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.last_tick = None
self.last_timestamp = 0
self.tick_size = tick_size
self.time = 0
self.next_order_id = 0
def clip_price(self, price):
'''Clips the price according to the tick size. May not make sense if not
a currency'''
return round(price, int(math.log10(1 / self.tick_size)))
def update_time(self):
self.time += 1
def process_order(self, quote, from_data, verbose):
order_type = quote['type']
order_in_book = None
if from_data:
self.time = quote['timestamp']
else:
self.update_time()
quote['timestamp'] = self.time
if quote['quantity'] <= 0:
sys.exit('process_order() given order of quantity <= 0')
if not from_data:
self.next_order_id += 1
if order_type == 'market':
trades = self.process_market_order(quote, verbose)
elif order_type == 'limit':
quote['price'] = self.clip_price(quote['price'])
trades, order_in_book = self.process_limit_order(
quote, from_data, verbose)
else:
sys.exit(
"order_type for process_order() is neither 'market' or 'limit'"
)
return trades, order_in_book
def process_order_list(self, side, order_list, quantity_still_to_trade,
quote, verbose):
'''
Takes an OrderList (stack of orders at one price) and an incoming order and matches
appropriate trades given the order's quantity.
'''
trades = []
quantity_to_trade = quantity_still_to_trade
while len(order_list) > 0 and quantity_to_trade > 0:
head_order = order_list.get_head_order()
traded_price = head_order.price
counter_party = head_order.trade_id
if quantity_to_trade < head_order.quantity:
traded_quantity = quantity_to_trade
# Do the transaction
new_book_quantity = head_order.quantity - quantity_to_trade
head_order.update_quantity(new_book_quantity,
head_order.timestamp)
quantity_to_trade = 0
elif quantity_to_trade == head_order.quantity:
traded_quantity = quantity_to_trade
if side == 'bid':
self.bids.remove_order_by_id(head_order.order_id)
else:
self.asks.remove_order_by_id(head_order.order_id)
quantity_to_trade = 0
else: # quantity to trade is larger than the head order
traded_quantity = head_order.quantity
if side == 'bid':
self.bids.remove_order_by_id(head_order.order_id)
else:
self.asks.remove_order_by_id(head_order.order_id)
quantity_to_trade -= traded_quantity
if verbose:
print(
"TRADE: Time - %d, Price - %f, Quantity - %d, TradeID - %d, Matching TradeID - %d"
% (self.time, traded_price, traded_quantity, counter_party,
quote['trade_id']))
transaction_record = {
'timestamp': self.time,
'price': traded_price,
'quantity': traded_quantity,
'time': self.time
}
if side == 'bid':
transaction_record['party1'] = [
counter_party, 'bid', head_order.order_id
]
transaction_record['party2'] = [quote['trade_id'], 'ask', None]
else:
transaction_record['party1'] = [
counter_party, 'ask', head_order.order_id
]
transaction_record['party2'] = [quote['trade_id'], 'bid', None]
self.tape.append(transaction_record)
trades.append(transaction_record)
return quantity_to_trade, trades
def process_market_order(self, quote, verbose):
trades = []
quantity_to_trade = quote['quantity']
side = quote['side']
if side == 'bid':
while quantity_to_trade > 0 and self.asks:
best_price_asks = self.asks.min_price_list()
quantity_to_trade, new_trades = self.process_order_list(
'ask', best_price_asks, quantity_to_trade, quote, verbose)
trades += new_trades
elif side == 'ask':
while quantity_to_trade > 0 and self.bids:
best_price_bids = self.bids.max_price_list()
quantity_to_trade, new_trades = self.process_order_list(
'bid', best_price_bids, quantity_to_trade, quote, verbose)
trades += new_trades
else:
sys.exit('process_market_order() recieved neither "bid" nor "ask"')
return trades
def process_limit_order(self, quote, from_data, verbose):
order_in_book = None
trades = []
quantity_to_trade = quote['quantity']
side = quote['side']
price = quote['price']
if side == 'bid':
while (self.asks and price > self.asks.min_price()
and quantity_to_trade > 0):
best_price_asks = self.asks.min_price_list()
quantity_to_trade, new_trades = self.process_order_list(
'ask', best_price_asks, quantity_to_trade, quote, verbose)
trades += new_trades
# If volume remains, need to update the book with new quantity
if quantity_to_trade > 0:
if not from_data:
quote['order_id'] = self.next_order_id
quote['quantity'] = quantity_to_trade
self.bids.insert_order(quote)
order_in_book = quote
elif side == 'ask':
while (self.bids and price < self.bids.max_price()
and quantity_to_trade > 0):
best_price_bids = self.bids.max_price_list()
quantity_to_trade, new_trades = self.process_order_list(
'bid', best_price_bids, quantity_to_trade, quote, verbose)
trades += new_trades
# If volume remains, need to update the book with new quantity
if quantity_to_trade > 0:
if not from_data:
quote['order_id'] = self.next_order_id
quote['quantity'] = quantity_to_trade
self.asks.insert_order(quote)
order_in_book = quote
else:
sys.exit('process_limit_order() given neither "bid" nor "ask"')
return trades, order_in_book
def cancel_order(self, side, order_id, time=None):
if time:
self.time = time
else:
self.update_time()
if side == 'bid':
if self.bids.order_exists(order_id):
self.bids.remove_order_by_id(order_id)
elif side == 'ask':
if self.asks.order_exists(order_id):
self.bids.remove_order_by_id(order_id)
else:
sys.exit('cancel_order() given neither "bid" nor "ask"')
def modify_order(self, order_id, order_update, time=None):
if time:
self.time = time
else:
self.update_time()
side = order_update['side']
order_update['order_id'] = order_id
order_update['timestamp'] = self.time
if side == 'bid':
if self.bids.order_exists(order_update['order_id']):
self.bids.update_order(order_update)
elif side == 'ask':
if self.asks.order_exists(order_update['order_id']):
self.asks.update_order(order_update)
else:
sys.exit('modify_order() given neither "bid" nor "ask"')
def get_volume_at_price(self, side, price):
price = self.clip_price(price)
if side == 'bid':
volume = 0
if self.bids.price_exists(price):
volume = self.bids.get_price(price).volume
return volume
elif side == 'ask':
volume = 0
if self.asks.price_exists(price):
volume = self.asks.get_price(price).volume
return volume
else:
sys.exit('get_volume_at_price() given neither "bid" nor "ask"')
def get_best_bid(self):
return self.bids.max_price()
def get_worst_bid(self):
return self.bids.min_price()
def get_best_ask(self):
return self.asks.min_price()
def get_worst_ask(self):
return self.asks.max_price()
def tape_dump(self, filename, filemode, tapemode):
dumpfile = open(filename, filemode)
for tapeitem in self.tape:
dumpfile.write(
'Time: %s, Price: %s, Quantity: %s\n' %
(tapeitem['time'], tapeitem['price'], tapeitem['quantity']))
dumpfile.close()
if tapemode == 'wipe':
self.tape = []
def __str__(self):
tempfile = StringIO()
tempfile.write("***Bids***\n")
if self.bids != None and len(self.bids) > 0:
for key, value in self.bids.price_tree.items(reverse=True):
tempfile.write('%s' % value)
tempfile.write("\n***Asks***\n")
if self.asks != None and len(self.bids) > 0:
for key, value in self.asks.price_tree.items():
tempfile.write('%s' % value)
tempfile.write("\n***Trades***\n")
if self.tape != None and len(self.tape) > 0:
num = 0
for entry in self.tape:
if num < 5: # get last 5 entries
tempfile.write(
str(entry['quantity']) + " @ " + str(entry['price']) +
" (" + str(entry['timestamp']) + ")\n")
num += 1
else:
break
tempfile.write("\n")
return tempfile.getvalue()
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.last_tick = None
self.last_timestamp = 0
self.tick_size = tick_size
self.time = 0
self.next_order_id = 0
def clip_price(self, price):
'''Clips the price according to the tick size. May not make sense if not
a currency'''
return round(price, int(math.log10(1 / self.tick_size)))
def update_time(self):
self.time += 1
def process_order(self, quote, from_data, verbose):
order_type = quote['type']
order_in_book = None
if from_data:
self.time = quote['timestamp']
else:
self.update_time()
quote['timestamp'] = self.time
if quote['quantity'] <= 0:
sys.exit('process_order() given order of quantity <= 0')
if not from_data:
self.next_order_id += 1
if order_type == 'market':
trades = self.process_market_order(quote, verbose)
elif order_type == 'limit':
quote['price'] = self.clip_price(quote['price'])
trades, order_in_book = self.process_limit_order(quote, from_data, verbose)
else:
sys.exit("order_type for process_order() is neither 'market' or 'limit'")
return trades, order_in_book
def process_order_list(self, side, order_list, quantity_still_to_trade, quote, verbose):
'''
Takes an OrderList (stack of orders at one price) and an incoming order and matches
appropriate trades given the order's quantity.
'''
trades = []
quantity_to_trade = quantity_still_to_trade
while len(order_list) > 0 and quantity_to_trade > 0:
head_order = order_list.get_head_order()
traded_price = head_order.price
counter_party = head_order.trade_id
if quantity_to_trade < head_order.quantity:
traded_quantity = quantity_to_trade
# Do the transaction
new_book_quantity = head_order.quantity - quantity_to_trade
head_order.update_quantity(new_book_quantity, head_order.timestamp)
quantity_to_trade = 0
elif quantity_to_trade == head_order.quantity:
traded_quantity = quantity_to_trade
if side == 'bid':
self.bids.remove_order_by_id(head_order.order_id)
else:
self.asks.remove_order_by_id(head_order.order_id)
quantity_to_trade = 0
else: # quantity to trade is larger than the head order
traded_quantity = head_order.quantity
if side == 'bid':
self.bids.remove_order_by_id(head_order.order_id)
else:
self.asks.remove_order_by_id(head_order.order_id)
quantity_to_trade -= traded_quantity
if verbose:
print ("TRADE: Time - %d, Price - %f, Quantity - %d, TradeID - %d, Matching TradeID - %d" %
(self.time, traded_price, traded_quantity, counter_party, quote['trade_id']))
transaction_record = {
'timestamp': self.time,
'price': traded_price,
'quantity': traded_quantity,
'time': self.time
}
if side == 'bid':
transaction_record['party1'] = [counter_party, 'bid', head_order.order_id]
transaction_record['party2'] = [quote['trade_id'], 'ask', None]
else:
transaction_record['party1'] = [counter_party, 'ask', head_order.order_id]
transaction_record['party2'] = [quote['trade_id'], 'bid', None]
self.tape.append(transaction_record)
trades.append(transaction_record)
return quantity_to_trade, trades
def process_market_order(self, quote, verbose):
trades = []
quantity_to_trade = quote['quantity']
side = quote['side']
if side == 'bid':
while quantity_to_trade > 0 and self.asks:
best_price_asks = self.asks.min_price_list()
quantity_to_trade, new_trades = self.process_order_list('ask', best_price_asks, quantity_to_trade, quote, verbose)
trades += new_trades
elif side == 'ask':
while quantity_to_trade > 0 and self.bids:
best_price_bids = self.bids.max_price_list()
quantity_to_trade, new_trades = self.process_order_list('bid', best_price_bids, quantity_to_trade, quote, verbose)
trades += new_trades
else:
sys.exit('process_market_order() recieved neither "bid" nor "ask"')
return trades
def process_limit_order(self, quote, from_data, verbose):
order_in_book = None
trades = []
quantity_to_trade = quote['quantity']
side = quote['side']
price = quote['price']
if side == 'bid':
while (self.asks and price > self.asks.min_price() and quantity_to_trade > 0):
best_price_asks = self.asks.min_price_list()
quantity_to_trade, new_trades = self.process_order_list('ask', best_price_asks, quantity_to_trade, quote, verbose)
trades += new_trades
# If volume remains, need to update the book with new quantity
if quantity_to_trade > 0:
if not from_data:
quote['order_id'] = self.next_order_id
quote['quantity'] = quantity_to_trade
self.bids.insert_order(quote)
order_in_book = quote
elif side == 'ask':
while (self.bids and price < self.bids.max_price() and quantity_to_trade > 0):
best_price_bids = self.bids.max_price_list()
quantity_to_trade, new_trades = self.process_order_list('bid', best_price_bids, quantity_to_trade, quote, verbose)
trades += new_trades
# If volume remains, need to update the book with new quantity
if quantity_to_trade > 0:
if not from_data:
quote['order_id'] = self.next_order_id
quote['quantity'] = quantity_to_trade
self.asks.insert_order(quote)
order_in_book = quote
else:
sys.exit('process_limit_order() given neither "bid" nor "ask"')
return trades, order_in_book
def cancel_order(self, side, order_id, time=None):
if time:
self.time = time
else:
self.update_time()
if side == 'bid':
if self.bids.order_exists(order_id):
self.bids.remove_order_by_id(order_id)
elif side == 'ask':
if self.asks.order_exists(order_id):
self.bids.remove_order_by_id(order_id)
else:
sys.exit('cancel_order() given neither "bid" nor "ask"')
def modify_order(self, order_id, order_update, time=None):
if time:
self.time = time
else:
self.update_time()
side = order_update['side']
order_update['order_id'] = order_id
order_update['timestamp'] = self.time
if side == 'bid':
if self.bids.order_exists(order_update['order_id']):
self.bids.update_order(order_update)
elif side == 'ask':
if self.asks.order_exists(order_update['order_id']):
self.asks.update_order(order_update)
else:
sys.exit('modify_order() given neither "bid" nor "ask"')
def get_volume_at_price(self, side, price):
price = self.clip_price(price)
if side == 'bid':
volume = 0
if self.bids.price_exists(price):
volume = self.bids.get_price(price).volume
return volume
elif side == 'ask':
volume = 0
if self.asks.price_exists(price):
volume = self.asks.get_price(price).volume
return volume
else:
sys.exit('get_volume_at_price() given neither "bid" nor "ask"')
def get_best_bid(self):
return self.bids.max_price()
def get_worst_bid(self):
return self.bids.min_price()
def get_best_ask(self):
return self.asks.min_price()
def get_worst_ask(self):
return self.asks.max_price()
def tape_dump(self, filename, filemode, tapemode):
dumpfile = open(filename, filemode)
for tapeitem in self.tape:
dumpfile.write('Time: %s, Price: %s, Quantity: %s\n' % (tapeitem['time'],
tapeitem['price'],
tapeitem['quantity']))
dumpfile.close()
if tapemode == 'wipe':
self.tape = []
def __str__(self):
tempfile = StringIO()
tempfile.write("***Bids***\n")
if self.bids != None and len(self.bids) > 0:
for key, value in self.bids.price_tree.items(reverse=True):
tempfile.write('%s' % value)
tempfile.write("\n***Asks***\n")
if self.asks != None and len(self.bids) > 0:
for key, value in self.asks.price_tree.items():
tempfile.write('%s' % value)
tempfile.write("\n***Trades***\n")
if self.tape != None and len(self.tape) > 0:
num = 0
for entry in self.tape:
if num < 5: # get last 5 entries
tempfile.write(str(entry['quantity']) + " @ " + str(entry['price']) + " (" + str(entry['timestamp']) + ")\n")
num += 1
else:
break
tempfile.write("\n")
return tempfile.getvalue()
