class OrderBook(TaskManager):
"""
OrderBook is used for searching through all the orders and giving an indication to the user of what other offers
are out there.
"""
def __init__(self, message_repository):
super(OrderBook, self).__init__()
self._logger = logging.getLogger(self.__class__.__name__)
assert isinstance(message_repository,
MessageRepository), type(message_repository)
self.message_repository = message_repository
self._bids = Side()
self._asks = Side()
def timeout_ask(self, order_id):
ask = self.get_ask(order_id).tick
self.remove_tick(order_id)
return ask
def timeout_bid(self, order_id):
bid = self.get_bid(order_id).tick
self.remove_tick(order_id)
return bid
def on_timeout_error(self, _):
pass
def on_invalid_tick_insert(self, _):
self._logger.warning("Invalid tick inserted in order book.")
def insert_ask(self, ask):
"""
:type ask: Ask
"""
assert isinstance(ask, Ask), type(ask)
if not self._asks.tick_exists(ask.order_id) and ask.is_valid():
self._asks.insert_tick(ask)
timeout_delay = float(ask.timestamp) + float(
ask.timeout) - time.time()
task = deferLater(reactor, timeout_delay, self.timeout_ask,
ask.order_id)
self.register_task("ask_%s_timeout" % ask.order_id, task)
return task.addErrback(self.on_timeout_error)
return fail(Failure(RuntimeError("ask invalid"))).addErrback(
self.on_invalid_tick_insert)
def remove_ask(self, order_id):
"""
:type order_id: OrderId
"""
assert isinstance(order_id, OrderId), type(order_id)
if self._asks.tick_exists(order_id):
self.cancel_pending_task("ask_%s_timeout" % order_id)
self._asks.remove_tick(order_id)
def insert_bid(self, bid):
"""
:type bid: Bid
"""
assert isinstance(bid, Bid), type(bid)
if not self._bids.tick_exists(bid.order_id) and bid.is_valid():
self._bids.insert_tick(bid)
timeout_delay = float(bid.timestamp) + float(
bid.timeout) - time.time()
task = deferLater(reactor, timeout_delay, self.timeout_bid,
bid.order_id)
self.register_task("bid_%s_timeout" % bid.order_id, task)
return task.addErrback(self.on_timeout_error)
return fail(Failure(RuntimeError("bid invalid"))).addErrback(
self.on_invalid_tick_insert)
def remove_bid(self, order_id):
"""
:type order_id: OrderId
"""
assert isinstance(order_id, OrderId), type(order_id)
if self._bids.tick_exists(order_id):
self.cancel_pending_task("bid_%s_timeout" % order_id)
self._bids.remove_tick(order_id)
def trade_tick(self, order_id, recipient_order_id, quantity,
end_transaction_timestamp):
"""
:type order_id: OrderId
:type recipient_order_id: OrderId
:type quantity: Quantity
:type end_transaction_timestamp: Timestamp
"""
assert isinstance(order_id, OrderId), type(order_id)
assert isinstance(recipient_order_id,
OrderId), type(recipient_order_id)
assert isinstance(quantity, Quantity), type(quantity)
self._logger.debug(
"Trading tick in order book for own order %s vs order %s (quantity: %s)",
str(order_id), str(recipient_order_id), str(quantity))
if self.tick_exists(order_id):
tick = self.get_tick(order_id)
tick.quantity -= quantity
if self.tick_exists(recipient_order_id):
tick = self.get_tick(recipient_order_id)
if tick.tick.timestamp < end_transaction_timestamp:
tick.quantity -= quantity
def tick_exists(self, order_id):
"""
:param order_id: The order id to search for
:type order_id: OrderId
:return: True if the tick exists, False otherwise
:rtype: bool
"""
assert isinstance(order_id, OrderId), type(order_id)
is_ask = self._asks.tick_exists(order_id)
is_bid = self._bids.tick_exists(order_id)
return is_ask or is_bid
def get_ask(self, order_id):
"""
:param order_id: The order id to search for
:type order_id: OrderId
:rtype: TickEntry
"""
assert isinstance(order_id, OrderId), type(order_id)
return self._asks.get_tick(order_id)
def get_bid(self, order_id):
"""
:param order_id: The order id to search for
:type order_id: OrderId
:rtype: TickEntry
"""
assert isinstance(order_id, OrderId), type(order_id)
return self._bids.get_tick(order_id)
def get_tick(self, order_id):
"""
Return a tick with the specified order id.
:param order_id: The order id to search for
:type order_id: OrderId
:rtype: TickEntry
"""
assert isinstance(order_id, OrderId), type(order_id)
return self._bids.get_tick(order_id) or self._asks.get_tick(order_id)
def ask_exists(self, order_id):
"""
:param order_id: The order id to search for
:type order_id: OrderId
:return: True if the ask exists, False otherwise
:rtype: bool
"""
assert isinstance(order_id, OrderId), type(order_id)
return self._asks.tick_exists(order_id)
def bid_exists(self, order_id):
"""
:param order_id: The order id to search for
:type order_id: OrderId
:return: True if the bid exists, False otherwise
:rtype: bool
"""
assert isinstance(order_id, OrderId), type(order_id)
return self._bids.tick_exists(order_id)
def remove_tick(self, order_id):
"""
:type order_id: OrderId
"""
assert isinstance(order_id, OrderId), type(order_id)
self.remove_ask(order_id)
self.remove_bid(order_id)
@property
def asks(self):
"""
Return the asks side
:rtype: Side
"""
return self._asks
@property
def bids(self):
"""
Return the bids side
:rtype: Side
"""
return self._bids
def get_bid_price(self, price_wallet_id, quantity_wallet_id):
"""
Return the price an ask needs to have to make a trade
:rtype: Price
"""
return self._bids.get_max_price(price_wallet_id, quantity_wallet_id)
def get_ask_price(self, price_wallet_id, quantity_wallet_id):
"""
Return the price a bid needs to have to make a trade
:rtype: Price
"""
return self._asks.get_min_price(price_wallet_id, quantity_wallet_id)
def get_bid_ask_spread(self, price_wallet_id, quantity_wallet_id):
"""
Return the spread between the bid and the ask price
:rtype: Price
"""
return self.get_ask_price(price_wallet_id, quantity_wallet_id) - \
self.get_bid_price(price_wallet_id, quantity_wallet_id)
def get_mid_price(self, price_wallet_id, quantity_wallet_id):
"""
Return the price in between the bid and the ask price
:rtype: Price
"""
ask_price = int(self.get_ask_price(price_wallet_id,
quantity_wallet_id))
bid_price = int(self.get_bid_price(price_wallet_id,
quantity_wallet_id))
return Price((ask_price + bid_price) / 2, price_wallet_id)
def bid_side_depth(self, price):
"""
Return the depth of the price level with the given price on the bid side
:param price: The price for the price level
:type price: Price
:return: The depth at that price level
:rtype: Quantity
"""
assert isinstance(price, Price), type(price)
return self._bids.get_price_level(price).depth
def ask_side_depth(self, price):
"""
Return the depth of the price level with the given price on the ask side
:param price: The price for the price level
:type price: Price
:return: The depth at that price level
:rtype: Quantity
"""
assert isinstance(price, Price), type(price)
return self._asks.get_price_level(price).depth
def get_bid_side_depth_profile(self, price_wallet_id, quantity_wallet_id):
"""
format: [(<price>, <depth>), (<price>, <depth>), ...]
:return: The depth profile
:rtype: list
"""
profile = []
for key, value in self._bids.get_price_level_list(
price_wallet_id, quantity_wallet_id).items():
profile.append((key, value.depth))
return profile
def get_ask_side_depth_profile(self, price_wallet_id, quantity_wallet_id):
"""
format: [(<price>, <depth>), (<price>, <depth>), ...]
:return: The depth profile
:rtype: list
"""
profile = []
for key, value in self._asks.get_price_level_list(
price_wallet_id, quantity_wallet_id).items():
profile.append((key, value.depth))
return profile
def bid_relative_price(self, price):
"""
:param price: The price to be relative to
:type price: Price
:return: The relative price
:rtype: Price
"""
assert isinstance(price, Price), type(price)
return self.get_bid_price('BTC', 'MC') - price
def ask_relative_price(self, price):
"""
:param price: The price to be relative to
:type price: Price
:return: The relative price
:rtype: Price
"""
assert isinstance(price, Price), type(price)
return self.get_ask_price('BTC', 'MC') - price
def relative_tick_price(self, tick):
"""
:param tick: The tick with the price to be relative to
:type tick: Tick
:return: The relative price
:rtype: Price
"""
assert isinstance(tick, Tick), type(tick)
if tick.is_ask():
return self.ask_relative_price(tick.price)
else:
return self.bid_relative_price(tick.price)
def get_bid_price_level(self, price_wallet_id, quantity_wallet_id):
"""
Return the price level that an ask has to match to make a trade
:rtype: PriceLevel
"""
return self._bids.get_max_price_list(price_wallet_id,
quantity_wallet_id)
def get_ask_price_level(self, price_wallet_id, quantity_wallet_id):
"""
Return the price level that a bid has to match to make a trade
:rtype: PriceLevel
"""
return self._asks.get_min_price_list(price_wallet_id,
quantity_wallet_id)
def get_order_ids(self):
"""
Return all IDs of the orders in the orderbook, both asks and bids. The returned list is sorted.
:rtype: [OrderId]
"""
ids = []
for price_wallet_id, quantity_wallet_id in self.asks.get_price_level_list_wallets(
):
for _, price_level in self.asks.get_price_level_list(
price_wallet_id, quantity_wallet_id).items():
for ask in price_level:
ids.append(ask.tick.order_id)
for price_wallet_id, quantity_wallet_id in self.bids.get_price_level_list_wallets(
):
for _, price_level in self.bids.get_price_level_list(
price_wallet_id, quantity_wallet_id).items():
for bid in price_level:
ids.append(bid.tick.order_id)
return sorted(ids)
def __str__(self):
res_str = ''
res_str += "------ Bids -------\n"
for price_wallet_id, quantity_wallet_id in self.bids.get_price_level_list_wallets(
):
for _, value in self._bids.get_price_level_list(
price_wallet_id, quantity_wallet_id).items(reverse=True):
res_str += '%s' % value
res_str += "\n------ Asks -------\n"
for price_wallet_id, quantity_wallet_id in self.asks.get_price_level_list_wallets(
):
for _, value in self._asks.get_price_level_list(
price_wallet_id, quantity_wallet_id).items():
res_str += '%s' % value
res_str += "\n"
return res_str
class OrderBook(TaskManager):
"""
OrderBook is used for searching through all the orders and giving an indication to the user of what other offers
are out there.
"""
def __init__(self):
super(OrderBook, self).__init__()
self._logger = logging.getLogger(self.__class__.__name__)
self._bids = Side()
self._asks = Side()
self.completed_orders = []
def timeout_ask(self, order_id):
ask = self.get_ask(order_id).tick
self.remove_tick(order_id)
return ask
def timeout_bid(self, order_id):
bid = self.get_bid(order_id).tick
self.remove_tick(order_id)
return bid
def on_timeout_error(self, _):
pass
def on_invalid_tick_insert(self, _):
self._logger.warning("Invalid tick inserted in order book.")
def insert_ask(self, ask):
"""
:type ask: Ask
"""
assert isinstance(ask, Ask), type(ask)
if not self._asks.tick_exists(ask.order_id) and ask.order_id not in self.completed_orders and ask.is_valid():
self._asks.insert_tick(ask)
timeout_delay = float(ask.timestamp) + float(ask.timeout) - time.time()
task = deferLater(reactor, timeout_delay, self.timeout_ask, ask.order_id)
self.register_task("ask_%s_timeout" % ask.order_id, task)
return task.addErrback(self.on_timeout_error)
return fail(Failure(RuntimeError("ask invalid"))).addErrback(self.on_invalid_tick_insert)
def remove_ask(self, order_id):
"""
:type order_id: OrderId
"""
assert isinstance(order_id, OrderId), type(order_id)
if self._asks.tick_exists(order_id):
self.cancel_pending_task("ask_%s_timeout" % order_id)
self._asks.remove_tick(order_id)
def insert_bid(self, bid):
"""
:type bid: Bid
"""
assert isinstance(bid, Bid), type(bid)
if not self._bids.tick_exists(bid.order_id) and bid.order_id not in self.completed_orders and bid.is_valid():
self._bids.insert_tick(bid)
timeout_delay = float(bid.timestamp) + float(bid.timeout) - time.time()
task = deferLater(reactor, timeout_delay, self.timeout_bid, bid.order_id)
self.register_task("bid_%s_timeout" % bid.order_id, task)
return task.addErrback(self.on_timeout_error)
return fail(Failure(RuntimeError("bid invalid"))).addErrback(self.on_invalid_tick_insert)
def remove_bid(self, order_id):
"""
:type order_id: OrderId
"""
assert isinstance(order_id, OrderId), type(order_id)
if self._bids.tick_exists(order_id):
self.cancel_pending_task("bid_%s_timeout" % order_id)
self._bids.remove_tick(order_id)
def update_ticks(self, ask_order_dict, bid_order_dict, traded_quantity, unreserve=True):
"""
Update ticks according to a TradeChain block containing the status of the ask/bid orders.
:type ask_order_dict: dict
:type bid_order_dict: dict
:type traded_quantity: Quantity
:type unreserve: bool
"""
assert isinstance(ask_order_dict, dict), type(ask_order_dict)
assert isinstance(bid_order_dict, dict), type(bid_order_dict)
assert isinstance(traded_quantity, Quantity), type(traded_quantity)
assert isinstance(unreserve, bool), type(unreserve)
ask_order_id = OrderId(TraderId(ask_order_dict["trader_id"]), OrderNumber(ask_order_dict["order_number"]))
bid_order_id = OrderId(TraderId(bid_order_dict["trader_id"]), OrderNumber(bid_order_dict["order_number"]))
self._logger.debug("Updating ticks in order book: %s and %s (traded quantity: %s)",
str(ask_order_id), str(bid_order_id), str(traded_quantity))
# Update ask tick
new_ask_quantity = Quantity(ask_order_dict["quantity"] - ask_order_dict["traded_quantity"],
ask_order_dict["quantity_type"])
if self.tick_exists(ask_order_id) and new_ask_quantity <= self.get_tick(ask_order_id).quantity:
tick = self.get_tick(ask_order_id)
tick.quantity = new_ask_quantity
if unreserve:
tick.release_for_matching(traded_quantity)
if tick.quantity <= Quantity(0, ask_order_dict["quantity_type"]):
self.remove_tick(tick.order_id)
self.completed_orders.append(tick.order_id)
elif not self.tick_exists(ask_order_id) and new_ask_quantity > Quantity(0, ask_order_dict["quantity_type"]):
ask = Ask(ask_order_id, Price(ask_order_dict["price"], ask_order_dict["price_type"]),
new_ask_quantity, Timeout(ask_order_dict["timeout"]), Timestamp(ask_order_dict["timestamp"]))
self.insert_ask(ask)
# Update bid tick
new_bid_quantity = Quantity(bid_order_dict["quantity"] - bid_order_dict["traded_quantity"],
bid_order_dict["quantity_type"])
if self.tick_exists(bid_order_id) and new_bid_quantity <= self.get_tick(bid_order_id).quantity:
tick = self.get_tick(bid_order_id)
tick.quantity = new_bid_quantity
if unreserve:
tick.release_for_matching(traded_quantity)
if tick.quantity <= Quantity(0, bid_order_dict["quantity_type"]):
self.remove_tick(tick.order_id)
self.completed_orders.append(tick.order_id)
elif not self.tick_exists(bid_order_id) and new_bid_quantity > Quantity(0, bid_order_dict["quantity_type"]):
bid = Bid(bid_order_id, Price(bid_order_dict["price"], bid_order_dict["price_type"]),
new_bid_quantity, Timeout(bid_order_dict["timeout"]), Timestamp(bid_order_dict["timestamp"]))
self.insert_bid(bid)
def tick_exists(self, order_id):
"""
:param order_id: The order id to search for
:type order_id: OrderId
:return: True if the tick exists, False otherwise
:rtype: bool
"""
assert isinstance(order_id, OrderId), type(order_id)
is_ask = self._asks.tick_exists(order_id)
is_bid = self._bids.tick_exists(order_id)
return is_ask or is_bid
def get_ask(self, order_id):
"""
:param order_id: The order id to search for
:type order_id: OrderId
:rtype: TickEntry
"""
assert isinstance(order_id, OrderId), type(order_id)
return self._asks.get_tick(order_id)
def get_bid(self, order_id):
"""
:param order_id: The order id to search for
:type order_id: OrderId
:rtype: TickEntry
"""
assert isinstance(order_id, OrderId), type(order_id)
return self._bids.get_tick(order_id)
def get_tick(self, order_id):
"""
Return a tick with the specified order id.
:param order_id: The order id to search for
:type order_id: OrderId
:rtype: TickEntry
"""
assert isinstance(order_id, OrderId), type(order_id)
return self._bids.get_tick(order_id) or self._asks.get_tick(order_id)
def ask_exists(self, order_id):
"""
:param order_id: The order id to search for
:type order_id: OrderId
:return: True if the ask exists, False otherwise
:rtype: bool
"""
assert isinstance(order_id, OrderId), type(order_id)
return self._asks.tick_exists(order_id)
def bid_exists(self, order_id):
"""
:param order_id: The order id to search for
:type order_id: OrderId
:return: True if the bid exists, False otherwise
:rtype: bool
"""
assert isinstance(order_id, OrderId), type(order_id)
return self._bids.tick_exists(order_id)
def remove_tick(self, order_id):
"""
:type order_id: OrderId
"""
assert isinstance(order_id, OrderId), type(order_id)
self._logger.debug("Removing tick %s from order book", order_id)
self.remove_ask(order_id)
self.remove_bid(order_id)
@property
def asks(self):
"""
Return the asks side
:rtype: Side
"""
return self._asks
@property
def bids(self):
"""
Return the bids side
:rtype: Side
"""
return self._bids
def get_bid_price(self, price_wallet_id, quantity_wallet_id):
"""
Return the price an ask needs to have to make a trade
:rtype: Price
"""
return self._bids.get_max_price(price_wallet_id, quantity_wallet_id)
def get_ask_price(self, price_wallet_id, quantity_wallet_id):
"""
Return the price a bid needs to have to make a trade
:rtype: Price
"""
return self._asks.get_min_price(price_wallet_id, quantity_wallet_id)
def get_bid_ask_spread(self, price_wallet_id, quantity_wallet_id):
"""
Return the spread between the bid and the ask price
:rtype: Price
"""
return self.get_ask_price(price_wallet_id, quantity_wallet_id) - \
self.get_bid_price(price_wallet_id, quantity_wallet_id)
def get_mid_price(self, price_wallet_id, quantity_wallet_id):
"""
Return the price in between the bid and the ask price
:rtype: Price
"""
ask_price = int(self.get_ask_price(price_wallet_id, quantity_wallet_id))
bid_price = int(self.get_bid_price(price_wallet_id, quantity_wallet_id))
return Price((ask_price + bid_price) / 2, price_wallet_id)
def bid_side_depth(self, price):
"""
Return the depth of the price level with the given price on the bid side
:param price: The price for the price level
:type price: Price
:return: The depth at that price level
:rtype: Quantity
"""
assert isinstance(price, Price), type(price)
return self._bids.get_price_level(price).depth
def ask_side_depth(self, price):
"""
Return the depth of the price level with the given price on the ask side
:param price: The price for the price level
:type price: Price
:return: The depth at that price level
:rtype: Quantity
"""
assert isinstance(price, Price), type(price)
return self._asks.get_price_level(price).depth
def get_bid_side_depth_profile(self, price_wallet_id, quantity_wallet_id):
"""
format: [(<price>, <depth>), (<price>, <depth>), ...]
:return: The depth profile
:rtype: list
"""
profile = []
for key, value in self._bids.get_price_level_list(price_wallet_id, quantity_wallet_id).items():
profile.append((key, value.depth))
return profile
def get_ask_side_depth_profile(self, price_wallet_id, quantity_wallet_id):
"""
format: [(<price>, <depth>), (<price>, <depth>), ...]
:return: The depth profile
:rtype: list
"""
profile = []
for key, value in self._asks.get_price_level_list(price_wallet_id, quantity_wallet_id).items():
profile.append((key, value.depth))
return profile
def bid_relative_price(self, price):
"""
:param price: The price to be relative to
:type price: Price
:return: The relative price
:rtype: Price
"""
assert isinstance(price, Price), type(price)
return self.get_bid_price('BTC', 'MC') - price
def ask_relative_price(self, price):
"""
:param price: The price to be relative to
:type price: Price
:return: The relative price
:rtype: Price
"""
assert isinstance(price, Price), type(price)
return self.get_ask_price('BTC', 'MC') - price
def relative_tick_price(self, tick):
"""
:param tick: The tick with the price to be relative to
:type tick: Tick
:return: The relative price
:rtype: Price
"""
assert isinstance(tick, Tick), type(tick)
if tick.is_ask():
return self.ask_relative_price(tick.price)
else:
return self.bid_relative_price(tick.price)
def get_bid_price_level(self, price_wallet_id, quantity_wallet_id):
"""
Return the price level that an ask has to match to make a trade
:rtype: PriceLevel
"""
return self._bids.get_max_price_list(price_wallet_id, quantity_wallet_id)
def get_ask_price_level(self, price_wallet_id, quantity_wallet_id):
"""
Return the price level that a bid has to match to make a trade
:rtype: PriceLevel
"""
return self._asks.get_min_price_list(price_wallet_id, quantity_wallet_id)
def get_order_ids(self):
"""
Return all IDs of the orders in the orderbook, both asks and bids. The returned list is sorted.
:rtype: [OrderId]
"""
return sorted(self.get_bid_ids() + self.get_ask_ids())
def get_ask_ids(self):
ids = []
for price_wallet_id, quantity_wallet_id in self.asks.get_price_level_list_wallets():
for _, price_level in self.asks.get_price_level_list(price_wallet_id, quantity_wallet_id).items():
for ask in price_level:
ids.append(ask.tick.order_id)
return sorted(ids)
def get_bid_ids(self):
ids = []
for price_wallet_id, quantity_wallet_id in self.bids.get_price_level_list_wallets():
for _, price_level in self.bids.get_price_level_list(price_wallet_id, quantity_wallet_id).items():
for bid in price_level:
ids.append(bid.tick.order_id)
return sorted(ids)
def __str__(self):
res_str = ''
res_str += "------ Bids -------\n"
for price_wallet_id, quantity_wallet_id in self.bids.get_price_level_list_wallets():
for _, value in self._bids.get_price_level_list(price_wallet_id, quantity_wallet_id).items(reverse=True):
res_str += '%s' % value
res_str += "\n------ Asks -------\n"
for price_wallet_id, quantity_wallet_id in self.asks.get_price_level_list_wallets():
for _, value in self._asks.get_price_level_list(price_wallet_id, quantity_wallet_id).items():
res_str += '%s' % value
res_str += "\n"
return res_str
def cancel_all_pending_tasks(self):
super(OrderBook, self).cancel_all_pending_tasks()
for order_id in self.get_order_ids():
self.get_tick(order_id).cancel_all_pending_tasks()
class SideTestSuite(unittest.TestCase):
"""Side test cases."""
def setUp(self):
# Object creation
self.tick = Tick(OrderId(TraderId('0'), OrderNumber(1)),
Price(400, 'BTC'), Quantity(30, 'MC'),
Timeout(float("inf")), Timestamp(float("inf")), True)
self.tick2 = Tick(OrderId(TraderId('1'), OrderNumber(2)),
Price(800, 'BTC'), Quantity(30, 'MC'),
Timeout(float("inf")), Timestamp(float("inf")), True)
self.side = Side()
def test_max_price(self):
# Test max price (list)
self.assertEquals(None, self.side.get_max_price('BTC', 'MC'))
self.assertEquals(None, self.side.get_max_price_list('BTC', 'MC'))
self.side.insert_tick(self.tick)
self.side.insert_tick(self.tick2)
self.assertEquals('30.000000 MC\t@\t800.000000 BTC\n',
str(self.side.get_max_price_list('BTC', 'MC')))
self.assertEquals(Price(800, 'BTC'),
self.side.get_max_price('BTC', 'MC'))
def test_min_price(self):
# Test min price (list)
self.assertEquals(None, self.side.get_min_price_list('BTC', 'MC'))
self.assertEquals(None, self.side.get_min_price('BTC', 'MC'))
self.side.insert_tick(self.tick)
self.side.insert_tick(self.tick2)
self.assertEquals('30.000000 MC\t@\t400.000000 BTC\n',
str(self.side.get_min_price_list('BTC', 'MC')))
self.assertEquals(Price(400, 'BTC'),
self.side.get_min_price('BTC', 'MC'))
def test_insert_tick(self):
# Test insert tick
self.assertEquals(0, len(self.side))
self.assertFalse(
self.side.tick_exists(OrderId(TraderId('0'), OrderNumber(1))))
self.side.insert_tick(self.tick)
self.side.insert_tick(self.tick2)
self.assertEquals(2, len(self.side))
self.assertTrue(
self.side.tick_exists(OrderId(TraderId('0'), OrderNumber(1))))
def test_remove_tick(self):
# Test remove tick
self.side.insert_tick(self.tick)
self.side.insert_tick(self.tick2)
self.side.remove_tick(OrderId(TraderId('0'), OrderNumber(1)))
self.assertEquals(1, len(self.side))
self.side.remove_tick(OrderId(TraderId('1'), OrderNumber(2)))
self.assertEquals(0, len(self.side))
def test_get_price_level_list_wallets(self):
"""
Test the price level lists of wallets of a side
"""
self.assertFalse(self.side.get_price_level_list_wallets())
self.side.insert_tick(self.tick)
self.assertTrue(self.side.get_price_level_list_wallets())
def test_get_list_representation(self):
"""
Testing the list representation of a side
"""
self.assertFalse(self.side.get_list_representation())
self.side.insert_tick(self.tick)
list_rep = self.side.get_list_representation()
self.assertTrue(list_rep)
class SideTestSuite(unittest.TestCase):
"""Side test cases."""
def setUp(self):
# Object creation
self.tick = Tick(OrderId(TraderId('0'), OrderNumber(1)),
AssetPair(AssetAmount(60, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now(), True)
self.tick2 = Tick(OrderId(TraderId('1'), OrderNumber(2)),
AssetPair(AssetAmount(120, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now(), True)
self.side = Side()
def test_max_price(self):
# Test max price (list)
self.assertEquals(None, self.side.get_max_price('MB', 'BTC'))
self.assertEquals(None, self.side.get_max_price_list('MB', 'BTC'))
self.side.insert_tick(self.tick)
self.side.insert_tick(self.tick2)
self.assertEquals(Price(0.5, 'MB', 'BTC'), self.side.get_max_price('MB', 'BTC'))
def test_min_price(self):
# Test min price (list)
self.assertEquals(None, self.side.get_min_price_list('MB', 'BTC'))
self.assertEquals(None, self.side.get_min_price('MB', 'BTC'))
self.side.insert_tick(self.tick)
self.side.insert_tick(self.tick2)
self.assertEquals(Price(0.25, 'MB', 'BTC'), self.side.get_min_price('MB', 'BTC'))
def test_insert_tick(self):
# Test insert tick
self.assertEquals(0, len(self.side))
self.assertFalse(self.side.tick_exists(OrderId(TraderId('0'), OrderNumber(1))))
self.side.insert_tick(self.tick)
self.side.insert_tick(self.tick2)
self.assertEquals(2, len(self.side))
self.assertTrue(self.side.tick_exists(OrderId(TraderId('0'), OrderNumber(1))))
def test_remove_tick(self):
# Test remove tick
self.side.insert_tick(self.tick)
self.side.insert_tick(self.tick2)
self.side.remove_tick(OrderId(TraderId('0'), OrderNumber(1)))
self.assertEquals(1, len(self.side))
self.side.remove_tick(OrderId(TraderId('1'), OrderNumber(2)))
self.assertEquals(0, len(self.side))
def test_get_price_level_list_wallets(self):
"""
Test the price level lists of wallets of a side
"""
self.assertFalse(self.side.get_price_level_list_wallets())
self.side.insert_tick(self.tick)
self.assertTrue(self.side.get_price_level_list_wallets())
def test_get_list_representation(self):
"""
Testing the list representation of a side
"""
self.assertFalse(self.side.get_list_representation())
self.side.insert_tick(self.tick)
list_rep = self.side.get_list_representation()
self.assertTrue(list_rep)
class OrderBook(TaskManager):
"""
OrderBook is used for searching through all the orders and giving an indication to the user of what other offers
are out there.
"""
def __init__(self):
super(OrderBook, self).__init__()
self._logger = logging.getLogger(self.__class__.__name__)
self._bids = Side()
self._asks = Side()
self.completed_orders = set()
def timeout_ask(self, order_id):
ask = self.get_ask(order_id).tick
self.remove_tick(order_id)
return ask
def timeout_bid(self, order_id):
bid = self.get_bid(order_id).tick
self.remove_tick(order_id)
return bid
def on_timeout_error(self, _):
pass
def on_invalid_tick_insert(self, _):
self._logger.warning("Invalid tick inserted in order book.")
def insert_ask(self, ask):
"""
:type ask: Ask
"""
if not self._asks.tick_exists(ask.order_id) and ask.order_id not in self.completed_orders and ask.is_valid():
self._asks.insert_tick(ask)
timeout_delay = float(ask.timestamp) + int(ask.timeout) - time.time()
task = deferLater(reactor, timeout_delay, self.timeout_ask, ask.order_id)
self.register_task("ask_%s_timeout" % ask.order_id, task)
return task.addErrback(self.on_timeout_error)
return fail(Failure(RuntimeError("ask invalid"))).addErrback(self.on_invalid_tick_insert)
def remove_ask(self, order_id):
"""
:type order_id: OrderId
"""
if self._asks.tick_exists(order_id):
self.cancel_pending_task("ask_%s_timeout" % order_id)
self._asks.remove_tick(order_id)
def insert_bid(self, bid):
"""
:type bid: Bid
"""
if not self._bids.tick_exists(bid.order_id) and bid.order_id not in self.completed_orders and bid.is_valid():
self._bids.insert_tick(bid)
timeout_delay = float(bid.timestamp) + int(bid.timeout) - time.time()
task = deferLater(reactor, timeout_delay, self.timeout_bid, bid.order_id)
self.register_task("bid_%s_timeout" % bid.order_id, task)
return task.addErrback(self.on_timeout_error)
return fail(Failure(RuntimeError("bid invalid"))).addErrback(self.on_invalid_tick_insert)
def remove_bid(self, order_id):
"""
:type order_id: OrderId
"""
if self._bids.tick_exists(order_id):
self.cancel_pending_task("bid_%s_timeout" % order_id)
self._bids.remove_tick(order_id)
def update_ticks(self, ask_order_dict, bid_order_dict, traded_quantity, unreserve=True):
"""
Update ticks according to a TrustChain block containing the status of the ask/bid orders.
:type ask_order_dict: dict
:type bid_order_dict: dict
:type traded_quantity: int
:type unreserve: bool
"""
ask_order_id = OrderId(TraderId(ask_order_dict["trader_id"]), OrderNumber(ask_order_dict["order_number"]))
bid_order_id = OrderId(TraderId(bid_order_dict["trader_id"]), OrderNumber(bid_order_dict["order_number"]))
self._logger.debug("Updating ticks in order book: %s and %s (traded quantity: %s)",
str(ask_order_id), str(bid_order_id), str(traded_quantity))
# Update ask tick
ask_exists = self.tick_exists(ask_order_id)
if ask_exists and ask_order_dict["traded"] >= self.get_tick(ask_order_id).traded:
tick = self.get_tick(ask_order_id)
tick.traded = ask_order_dict["traded"]
if unreserve:
tick.release_for_matching(traded_quantity)
if tick.traded >= tick.assets.first.amount:
self.remove_tick(tick.order_id)
self.completed_orders.add(tick.order_id)
elif not ask_exists and ask_order_dict["traded"] < ask_order_dict["assets"]["first"]["amount"] and \
ask_order_id not in self.completed_orders:
new_pair = AssetPair.from_dictionary(ask_order_dict["assets"])
ask = Ask(ask_order_id, new_pair, Timeout(ask_order_dict["timeout"]),
Timestamp(ask_order_dict["timestamp"]), traded=ask_order_dict["traded"])
self.insert_ask(ask)
elif not ask_exists and ask_order_dict["traded"] >= ask_order_dict["assets"]["first"]["amount"]:
self.completed_orders.add(ask_order_id)
# Update bid tick
bid_exists = self.tick_exists(bid_order_id)
if bid_exists and bid_order_dict["traded"] >= self.get_tick(bid_order_id).traded:
tick = self.get_tick(bid_order_id)
tick.traded = bid_order_dict["traded"]
if unreserve:
tick.release_for_matching(traded_quantity)
if tick.traded >= tick.assets.first.amount:
self.remove_tick(tick.order_id)
self.completed_orders.add(tick.order_id)
elif not bid_exists and bid_order_dict["traded"] < bid_order_dict["assets"]["first"]["amount"] and \
bid_order_id not in self.completed_orders:
new_pair = AssetPair.from_dictionary(bid_order_dict["assets"])
bid = Bid(bid_order_id, new_pair, Timeout(bid_order_dict["timeout"]),
Timestamp(bid_order_dict["timestamp"]), traded=bid_order_dict["traded"])
self.insert_bid(bid)
elif not bid_exists and bid_order_dict["traded"] >= bid_order_dict["assets"]["first"]["amount"]:
self.completed_orders.add(bid_order_id)
def tick_exists(self, order_id):
"""
:param order_id: The order id to search for
:type order_id: OrderId
:return: True if the tick exists, False otherwise
:rtype: bool
"""
is_ask = self._asks.tick_exists(order_id)
is_bid = self._bids.tick_exists(order_id)
return is_ask or is_bid
def get_ask(self, order_id):
"""
:param order_id: The order id to search for
:type order_id: OrderId
:rtype: TickEntry
"""
return self._asks.get_tick(order_id)
def get_bid(self, order_id):
"""
:param order_id: The order id to search for
:type order_id: OrderId
:rtype: TickEntry
"""
return self._bids.get_tick(order_id)
def get_tick(self, order_id):
"""
Return a tick with the specified order id.
:param order_id: The order id to search for
:type order_id: OrderId
:rtype: TickEntry
"""
return self._bids.get_tick(order_id) or self._asks.get_tick(order_id)
def ask_exists(self, order_id):
"""
:param order_id: The order id to search for
:type order_id: OrderId
:return: True if the ask exists, False otherwise
:rtype: bool
"""
return self._asks.tick_exists(order_id)
def bid_exists(self, order_id):
"""
:param order_id: The order id to search for
:type order_id: OrderId
:return: True if the bid exists, False otherwise
:rtype: bool
"""
return self._bids.tick_exists(order_id)
def remove_tick(self, order_id):
"""
:type order_id: OrderId
"""
self._logger.debug("Removing tick %s from order book", order_id)
self.remove_ask(order_id)
self.remove_bid(order_id)
@property
def asks(self):
"""
Return the asks side
:rtype: Side
"""
return self._asks
@property
def bids(self):
"""
Return the bids side
:rtype: Side
"""
return self._bids
def get_bid_price(self, price_wallet_id, quantity_wallet_id):
"""
Return the price an ask needs to have to make a trade
:rtype: Price
"""
return self._bids.get_max_price(price_wallet_id, quantity_wallet_id)
def get_ask_price(self, price_wallet_id, quantity_wallet_id):
"""
Return the price a bid needs to have to make a trade
:rtype: Price
"""
return self._asks.get_min_price(price_wallet_id, quantity_wallet_id)
def get_bid_ask_spread(self, price_wallet_id, quantity_wallet_id):
"""
Return the spread between the bid and the ask price
:rtype: Price
"""
spread = self.get_ask_price(price_wallet_id, quantity_wallet_id).amount - \
self.get_bid_price(price_wallet_id, quantity_wallet_id).amount
return Price(spread, price_wallet_id, quantity_wallet_id)
def get_mid_price(self, price_wallet_id, quantity_wallet_id):
"""
Return the price in between the bid and the ask price
:rtype: Price
"""
ask_price = self.get_ask_price(price_wallet_id, quantity_wallet_id).amount
bid_price = self.get_bid_price(price_wallet_id, quantity_wallet_id).amount
return Price((ask_price + bid_price) / 2, price_wallet_id, quantity_wallet_id)
def bid_side_depth(self, price):
"""
Return the depth of the price level with the given price on the bid side
:param price: The price for the price level
:type price: Price
:return: The depth at that price level
:rtype: Quantity
"""
return self._bids.get_price_level(price).depth
def ask_side_depth(self, price):
"""
Return the depth of the price level with the given price on the ask side
:param price: The price for the price level
:type price: Price
:return: The depth at that price level
:rtype: Quantity
"""
return self._asks.get_price_level(price).depth
def get_bid_side_depth_profile(self, price_wallet_id, quantity_wallet_id):
"""
format: [(<price>, <depth>), (<price>, <depth>), ...]
:return: The depth profile
:rtype: list
"""
profile = []
for price_level in self._bids.get_price_level_list(price_wallet_id, quantity_wallet_id).items():
profile.append((price_level.price, price_level.depth))
return profile
def get_ask_side_depth_profile(self, price_wallet_id, quantity_wallet_id):
"""
format: [(<price>, <depth>), (<price>, <depth>), ...]
:return: The depth profile
:rtype: list
"""
profile = []
for price_level in self._asks.get_price_level_list(price_wallet_id, quantity_wallet_id).items():
profile.append((price_level.price, price_level.depth))
return profile
def get_bid_price_level(self, price_wallet_id, quantity_wallet_id):
"""
Return the price level that an ask has to match to make a trade
:rtype: PriceLevel
"""
return self._bids.get_max_price_list(price_wallet_id, quantity_wallet_id)
def get_ask_price_level(self, price_wallet_id, quantity_wallet_id):
"""
Return the price level that a bid has to match to make a trade
:rtype: PriceLevel
"""
return self._asks.get_min_price_list(price_wallet_id, quantity_wallet_id)
def get_order_ids(self):
"""
Return all IDs of the orders in the orderbook, both asks and bids.
:rtype: [OrderId]
"""
return self.get_bid_ids() + self.get_ask_ids()
def get_ask_ids(self):
ids = []
for price_wallet_id, quantity_wallet_id in self.asks.get_price_level_list_wallets():
for price_level in self.asks.get_price_level_list(price_wallet_id, quantity_wallet_id).items():
for ask in price_level:
ids.append(ask.tick.order_id)
return ids
def get_bid_ids(self):
ids = []
for price_wallet_id, quantity_wallet_id in self.bids.get_price_level_list_wallets():
for price_level in self.bids.get_price_level_list(price_wallet_id, quantity_wallet_id).items():
for bid in price_level:
ids.append(bid.tick.order_id)
return ids
def __str__(self):
res_str = ''
res_str += "------ Bids -------\n"
for price_wallet_id, quantity_wallet_id in self.bids.get_price_level_list_wallets():
for price_level in self._bids.get_price_level_list(price_wallet_id, quantity_wallet_id).items(reverse=True):
res_str += '%s' % price_level
res_str += "\n------ Asks -------\n"
for price_wallet_id, quantity_wallet_id in self.asks.get_price_level_list_wallets():
for price_level in self._asks.get_price_level_list(price_wallet_id, quantity_wallet_id).items():
res_str += '%s' % price_level
res_str += "\n"
return res_str
def cancel_all_pending_tasks(self):
super(OrderBook, self).cancel_all_pending_tasks()
for order_id in self.get_order_ids():
self.get_tick(order_id).cancel_all_pending_tasks()