| commit | author | age | ||
| 5d61a1 | 1 | """.#book.py package for handling book.""" |
| JG | 2 | import decimal |
| 3 | import heapq | |
| 4 | from enum import Enum | |
| 5 | import time | |
| 6 | ||
| 7 | decimal.getcontext().prec = 3 | |
| 8 | ||
| 9 | ||
| 10 | class OrderSide(Enum): | |
| 11 | """Order side enum.""" | |
| 12 | ||
| 13 | Buy = 0, | |
| 14 | Sell = 1 | |
| 15 | ||
| 16 | ||
| 17 | class ProductTypeEnum(Enum): | |
| 18 | """Product type enum.""" | |
| 19 | ||
| 20 | TEST = 0, | |
| 21 | FUTURE = 1, | |
| 22 | SPREAD = 2, | |
| 23 | CALL = 3, | |
| 24 | PUT = 4 | |
| 25 | ||
| 26 | ||
| 27 | class UnknownProductTypeError(Exception): | |
| 28 | """Exception for unknown product type.""" | |
| 29 | ||
| 30 | pass | |
| 31 | ||
| 32 | ||
| 33 | class Order: | |
| 34 | """Order class.""" | |
| 35 | ||
| 36 | price: decimal.Decimal | |
| 37 | side: OrderSide | |
| 38 | remaining_volume: int | |
| 39 | filled_volume: int | |
| 40 | ||
| 41 | def __init__(self, price: decimal.Decimal(3), side: OrderSide, | |
| 42 | volume: int): | |
| 43 | """Initialise class.""" | |
| 44 | self.price = price | |
| 45 | self.side = side | |
| 46 | self.remaining_volume = volume | |
| 47 | self.filled_volume = 0 | |
| 48 | ||
| 49 | ||
| 50 | class Level: | |
| 51 | """Level class.""" | |
| 52 | ||
| 53 | price: decimal.Decimal | |
| 54 | volume: int | |
| 55 | ||
| 56 | def __init__(self, price: decimal.Decimal(3), volume): | |
| 57 | """Initialise class.""" | |
| 58 | self.priority = int(price) | |
| 59 | self.price = price | |
| 60 | self.volume = volume | |
| 61 | ||
| 62 | def __lt__(self, other): | |
| 63 | """Less than comparator.""" | |
| 64 | if (self.price < other.price): | |
| 65 | return True | |
| 66 | else: | |
| 67 | return False | |
| 68 | ||
| 69 | def __gt__(self, other): | |
| 70 | """Greater than comparator.""" | |
| 71 | if (self.price > other.price): | |
| 72 | return True | |
| 73 | else: | |
| 74 | return False | |
| 75 | ||
| 76 | def __le__(self, other): | |
| 77 | """Less than or equal compatator.""" | |
| 78 | if (self.price <= other.price): | |
| 79 | return True | |
| 80 | else: | |
| 81 | return False | |
| 82 | ||
| 83 | def __ge__(self, other): | |
| 84 | """Greater than or equal comparator.""" | |
| 85 | if (self.price >= other.price): | |
| 86 | return True | |
| 87 | else: | |
| 88 | return False | |
| 89 | ||
| 90 | def __eq__(self, other): | |
| 91 | """Equalty compatator.""" | |
| 92 | if (self.price == other.price): | |
| 93 | return True | |
| 94 | else: | |
| 95 | return False | |
| 96 | ||
| 97 | def addVolume(self, volume: int): | |
| 98 | """Add volume to price level.""" | |
| 99 | self.volume += volume | |
| 100 | ||
| 101 | def __str__(self): | |
| 102 | """Turn into str for printing.""" | |
| 103 | return "Price: " + str(self.price) + ", volume: " + str(self.volume) | |
| 104 | ||
| 105 | ||
| 106 | class Side: | |
| 107 | """Side class.""" | |
| 108 | ||
| 109 | levels: [Level] | |
| 110 | ||
| 111 | def __init__(self): | |
| 112 | """Initialise class.""" | |
| 113 | self.levels = [] | |
| 114 | ||
| 115 | ||
| 116 | class Book: | |
| 117 | """Book class.""" | |
| 118 | ||
| 119 | bidSide: Side | |
| 120 | askSide: Side | |
| 121 | productType: ProductTypeEnum | |
| 122 | product: str | |
| 123 | stationId: str | |
| 124 | unit: str | |
| 125 | expiry: time.struct_time | |
| 126 | aggFee: decimal.Decimal | |
| 127 | pasFee: decimal.Decimal | |
| 128 | broFee: decimal.Decimal | |
| 129 | ||
| 130 | def __init__(self, productType: str = "TEST", product: str = "a", | |
| 131 | stationId: str = "b", unit: str = "c", | |
| 132 | expiry: str = time.strftime("%Y-%m-%d %H:%M%z", | |
| 133 | time.localtime(0)), | |
| 134 | aggFee: decimal.Decimal = 1, pasFee: decimal.Decimal = -1, | |
| 135 | broFee: decimal.Decimal = 2): | |
| 136 | """Initialise module.""" | |
| 137 | self.bidSide = Side() | |
| 138 | self.askSide = Side() | |
| 139 | if productType == "FUTURE": | |
| 140 | self.productType = ProductTypeEnum.FUTURE | |
| 141 | elif productType == "SPREAD": | |
| 142 | self.productType = ProductTypeEnum.SPREAD | |
| 143 | elif productType == "CALL": | |
| 144 | self.productType = ProductTypeEnum.CALL | |
| 145 | elif productType == "PUT": | |
| 146 | self.productType = ProductTypeEnum.PUT | |
| 147 | elif productType == "TEST": | |
| 148 | self.productType = ProductTypeEnum.TEST | |
| 149 | else: | |
| 150 | raise UnknownProductTypeError(productType) | |
| 151 | self.product = product | |
| 152 | self.stationId = stationId | |
| 153 | self.unit = unit | |
| 154 | self.expiry = time.strptime(expiry, "%Y-%m-%d %H:%M%z") | |
| 155 | self.aggFee = aggFee | |
| 156 | self.pasFee = pasFee | |
| 157 | self.broFee = broFee | |
| 158 | ||
| 159 | def addOrder(self, order: Order): | |
| 160 | """Add order to book.""" | |
| 161 | if (order.side == OrderSide.Buy): | |
| 162 | self.bid(order) | |
| 163 | else: | |
| 164 | self.ask(order) | |
| 165 | ||
| 166 | def ask(self, order: Order): | |
| 167 | """Add ask to book.""" | |
| 168 | while(len(self.bidSide.levels) > 0 and | |
| 169 | self.bidSide.levels[0][1].price >= order.price): | |
| 170 | if (self.bidSide.levels[0][1].volume > order.remaining_volume): | |
| 171 | temp = self.bidSide.levels[0][1].volume | |
| 172 | order.filled_volume += self.bidSide.levels[0][1].volume | |
| 173 | self.bidSide.levels[0][1].volume -= order.remaining_volume | |
| 174 | order.remaining_volume -= temp | |
| 175 | break | |
| 176 | else: | |
| 177 | order.remaining_volume -= self.bidSide.levels[0][1].volume | |
| 178 | order.filled_volume += self.bidSide.levels[0][1].volume | |
| 179 | heapq.heappop(self.bidSide.levels) | |
| 180 | if (order.remaining_volume > 0): | |
| 181 | if (len(self.askSide.levels) > 0 and | |
| 182 | self.askSide.levels[0][1].price == order.price): | |
| 183 | self.askSide.levels[0][1].addVolume(order.remaining_volume) | |
| 184 | else: | |
| 185 | heapq.heappush(self.askSide.levels, | |
| 186 | (order.price, | |
| 187 | Level(order.price, order.remaining_volume))) | |
| 188 | ||
| 189 | def bid(self, order: Order): | |
| 190 | """Add bid to book.""" | |
| 191 | while(len(self.askSide.levels) > 0 and | |
| 192 | self.askSide.levels[0][1].price <= order.price): | |
| 193 | if (self.askSide.levels[0][1].volume > order.remaining_volume): | |
| 194 | temp = self.askSide.levels[0][1].volume | |
| 195 | order.filled_volume += self.askSide.levels[0][1].volume | |
| 196 | self.askSide.levels[0][1].volume -= order.remaining_volume | |
| 197 | order.remaining_volume -= temp | |
| 198 | break | |
| 199 | else: | |
| 200 | order.remaining_volume -= self.askSide.levels[0][1].volume | |
| 201 | order.filled_volume -= self.askSide.levels[0][1].volume | |
| 202 | heapq.heappop(self.askSide.levels) | |
| 203 | if (order.remaining_volume > 0): | |
| 204 | if (len(self.bidSide.levels) > 0 and | |
| 205 | self.bidSide.levels[0][1].price == order.price): | |
| 206 | self.bidSide.levels[0][1].addVolume(order.remaining_volume) | |
| 207 | else: | |
| 208 | heapq.heappush(self.bidSide.levels, | |
| 209 | (100 - order.price, | |
| 210 | Level(order.price, order.remaining_volume))) | |
| 211 | ||
| 212 | def printBook(self): | |
| 213 | """Test print book. Book is a heap so not strictly sorted.""" | |
| 214 | print("Sell side") | |
| 215 | for i in sorted(self.askSide.levels, reverse=True): | |
| 216 | print(i[1]) | |
| 217 | print("Buy side") | |
| 218 | for i in sorted(self.bidSide.levels): | |
| 219 | print(str(i[1])) | |
| 220 | ||
| 221 | ||
| 222 | def testBook(): | |
| 223 | """Test an example book.""" | |
| 224 | b = Book() | |
| 225 | for i in range(1, 10): | |
| 226 | b.addOrder(Order(i, OrderSide.Buy, 10)) | |
| 227 | for i in range(11, 20): | |
| 228 | b.addOrder(Order(i, OrderSide.Sell, 10)) | |
| 229 | b.printBook() | |
