class OrderBook(object):
''' Orderbook utilizing all the other modules '''
def __init__(self):
'''
@summary: initialization of OrderBook
@mem bids: an ordertree for bids orders
@mem asks: an ordertree for asks orders
@mem time: maintain the current time in the orderbook
'''
self.bids = OrderTree()
self.asks = OrderTree()
self.last_timestamp = 0
self.time = 0
self.next_order_id = 0
def update_time(self):
''' update time automatically '''
self.time += 1
def process_order(self, quote):
'''
@summary: add order given quote
@quote: a dictionary containing order information
@return trades: return trades if there exists for the order added
@return order_in_book: containing all orders in orderbook
'''
order_type = quote['type']
order_in_book = None
self.update_time()
quote['timestamp'] = self.time
if quote['quantity'] <= 0:
sys.exit('process_order() given order of quantity <= 0')
self.next_order_id += 1
trades, order_in_book = self.process_limit_order(quote)
return trades, order_in_book
def process_order_list(self, side, order_list, quantity_still_to_trade, quote):
'''
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
transaction_record = {
'timestamp': self.time,
'price': traded_price,
'quantity': traded_quantity,
'time': self.time
}
if side == 'bid':
transaction_record['party1'] = ['bid', head_order.order_id]
transaction_record['party2'] = ['ask', None]
else:
transaction_record['party1'] = ['ask', head_order.order_id]
transaction_record['party2'] = ['bid', None]
trades.append(transaction_record)
return quantity_to_trade, trades
def process_limit_order(self, quote):
'''
@summary: process limit order given quote as the new order
@param: a dictionary containing order infos
@return trades: if causing any trade opportunites
@return order_in_book: remaining orders in the orderBook
'''
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)
trades += new_trades
# If volume remains, need to update the book with new quantity
if quantity_to_trade > 0:
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)
trades += new_trades
# If volume remains, need to update the book with new quantity
if quantity_to_trade > 0:
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):
'''
@summary: cancel order by order_id
@param side: bid or ask
@param order_id: id of such order
'''
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.asks.remove_order_by_id(order_id)
else:
sys.exit('cancel_order() given neither "bid" nor "ask"')
def get_volume_at_price(self, side, price):
'''
@summary: get the volume at some price
@param side: bid or ask, choose which side to get that volume
@param price: the price specified to get its volume
@return: the volume
'''
if side == 'bid':
volume = 0
if self.bids.price_exists(price):
volume = self.bids.get_price_list(price).volume
return volume
elif side == 'ask':
volume = 0
if self.asks.price_exists(price):
volume = self.asks.get_price_list(price).volume
return volume
else:
sys.exit('get_volume_at_price() given neither "bid" nor "ask"')
def get_best_bid(self):
''' return best bid price in the orderbook '''
return self.bids.max_price()
def get_best_ask(self):
''' return best ask price in the orderbook '''
return self.asks.min_price()
class OrderBook(object):
''' Orderbook utilizing all the other modules '''
def __init__(self):
'''
@summary: initialization of OrderBook
@mem bids: an ordertree for bids orders
@mem asks: an ordertree for asks orders
@mem time: maintain the current time in the orderbook
'''
self.bids = OrderTree()
self.asks = OrderTree()
self.last_timestamp = 0
self.time = 0
self.next_order_id = 0
def update_time(self):
''' update time automatically '''
self.time += 1
def process_order(self, quote):
'''
@summary: add order given quote
@quote: a dictionary containing order information
@return trades: return trades if there exists for the order added
@return order_in_book: containing all orders in orderbook
'''
order_type = quote['type']
order_in_book = None
self.update_time()
quote['timestamp'] = self.time
if quote['quantity'] <= 0:
sys.exit('process_order() given order of quantity <= 0')
self.next_order_id += 1
trades, order_in_book = self.process_limit_order(quote)
return trades, order_in_book
def process_order_list(self, side, order_list, quantity_still_to_trade,
quote):
'''
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
transaction_record = {
'timestamp': self.time,
'price': traded_price,
'quantity': traded_quantity,
'time': self.time
}
if side == 'bid':
transaction_record['party1'] = ['bid', head_order.order_id]
transaction_record['party2'] = ['ask', None]
else:
transaction_record['party1'] = ['ask', head_order.order_id]
transaction_record['party2'] = ['bid', None]
trades.append(transaction_record)
return quantity_to_trade, trades
def process_limit_order(self, quote):
'''
@summary: process limit order given quote as the new order
@param: a dictionary containing order infos
@return trades: if causing any trade opportunites
@return order_in_book: remaining orders in the orderBook
'''
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)
trades += new_trades
# If volume remains, need to update the book with new quantity
if quantity_to_trade > 0:
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)
trades += new_trades
# If volume remains, need to update the book with new quantity
if quantity_to_trade > 0:
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):
'''
@summary: cancel order by order_id
@param side: bid or ask
@param order_id: id of such order
'''
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.asks.remove_order_by_id(order_id)
else:
sys.exit('cancel_order() given neither "bid" nor "ask"')
def get_volume_at_price(self, side, price):
'''
@summary: get the volume at some price
@param side: bid or ask, choose which side to get that volume
@param price: the price specified to get its volume
@return: the volume
'''
if side == 'bid':
volume = 0
if self.bids.price_exists(price):
volume = self.bids.get_price_list(price).volume
return volume
elif side == 'ask':
volume = 0
if self.asks.price_exists(price):
volume = self.asks.get_price_list(price).volume
return volume
else:
sys.exit('get_volume_at_price() given neither "bid" nor "ask"')
def get_best_bid(self):
''' return best bid price in the orderbook '''
return self.bids.max_price()
def get_best_ask(self):
''' return best ask price in the orderbook '''
return self.asks.min_price()
