderById(idNum)
elif side == 'ask':
if self.asks.orderExists(idNum):
self.asks.removeOrderById(idNum)
else:
sys.exit('cancelOrder() given neither bid nor ask')
def modifyOrder(self, idNum, orderUpdate, time=None):
if time:
self.time = time
else:
self.updateTime()
side = orderUpdate['side']
orderUpdate['idNum'] = idNum
orderUpdate['timestamp'] = self.time
if side == 'bid':
if self.bids.orderExists(orderUpdate['idNum']):
self.bids.updateOrder(orderUpdate)
elif side == 'ask':
if self.asks.orderExists(orderUpdate['idNum']):
self.asks.updateOrder(orderUpdate)
else:
sys.exit('modifyOrder() given neither bid nor ask')
def getVolumeAtPrice(self, side, price):
price = self.clipPrice(price)
if side =='bid':
vol = 0
if self.bids.priceExists(price):
vol = self.bids.getPrice(price).volume
return vol
elif side == 'ask':
vol = 0
if self.asks.priceExists(price):
vol = self.asks.getPrice(price).volume
return vol
else:
sys.exit('getVolumeAtPrice() given neither bid nor ask')
def getBestBid(self):
return self.bids.maxPrice()
def getWorstBid(self):
return self.bids.minPrice()
def getBestAsk(self):
return self.asks.minPrice()
def getWorstAsk(self):
return self.asks.maxPrice()
def tapeDump(self, fname, fmode, tmode):
dumpfile = open(fname, fmode)
for tapeitem in self.tape:
dumpfile.write('%s, %s, %s\n' % (tapeitem['time'],
tapeitem['price'],
tapeitem['qty']))
dumpfile.close()
if tmode == 'wipe':
self.tape = []
def __str__(self):
fileStr = StringIO()
fileStr.write("------ Bids -------\n")
if self.bids != None and len(self.bids) > 0:
for k, v in self.bids.priceTree.items(reverse=True):
fileStr.write('%s' % v)
fileStr.write("\n------ Asks -------\n")
if self.asks != None and len(self.asks) > 0:
for k, v in self.asks.priceTree.items():
fileStr.write('%s' % v)
fileStr.write("\n------ Trades ------\n")
if self.tape != None and len(self.tape) > 0:
num = 0
for entry in self.tape:
if num < 5:
fileStr.write(str(entry['qty']) + " @ " +
str(entry['price']) +
" (" + str(entry['timestamp']) + ")\n")
num += 1
else:
break
fileStr.write("\n")
return fileStr.getvalue()
