Order Book ¶

class Level ¶

Bases: object

Represents a read-only order book Level .

A price level on one side of the order book with one or more individual orders.

Parameters :

price ( Price ) – The price for the level.
orders ( list [ BookOrder ] ) – The orders for the level.

Raises :

ValueError – If orders is empty.

exposure ( self ) → double ¶

Return the exposure at this level (price * volume).

Returns :: double

orders ( self ) → list ¶

Return the orders for the level.

Returns :: list[BookOrder]

price ¶

Price

Return the price for the level.

Returns :: Price
Type :: Level.price

size ( self ) → double ¶

Return the size at this level.

Returns :: double

class OrderBook ( InstrumentId instrument_id , BookType book_type ) ¶

Bases: Data

Provides an order book which can handle L1/L2/L3 granularity data.

add ( self , BookOrder order , uint64_t ts_event , uint8_t flags=0 , uint64_t sequence=0 ) → void ¶

Add the given order to the book.

Parameters :

order ( BookOrder ) – The order to add.
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the book event occurred.
flags ( uint8_t , default 0 ) – The record flags bit field, indicating packet end and data information.
sequence ( uint64_t , default 0 ) – The unique sequence number for the update. If default 0 then will increment the sequence .

Raises :

RuntimeError – If the book type is L1_MBP.

apply ( self , Data data ) → void ¶

Apply the given data to the order book.

Parameters :: delta ( OrderBookDelta , OrderBookDeltas ) – The data to apply.

apply_delta ( self , OrderBookDelta delta ) → void ¶

Apply the order book delta.

Parameters :: delta ( OrderBookDelta ) – The delta to apply.
Raises :: ValueError – If delta.book_type is not equal to self.type .

apply_deltas ( self , OrderBookDeltas deltas ) → void ¶

Apply the bulk deltas to the order book.

Parameters :: deltas ( OrderBookDeltas ) – The deltas to apply.

apply_depth ( self , OrderBookDepth10 depth ) → void ¶

Apply the depth update to the order book.

Parameters :: depth ( OrderBookDepth10 ) – The depth update to apply.

asks ( self ) → list ¶

Return the bid levels for the order book.

Returns :: list[Level] – Sorted in ascending order of price.

best_ask_price ( self ) ¶

Return the best ask price in the book (if no asks then returns None ).

Returns :: double

best_ask_size ( self ) ¶

Return the best ask size in the book (if no asks then returns None ).

Returns :: double or None

best_bid_price ( self ) ¶

Return the best bid price in the book (if no bids then returns None ).

Returns :: double

best_bid_size ( self ) ¶

Return the best bid size in the book (if no bids then returns None ).

Returns :: double

bids ( self ) → list ¶

Return the bid levels for the order book.

Returns :: list[Level] – Sorted in descending order of price.

book_type ¶

BookType

Return the order book type.

Returns :: BookType
Type :: OrderBook.book_type

check_integrity ( self ) → void ¶

Check book integrity.

For all order books: - The bid side price should not be greater than the ask side price.

Raises :: RuntimeError – If book integrity check fails.

clear ( self , uint64_t ts_event , uint64_t sequence=0 ) → void ¶: Clear the entire order book.

clear_asks ( self , uint64_t ts_event , uint64_t sequence=0 ) → void ¶: Clear the asks from the order book.

clear_bids ( self , uint64_t ts_event , uint64_t sequence=0 ) → void ¶: Clear the bids from the order book.

count ¶

int

Return the books update count.

Returns :: int
Type :: OrderBook.count

delete ( self , BookOrder order , uint64_t ts_event , uint8_t flags=0 , uint64_t sequence=0 ) → void ¶

Cancel the given order in the book.

Parameters :

order ( Order ) – The order to delete.
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the book event occurred.
flags ( uint8_t , default 0 ) – The record flags bit field, indicating packet end and data information.
sequence ( uint64_t , default 0 ) – The unique sequence number for the update. If default 0 then will increment the sequence .

classmethod fully_qualified_name ( cls ) → str ¶

Return the fully qualified name for the Data class.

Returns :: str

References

https://www.python.org/dev/peps/pep-3155/

get_avg_px_for_quantity ( self , Quantity quantity , OrderSide order_side ) → double ¶

Return the average price expected for the given quantity based on the current state of the order book.

Parameters :

quantity ( Quantity ) – The quantity for the calculation.
order_side ( OrderSide ) – The order side for the calculation.

Returns :

double

Raises :

ValueError – If order_side is equal to NO_ORDER_SIDE

Warning

If no average price can be calculated then will return 0.0 (zero).

get_quantity_for_price ( self , Price price , OrderSide order_side ) → double ¶

Return the current total quantity for the given price based on the current state of the order book.

Parameters :

price ( Price ) – The quantity for the calculation.
order_side ( OrderSide ) – The order side for the calculation.

Returns :

double

Raises :

ValueError – If order_side is equal to NO_ORDER_SIDE

instrument_id ¶

InstrumentId

Return the books instrument ID.

Returns :: InstrumentId
Type :: OrderBook.instrument_id

midpoint ( self ) ¶

Return the mid point (if no market exists then returns None ).

Returns :: double or None

pprint ( self , int num_levels=3 ) → unicode ¶

Return a string representation of the order book in a human-readable table format.

Parameters :: num_levels ( int ) – The number of levels to include.
Returns :: str

reset ( self ) → void ¶: Reset the order book (clear all stateful values).

sequence ¶

int

Return the last sequence number for the book.

Returns :: int
Type :: OrderBook.sequence

simulate_fills ( self , Order order , uint8_t price_prec , bool is_aggressive ) → list ¶

Simulate filling the book with the given order.

Parameters :

order ( Order ) – The order to simulate fills for.
price_prec ( uint8_t ) – The price precision for the fills.

spread ( self ) ¶

Return the top of book spread (if no bids or asks then returns None ).

Returns :: double or None

ts_event ¶

int

The UNIX timestamp (nanoseconds) when the data event occurred.

Returns :: int
Type :: OrderBook.ts_event

ts_init ¶

int

The UNIX timestamp (nanoseconds) when the object was initialized.

Returns :: int
Type :: OrderBook.ts_init

ts_last ¶

int

Return the UNIX timestamp (nanoseconds) when the order book was last updated.

Returns :: int
Type :: OrderBook.ts_last

update ( self , BookOrder order , uint64_t ts_event , uint8_t flags=0 , uint64_t sequence=0 ) → void ¶

Update the given order in the book.

Parameters :

order ( Order ) – The order to update.
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the book event occurred.
flags ( uint8_t , default 0 ) – The record flags bit field, indicating packet end and data information.
sequence ( uint64_t , default 0 ) – The unique sequence number for the update. If default 0 then will increment the sequence .

update_quote_tick ( self , QuoteTick tick ) → void ¶

Update the order book with the given quote tick.

This operation is only valid for L1_MBP books maintaining a top level.

Parameters :: tick ( QuoteTick ) – The quote tick to update with.
Raises :: RuntimeError – If book_type is not L1_MBP .

update_trade_tick ( self , TradeTick tick ) → void ¶

Update the order book with the given trade tick.

This operation is only valid for L1_MBP books maintaining a top level.

Parameters :: tick ( TradeTick ) – The trade tick to update with.
Raises :: RuntimeError – If book_type is not L1_MBP .