| 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 | ||
| 4497ee | 13 | Buy = "BUY", |
| JG | 14 | Sell = "SELL" |
| 5d61a1 | 15 | |
| JG | 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 | |
| 4497ee | 40 | timestamp: float |
| JG | 41 | id: str |
| 5d61a1 | 42 | |
| JG | 43 | def __init__(self, price: decimal.Decimal(3), side: OrderSide, |
| 4497ee | 44 | volume: int, timestamp: float, id: str): |
| 5d61a1 | 45 | """Initialise class.""" |
| JG | 46 | self.price = price |
| 47 | self.side = side | |
| 48 | self.remaining_volume = volume | |
| 49 | self.filled_volume = 0 | |
| 4497ee | 50 | self.timestamp = timestamp |
| JG | 51 | self.id = id |
| 5d61a1 | 52 | |
| JG | 53 | |
| 54 | class Level: | |
| 55 | """Level class.""" | |
| 56 | ||
| 57 | price: decimal.Decimal | |
| 58 | volume: int | |
| 4497ee | 59 | side: OrderSide |
| JG | 60 | timestamp: float |
| 61 | id: str | |
| 5d61a1 | 62 | |
| 4497ee | 63 | def __init__(self, order: Order): |
| 5d61a1 | 64 | """Initialise class.""" |
| 4497ee | 65 | self.price = order.price |
| JG | 66 | self.volume = order.remaining_volume |
| 67 | self.side = order.side | |
| 68 | self.timestamp = order.timestamp | |
| 69 | self.id = order.id | |
| 5d61a1 | 70 | |
| JG | 71 | def __lt__(self, other): |
| 72 | """Less than comparator.""" | |
| 4497ee | 73 | if (self.side == OrderSide.Sell): |
| JG | 74 | if (self.price < other.price): |
| 75 | return True | |
| 76 | elif (self.price == other.price and | |
| 77 | self.timestamp < other.timestamp): | |
| 78 | return True | |
| 79 | else: | |
| 80 | return False | |
| 5d61a1 | 81 | else: |
| 4497ee | 82 | if (self.price > other.price): |
| JG | 83 | return True |
| 84 | elif (self.price == other.price and | |
| 85 | self.timestamp < other.timestamp): | |
| 86 | return True | |
| 87 | else: | |
| 88 | return False | |
| 5d61a1 | 89 | |
| JG | 90 | def __gt__(self, other): |
| 91 | """Greater than comparator.""" | |
| 4497ee | 92 | if (self.side == OrderSide.Sell): |
| JG | 93 | if (self.price > other.price): |
| 94 | return True | |
| 95 | elif (self.price == other.price and | |
| 96 | self.timestamp < other.timestamp): | |
| 97 | return True | |
| 98 | else: | |
| 99 | return False | |
| 5d61a1 | 100 | else: |
| 4497ee | 101 | if (self.price < other.price): |
| JG | 102 | return True |
| 103 | elif (self.price == other.price and | |
| 104 | self.timestamp < other.timestamp): | |
| 105 | return True | |
| 106 | else: | |
| 107 | return False | |
| 5d61a1 | 108 | |
| JG | 109 | def __le__(self, other): |
| 110 | """Less than or equal compatator.""" | |
| 4497ee | 111 | if (self.side == OrderSide.Sell): |
| JG | 112 | if (self.price <= other.price): |
| 113 | return True | |
| 114 | elif (self.price == other.price and | |
| 115 | self.timestamp <= other.timestamp): | |
| 116 | return True | |
| 117 | else: | |
| 118 | return False | |
| 5d61a1 | 119 | else: |
| 4497ee | 120 | if (self.price >= other.price): |
| JG | 121 | return True |
| 122 | elif (self.price == other.price and | |
| 123 | self.timestamp <= other.timestamp): | |
| 124 | return True | |
| 125 | else: | |
| 126 | return False | |
| 5d61a1 | 127 | |
| JG | 128 | def __ge__(self, other): |
| 129 | """Greater than or equal comparator.""" | |
| 4497ee | 130 | if (self.side == OrderSide.Sell): |
| JG | 131 | if (self.price >= other.price): |
| 132 | return True | |
| 133 | elif (self.price == other.price and | |
| 134 | self.timestamp <= other.timestamp): | |
| 135 | return True | |
| 136 | else: | |
| 137 | return False | |
| 5d61a1 | 138 | else: |
| 4497ee | 139 | if (self.price <= other.price): |
| JG | 140 | return True |
| 141 | elif (self.price == other.price and | |
| 142 | self.timestamp <= other.timestamp): | |
| 143 | return True | |
| 144 | else: | |
| 145 | return False | |
| 5d61a1 | 146 | |
| JG | 147 | def __eq__(self, other): |
| 148 | """Equalty compatator.""" | |
| 4497ee | 149 | if (self.price == other.price and self.timestamp == other.timestamp): |
| 5d61a1 | 150 | return True |
| JG | 151 | else: |
| 152 | return False | |
| 153 | ||
| 154 | def addVolume(self, volume: int): | |
| 155 | """Add volume to price level.""" | |
| 156 | self.volume += volume | |
| 157 | ||
| 158 | def __str__(self): | |
| 159 | """Turn into str for printing.""" | |
| 4497ee | 160 | return ("Price: " + str(self.price) + ", volume: " + str(self.volume) + |
| JG | 161 | ", time: " + str(self.timestamp) + ", id: " + self.id) |
| 5d61a1 | 162 | |
| JG | 163 | |
| 164 | class Side: | |
| 165 | """Side class.""" | |
| 166 | ||
| 167 | levels: [Level] | |
| 168 | ||
| 169 | def __init__(self): | |
| 170 | """Initialise class.""" | |
| 171 | self.levels = [] | |
| 4497ee | 172 | |
| JG | 173 | def delete(self, orderId: str): |
| 174 | """Delete order from side.""" | |
| 175 | for i in self.levels: | |
| 176 | if (i.id == orderId): | |
| 177 | self.levels.remove(i) | |
| 178 | heapq.heapify(self.levels) | |
| 5d61a1 | 179 | |
| JG | 180 | |
| 181 | class Book: | |
| 182 | """Book class.""" | |
| 183 | ||
| 184 | bidSide: Side | |
| 185 | askSide: Side | |
| 186 | productType: ProductTypeEnum | |
| 187 | product: str | |
| 188 | stationId: str | |
| 189 | unit: str | |
| 190 | expiry: time.struct_time | |
| 191 | aggFee: decimal.Decimal | |
| 192 | pasFee: decimal.Decimal | |
| 193 | broFee: decimal.Decimal | |
| 194 | ||
| 195 | def __init__(self, productType: str = "TEST", product: str = "a", | |
| 196 | stationId: str = "b", unit: str = "c", | |
| 197 | expiry: str = time.strftime("%Y-%m-%d %H:%M%z", | |
| 198 | time.localtime(0)), | |
| 199 | aggFee: decimal.Decimal = 1, pasFee: decimal.Decimal = -1, | |
| 200 | broFee: decimal.Decimal = 2): | |
| 201 | """Initialise module.""" | |
| 202 | self.bidSide = Side() | |
| 203 | self.askSide = Side() | |
| 204 | if productType == "FUTURE": | |
| 205 | self.productType = ProductTypeEnum.FUTURE | |
| 206 | elif productType == "SPREAD": | |
| 207 | self.productType = ProductTypeEnum.SPREAD | |
| 208 | elif productType == "CALL": | |
| 209 | self.productType = ProductTypeEnum.CALL | |
| 210 | elif productType == "PUT": | |
| 211 | self.productType = ProductTypeEnum.PUT | |
| 212 | elif productType == "TEST": | |
| 213 | self.productType = ProductTypeEnum.TEST | |
| 214 | else: | |
| 215 | raise UnknownProductTypeError(productType) | |
| 216 | self.product = product | |
| 217 | self.stationId = stationId | |
| 218 | self.unit = unit | |
| 219 | self.expiry = time.strptime(expiry, "%Y-%m-%d %H:%M%z") | |
| 220 | self.aggFee = aggFee | |
| 221 | self.pasFee = pasFee | |
| 222 | self.broFee = broFee | |
| 223 | ||
| 224 | def addOrder(self, order: Order): | |
| 225 | """Add order to book.""" | |
| 226 | if (order.side == OrderSide.Buy): | |
| 227 | self.bid(order) | |
| 228 | else: | |
| 229 | self.ask(order) | |
| 230 | ||
| 231 | def ask(self, order: Order): | |
| 232 | """Add ask to book.""" | |
| 233 | while(len(self.bidSide.levels) > 0 and | |
| 4497ee | 234 | self.bidSide.levels[0].price >= order.price): |
| JG | 235 | if (self.bidSide.levels[0].volume > order.remaining_volume): |
| 236 | temp = self.bidSide.levels[0].volume | |
| 237 | order.filled_volume += self.bidSide.levels[0].volume | |
| 238 | self.bidSide.levels[0].volume -= order.remaining_volume | |
| 5d61a1 | 239 | order.remaining_volume -= temp |
| JG | 240 | break |
| 241 | else: | |
| 4497ee | 242 | order.remaining_volume -= self.bidSide.levels[0].volume |
| JG | 243 | order.filled_volume += self.bidSide.levels[0].volume |
| 5d61a1 | 244 | heapq.heappop(self.bidSide.levels) |
| JG | 245 | if (order.remaining_volume > 0): |
| 4497ee | 246 | heapq.heappush(self.askSide.levels, Level(order)) |
| 5d61a1 | 247 | |
| JG | 248 | def bid(self, order: Order): |
| 249 | """Add bid to book.""" | |
| 250 | while(len(self.askSide.levels) > 0 and | |
| 4497ee | 251 | self.askSide.levels[0].price <= order.price): |
| JG | 252 | if (self.askSide.levels[0].volume > order.remaining_volume): |
| 253 | temp = self.askSide.levels[0].volume | |
| 254 | order.filled_volume += self.askSide.levels[0].volume | |
| 255 | self.askSide.levels[0].volume -= order.remaining_volume | |
| 5d61a1 | 256 | order.remaining_volume -= temp |
| JG | 257 | break |
| 258 | else: | |
| 4497ee | 259 | order.remaining_volume -= self.askSide.levels[0].volume |
| JG | 260 | order.filled_volume -= self.askSide.levels[0].volume |
| 5d61a1 | 261 | heapq.heappop(self.askSide.levels) |
| JG | 262 | if (order.remaining_volume > 0): |
| 4497ee | 263 | heapq.heappush(self.bidSide.levels, Level(order)) |
| 5d61a1 | 264 | |
| JG | 265 | def printBook(self): |
| 266 | """Test print book. Book is a heap so not strictly sorted.""" | |
| 267 | print("Sell side") | |
| 4497ee | 268 | for i in sorted(self.askSide.levels, reverse=True)[-10:]: |
| JG | 269 | print(i) |
| 5d61a1 | 270 | print("Buy side") |
| 4497ee | 271 | for i in sorted(self.bidSide.levels)[:10]: |
| JG | 272 | print(str(i)) |
| 5d61a1 | 273 | |
| JG | 274 | |
| 4497ee | 275 | def testBook(orders: int = 10, printBook=True): |
| 5d61a1 | 276 | """Test an example book.""" |
| JG | 277 | b = Book() |
| 4497ee | 278 | time = 1 |
| JG | 279 | for i in range(1, orders): |
| 280 | b.addOrder(Order(price=i, side=OrderSide.Buy, volume=10, | |
| 281 | timestamp=time, id="a")) | |
| 282 | time += 1 | |
| 283 | for i in range(orders + 1, 2 * orders): | |
| 284 | b.addOrder(Order(i, OrderSide.Sell, 10, time, "a")) | |
| 285 | time += 1 | |
| 286 | if (printBook): | |
| 287 | b.printBook() | |
| 288 | return b | |
