Order Book ¶

Defines real-time and simulated order book components.

class L1OrderBook ( InstrumentId instrument_id , uint8_t price_precision , uint8_t size_precision ) ¶

Bases: OrderBook

Provides a L1 TBBO (top of book best bid/offer) order book.

A level 1 order book has a single (top) Level .

Parameters :

instrument_id ( InstrumentId ) – The instrument ID for the book.
price_precision ( uint8 ) – The price precision of the books orders.
size_precision ( uint8 ) – The size precision of the books orders.

Raises :

OverflowError – If price_precision is negative (< 0).
OverflowError – If size_precision is negative (< 0).

add ( self , BookOrder order , uint64_t sequence=0 ) → void ¶: NotImplemented (Use update(order) for L1OrderBook).

apply ( self , OrderBookData data ) → void ¶

Apply the data to the order book.

Parameters :: data ( OrderBookData ) – The data to apply.
Raises :: ValueError – If data.level is not equal to self.type .

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.
Raises :: ValueError – If snapshot.book_type is not equal to self.type .

apply_snapshot ( self , OrderBookSnapshot snapshot ) → void ¶

Apply the bulk snapshot to the order book.

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

asks ¶

The order books asks.

Returns :: Ladder

best_ask_level ( self ) → Level ¶

Return the best ask level.

Returns :: Level

best_ask_price ( self ) ¶

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

Returns :: double

best_ask_qty ( self ) ¶

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

Returns :: double or None

best_bid_level ( self ) → Level ¶

Return the best bid level.

Returns :: Level

best_bid_price ( self ) ¶

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

Returns :: double

best_bid_qty ( self ) ¶

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

Returns :: double

bids ¶

The order books bids.

Returns :: Ladder

check_integrity ( self ) → void ¶

Check order book integrity.

For a L1 TBBO order book: - There should be at most one level per side. - The bid side price should not be greater than or equal to the ask side price.

Raises :: BookIntegrityError – If any check fails.

clear ( self ) → void ¶: Clear the entire order book.

clear_asks ( self ) → void ¶: Clear the asks from the order book.

clear_bids ( self ) → void ¶: Clear the bids from the order book.

count ¶

The update count for the book.

Returns :: uint64_t

static create ( Instrument instrument , BookType book_type , bool simulated=False ) ¶

Create a new order book with the given parameters.

Parameters :

instrument ( Instrument ) – The instrument for the book.
book_type (BookType { L1_TBBO , L2_MBP , L3_MBO }) – The order book level.
simulated ( bool ) – If the order book should be simulated (for backtesting only).

Returns :

OrderBook

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

Delete the given order in the book.

Parameters :

order ( BookOrder ) – The order to delete.
sequence ( uint64 , default 0 ) – The unique sequence number for the update. If default 0 then will increment the sequence .

get_price_for_quote_volume ( self , bool is_buy , double quote_volume ) → double ¶

get_price_for_volume ( self , bool is_buy , double volume ) → double ¶

get_quote_volume_for_price ( self , bool is_buy , double price ) → double ¶

get_volume_for_price ( self , bool is_buy , double price ) → double ¶

get_vwap_for_volume ( self , bool is_buy , double volume ) → double ¶

instrument_id ¶

The order book instrument ID.

Returns :: InstrumentId

midpoint ( self ) ¶

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

Returns :: double or None

pprint ( self , int num_levels=3 , show=u'size' ) → unicode ¶

Print the order book in a clear format.

Parameters :

num_levels ( int ) – The number of levels to print.
show ( str ) – The data to show.

Returns :

str

price_precision ¶

The order book price precision.

Returns :: uint8

sequence ¶

The last sequence number for the book.

Returns :: uint64_t

size_precision ¶

The order book size precision.

Returns :: uint8

spread ( self ) ¶

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

Returns :: double or None

trade_side ( self , TradeTick trade ) → int ¶

Return which side of the book a trade occurred given a trade tick.

Parameters :: trade ( TradeTick ) – The trade tick.
Returns :: OrderSide

ts_last ¶

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

Returns :: uint64_t

type ¶

The order book type { L1_TBBO , L2_MBP , L3_MBO }.

Returns :: BookType

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

Update the given order in the book.

Parameters :

order ( Order ) – The order to update.
sequence ( uint64 , default 0 ) – The unique sequence number for the update. If default 0 then will increment the sequence .

class L2OrderBook ( InstrumentId instrument_id , uint8_t price_precision , uint8_t size_precision ) ¶

Bases: OrderBook

Provides a L2 MBP (market by price) order book.

A level 2 order books Levels are only made up of a single order.

Parameters :

instrument_id ( InstrumentId ) – The instrument ID for the book.
price_precision ( uint8 ) – The price precision of the books orders.
size_precision ( uint8 ) – The size precision of the books orders.

Raises :

OverflowError – If price_precision is negative (< 0).
OverflowError – If size_precision is negative (< 0).

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

Add the given order to the book.

Parameters :

order ( BookOrder ) – The order to add.
sequence ( uint64 , default 0 ) – The unique sequence number for the update. If default 0 then will increment the sequence .

apply ( self , OrderBookData data ) → void ¶

Apply the data to the order book.

Parameters :: data ( OrderBookData ) – The data to apply.
Raises :: ValueError – If data.level is not equal to self.type .

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.
Raises :: ValueError – If snapshot.book_type is not equal to self.type .

apply_snapshot ( self , OrderBookSnapshot snapshot ) → void ¶

Apply the bulk snapshot to the order book.

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

asks ¶

The order books asks.

Returns :: Ladder

best_ask_level ( self ) → Level ¶

Return the best ask level.

Returns :: Level

best_ask_price ( self ) ¶

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

Returns :: double

best_ask_qty ( self ) ¶

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

Returns :: double or None

best_bid_level ( self ) → Level ¶

Return the best bid level.

Returns :: Level

best_bid_price ( self ) ¶

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

Returns :: double

best_bid_qty ( self ) ¶

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

Returns :: double

bids ¶

The order books bids.

Returns :: Ladder

check_integrity ( self ) → void ¶

Check order book integrity.

For a L2_MBP order book: - There should be at most one order per level. - The bid side price should not be greater than or equal to the ask side price.

Raises :: BookIntegrityError – If any check fails.

clear ( self ) → void ¶: Clear the entire order book.

clear_asks ( self ) → void ¶: Clear the asks from the order book.

clear_bids ( self ) → void ¶: Clear the bids from the order book.

count ¶

The update count for the book.

Returns :: uint64_t

static create ( Instrument instrument , BookType book_type , bool simulated=False ) ¶

Create a new order book with the given parameters.

Parameters :

instrument ( Instrument ) – The instrument for the book.
book_type (BookType { L1_TBBO , L2_MBP , L3_MBO }) – The order book level.
simulated ( bool ) – If the order book should be simulated (for backtesting only).

Returns :

OrderBook

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

Delete the given order in the book.

Parameters :

order ( BookOrder ) – The order to delete.
sequence ( uint64 , default 0 ) – The unique sequence number for the update. If default 0 then will increment the sequence .

get_price_for_quote_volume ( self , bool is_buy , double quote_volume ) → double ¶

get_price_for_volume ( self , bool is_buy , double volume ) → double ¶

get_quote_volume_for_price ( self , bool is_buy , double price ) → double ¶

get_volume_for_price ( self , bool is_buy , double price ) → double ¶

get_vwap_for_volume ( self , bool is_buy , double volume ) → double ¶

instrument_id ¶

The order book instrument ID.

Returns :: InstrumentId

midpoint ( self ) ¶

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

Returns :: double or None

pprint ( self , int num_levels=3 , show=u'size' ) → unicode ¶

Print the order book in a clear format.

Parameters :

num_levels ( int ) – The number of levels to print.
show ( str ) – The data to show.

Returns :

str

price_precision ¶

The order book price precision.

Returns :: uint8

sequence ¶

The last sequence number for the book.

Returns :: uint64_t

size_precision ¶

The order book size precision.

Returns :: uint8

spread ( self ) ¶

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

Returns :: double or None

trade_side ( self , TradeTick trade ) → int ¶

Return which side of the book a trade occurred given a trade tick.

Parameters :: trade ( TradeTick ) – The trade tick.
Returns :: OrderSide

ts_last ¶

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

Returns :: uint64_t

type ¶

The order book type { L1_TBBO , L2_MBP , L3_MBO }.

Returns :: BookType

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

Update the given order in the book.

Parameters :

order ( BookOrder ) – The order to update.
sequence ( uint64 , default 0 ) – The unique sequence number for the update. If default 0 then will increment the sequence .

class L3OrderBook ( InstrumentId instrument_id , uint8_t price_precision , uint8_t size_precision ) ¶

Bases: OrderBook

Provides an L3 MBO (market by order) order book.

A level 3 order books Levels can be made up of multiple orders. This class maps directly to the functionality of the base class.

Parameters :

instrument_id ( InstrumentId ) – The instrument ID for the book.
price_precision ( uint8 ) – The price precision of the books orders.
size_precision ( uint8 ) – The size precision of the books orders.

Raises :

OverflowError – If price_precision is negative (< 0).
OverflowError – If size_precision is negative (< 0).

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

Add the given order to the book.

Parameters :

order ( BookOrder ) – The order to add.
sequence ( uint64 , default 0 ) – The unique sequence number for the update. If default 0 then will increment the sequence .

apply ( self , OrderBookData data ) → void ¶

Apply the data to the order book.

Parameters :: data ( OrderBookData ) – The data to apply.
Raises :: ValueError – If data.level is not equal to self.type .

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.
Raises :: ValueError – If snapshot.book_type is not equal to self.type .

apply_snapshot ( self , OrderBookSnapshot snapshot ) → void ¶

Apply the bulk snapshot to the order book.

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

asks ¶

The order books asks.

Returns :: Ladder

best_ask_level ( self ) → Level ¶

Return the best ask level.

Returns :: Level

best_ask_price ( self ) ¶

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

Returns :: double

best_ask_qty ( self ) ¶

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

Returns :: double or None

best_bid_level ( self ) → Level ¶

Return the best bid level.

Returns :: Level

best_bid_price ( self ) ¶

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

Returns :: double

best_bid_qty ( self ) ¶

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

Returns :: double

bids ¶

The order books bids.

Returns :: Ladder

check_integrity ( self ) → void ¶

Check order book integrity.

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

Raises :: BookIntegrityError – If any check fails.

clear ( self ) → void ¶: Clear the entire order book.

clear_asks ( self ) → void ¶: Clear the asks from the order book.

clear_bids ( self ) → void ¶: Clear the bids from the order book.

count ¶

The update count for the book.

Returns :: uint64_t

static create ( Instrument instrument , BookType book_type , bool simulated=False ) ¶

Create a new order book with the given parameters.

Parameters :

instrument ( Instrument ) – The instrument for the book.
book_type (BookType { L1_TBBO , L2_MBP , L3_MBO }) – The order book level.
simulated ( bool ) – If the order book should be simulated (for backtesting only).

Returns :

OrderBook

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

Delete the given order in the book.

Parameters :

order ( Order ) – The order to delete.
sequence ( uint64 , default 0 ) – The unique sequence number for the update. If default 0 then will increment the sequence .

get_price_for_quote_volume ( self , bool is_buy , double quote_volume ) → double ¶

get_price_for_volume ( self , bool is_buy , double volume ) → double ¶

get_quote_volume_for_price ( self , bool is_buy , double price ) → double ¶

get_volume_for_price ( self , bool is_buy , double price ) → double ¶

get_vwap_for_volume ( self , bool is_buy , double volume ) → double ¶

instrument_id ¶

The order book instrument ID.

Returns :: InstrumentId

midpoint ( self ) ¶

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

Returns :: double or None

pprint ( self , int num_levels=3 , show=u'size' ) → unicode ¶

Print the order book in a clear format.

Parameters :

num_levels ( int ) – The number of levels to print.
show ( str ) – The data to show.

Returns :

str

price_precision ¶

The order book price precision.

Returns :: uint8

sequence ¶

The last sequence number for the book.

Returns :: uint64_t

size_precision ¶

The order book size precision.

Returns :: uint8

spread ( self ) ¶

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

Returns :: double or None

trade_side ( self , TradeTick trade ) → int ¶

Return which side of the book a trade occurred given a trade tick.

Parameters :: trade ( TradeTick ) – The trade tick.
Returns :: OrderSide

ts_last ¶

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

Returns :: uint64_t

type ¶

The order book type { L1_TBBO , L2_MBP , L3_MBO }.

Returns :: BookType

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

Update the given order in the book.

Parameters :

order ( Order ) – The order to update.
sequence ( uint64 , default 0 ) – The unique sequence number for the update. If default 0 then will increment the sequence .

class OrderBook ( InstrumentId instrument_id , BookType book_type , uint8_t price_precision , uint8_t size_precision ) ¶

Bases: object

The base class for all order books.

Provides a L1/L2/L3 order book as an L3OrderBook which can be proxied to L2OrderBook or L1OrderBook classes.

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

Add the given order to the book.

Parameters :

order ( BookOrder ) – The order to add.
sequence ( uint64 , default 0 ) – The unique sequence number for the update. If default 0 then will increment the sequence .

apply ( self , OrderBookData data ) → void ¶

Apply the data to the order book.

Parameters :: data ( OrderBookData ) – The data to apply.
Raises :: ValueError – If data.level is not equal to self.type .

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.
Raises :: ValueError – If snapshot.book_type is not equal to self.type .

apply_snapshot ( self , OrderBookSnapshot snapshot ) → void ¶

Apply the bulk snapshot to the order book.

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

asks ¶

The order books asks.

Returns :: Ladder

best_ask_level ( self ) → Level ¶

Return the best ask level.

Returns :: Level

best_ask_price ( self ) ¶

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

Returns :: double

best_ask_qty ( self ) ¶

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

Returns :: double or None

best_bid_level ( self ) → Level ¶

Return the best bid level.

Returns :: Level

best_bid_price ( self ) ¶

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

Returns :: double

best_bid_qty ( self ) ¶

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

Returns :: double

bids ¶

The order books bids.

Returns :: Ladder

check_integrity ( self ) → void ¶

Check order book integrity.

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

Raises :: BookIntegrityError – If any check fails.

clear ( self ) → void ¶: Clear the entire order book.

clear_asks ( self ) → void ¶: Clear the asks from the order book.

clear_bids ( self ) → void ¶: Clear the bids from the order book.

count ¶

The update count for the book.

Returns :: uint64_t

static create ( Instrument instrument , BookType book_type , bool simulated=False ) ¶

Create a new order book with the given parameters.

Parameters :

instrument ( Instrument ) – The instrument for the book.
book_type (BookType { L1_TBBO , L2_MBP , L3_MBO }) – The order book level.
simulated ( bool ) – If the order book should be simulated (for backtesting only).

Returns :

OrderBook

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

Delete the given order in the book.

Parameters :

order ( Order ) – The order to delete.
sequence ( uint64 , default 0 ) – The unique sequence number for the update. If default 0 then will increment the sequence .

get_price_for_quote_volume ( self , bool is_buy , double quote_volume ) → double ¶

get_price_for_volume ( self , bool is_buy , double volume ) → double ¶

get_quote_volume_for_price ( self , bool is_buy , double price ) → double ¶

get_volume_for_price ( self , bool is_buy , double price ) → double ¶

get_vwap_for_volume ( self , bool is_buy , double volume ) → double ¶

instrument_id ¶

The order book instrument ID.

Returns :: InstrumentId

midpoint ( self ) ¶

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

Returns :: double or None

pprint ( self , int num_levels=3 , show=u'size' ) → unicode ¶

Print the order book in a clear format.

Parameters :

num_levels ( int ) – The number of levels to print.
show ( str ) – The data to show.

Returns :

str

price_precision ¶

The order book price precision.

Returns :: uint8

sequence ¶

The last sequence number for the book.

Returns :: uint64_t

size_precision ¶

The order book size precision.

Returns :: uint8

spread ( self ) ¶

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

Returns :: double or None

trade_side ( self , TradeTick trade ) → int ¶

Return which side of the book a trade occurred given a trade tick.

Parameters :: trade ( TradeTick ) – The trade tick.
Returns :: OrderSide

ts_last ¶

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

Returns :: uint64_t

type ¶

The order book type { L1_TBBO , L2_MBP , L3_MBO }.

Returns :: BookType

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

Update the given order in the book.

Parameters :

order ( Order ) – The order to update.
sequence ( uint64 , default 0 ) – The unique sequence number for the update. If default 0 then will increment the sequence .

class BookOrder ( double price , double size , OrderSide side , unicode order_id=None ) ¶

Bases: object

Represents an order in a book.

Parameters :

price ( double ) – The order price.
size ( double ) – The order size.
side (OrderSide { BUY , SELL }) – The order side.
id ( str ) – The order ID.

exposure ( self ) → double ¶

Return the total exposure for this order (price * size).

Returns :: double

static from_dict ( dict values ) → BookOrder ¶

Return an order from the given dict values.

Parameters :: values ( dict [ str , object ] ) – The values for initialization.
Returns :: BookOrder

order_id ¶

The orders ID.

Returns :: str

price ¶

The orders price.

Returns :: double

side ¶

The orders side.

Returns :: OrderSide

signed_size ( self ) → double ¶

Return the signed size of the order (negative for SELL ).

Returns :: double

size ¶

The orders size.

Returns :: double

static to_dict ( BookOrder obj ) ¶

Return a dictionary representation of this object.

Returns :: dict[str, object]

update_order_id ( self , unicode value ) → void ¶

Update the orders ID.

Parameters :: value ( str ) – The updated order ID.

update_price ( self , double price ) → void ¶

Update the orders price.

Parameters :: price ( double ) – The updated price.

update_size ( self , double size ) → void ¶

Update the orders size.

Parameters :: size ( double ) – The updated size.

class OrderBookData ( InstrumentId instrument_id , BookType book_type , uint64_t sequence , uint64_t ts_event , uint64_t ts_init , TimeInForce time_in_force=TimeInForce.GTC ) ¶

Bases: Data

The base class for all OrderBook data.

Parameters :

instrument_id ( InstrumentId ) – The instrument ID for the book.
book_type (BookType { L1_TBBO , L2_MBP , L3_MBO }) – The order book type.
sequence ( uint64 , default 0 ) – The unique sequence number for the update. If default 0 then will increment the sequence .
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the data event occurred.
ts_init ( uint64_t ) – The UNIX timestamp (nanoseconds) when the data object was initialized.
time_in_force (TimeInForce, default GTC ) – The order time in force for this update.

Warning

This class should not be used directly, but through a concrete subclass.

book_type ¶

The order book type (L1_TBBO, L2_MBP, L3_MBO).

Returns :: BookType

classmethod fully_qualified_name ( type cls ) → str ¶

Return the fully qualified name for the Data class.

Returns :: str

References

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

instrument_id ¶

The instrument ID for the order book.

Returns :: InstrumentId

sequence ¶

The unique sequence number.

Returns :: uint64

time_in_force ¶

The time in force for this update.

Returns :: TimeInForce

ts_event ¶

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

Returns :: uint64_t

ts_init ¶

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

Returns :: uint64_t

class OrderBookDelta ( InstrumentId instrument_id , BookType book_type , BookAction action , BookOrder order , uint64_t ts_event , uint64_t ts_init , uint64_t sequence=0 , TimeInForce time_in_force=TimeInForce.GTC ) ¶

Bases: OrderBookData

Represents a single difference on an OrderBook .

Parameters :

instrument_id ( InstrumentId ) – The instrument ID for the book.
book_type (BookType { L1_TBBO , L2_MBP , L3_MBO }) – The order book type.
action (BookAction { ADD , UPDATED , DELETE , CLEAR }) – The order book delta action.
order ( Order ) – The order to apply.
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the data event occurred.
ts_init ( uint64_t ) – The UNIX timestamp (nanoseconds) when the data object was initialized.
sequence ( uint64 , default 0 ) – The unique sequence number for the update. If default 0 then will increment the sequence .
time_in_force (TimeInForce, default GTC ) – The order time in force for this update.

action ¶

The order book delta action { ADD , UPDATED , DELETE , CLEAR }.

Returns :: BookAction

book_type ¶

The order book type (L1_TBBO, L2_MBP, L3_MBO).

Returns :: BookType

static from_dict ( dict values ) → OrderBookDelta ¶

Return an order book delta from the given dict values.

Parameters :: values ( dict [ str , object ] ) – The values for initialization.
Returns :: OrderBookDelta

classmethod fully_qualified_name ( type cls ) → str ¶

Return the fully qualified name for the Data class.

Returns :: str

References

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

instrument_id ¶

The instrument ID for the order book.

Returns :: InstrumentId

order ¶

The order to apply.

Returns :: Order

sequence ¶

The unique sequence number.

Returns :: uint64

time_in_force ¶

The time in force for this update.

Returns :: TimeInForce

static to_dict ( OrderBookDelta obj ) ¶

Return a dictionary representation of this object.

Returns :: dict[str, object]

ts_event ¶

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

Returns :: uint64_t

ts_init ¶

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

Returns :: uint64_t

class OrderBookDeltas ( InstrumentId instrument_id , BookType book_type , list deltas , uint64_t ts_event , uint64_t ts_init , uint64_t sequence=0 , TimeInForce time_in_force=TimeInForce.GTC ) ¶

Bases: OrderBookData

Represents bulk changes for an OrderBook .

Parameters :

instrument_id ( InstrumentId ) – The instrument ID for the book.
book_type (BookType { L1_TBBO , L2_MBP , L3_MBO }) – The order book type.
deltas ( list [ OrderBookDelta ] ) – The list of order book changes.
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the data event occurred.
ts_init ( uint64_t ) – The UNIX timestamp (nanoseconds) when the data object was initialized.
time_in_force (TimeInForce, default GTC ) – The order time in force for this update.

book_type ¶

The order book type (L1_TBBO, L2_MBP, L3_MBO).

Returns :: BookType

deltas ¶

The order book deltas.

Returns :: list[OrderBookDelta]

static from_dict ( dict values ) → OrderBookDeltas ¶

Return order book deltas from the given dict values.

Parameters :: values ( dict [ str , object ] ) – The values for initialization.
Returns :: OrderBookDeltas

classmethod fully_qualified_name ( type cls ) → str ¶

Return the fully qualified name for the Data class.

Returns :: str

References

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

instrument_id ¶

The instrument ID for the order book.

Returns :: InstrumentId

sequence ¶

The unique sequence number.

Returns :: uint64

time_in_force ¶

The time in force for this update.

Returns :: TimeInForce

static to_dict ( OrderBookDeltas obj ) ¶

Return a dictionary representation of this object.

Returns :: dict[str, object]

ts_event ¶

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

Returns :: uint64_t

ts_init ¶

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

Returns :: uint64_t

class OrderBookSnapshot ( InstrumentId instrument_id , BookType book_type , list bids , list asks , uint64_t ts_event , uint64_t ts_init , uint64_t sequence=0 , TimeInForce time_in_force=TimeInForce.GTC ) ¶

Bases: OrderBookData

Represents a snapshot in time for an OrderBook .

Parameters :

instrument_id ( InstrumentId ) – The instrument ID for the book.
book_type (BookType { L1_TBBO , L2_MBP , L3_MBO }) – The order book type.
bids ( list ) – The bids for the snapshot.
asks ( list ) – The asks for the snapshot.
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the data event occurred.
ts_init ( uint64_t ) – The UNIX timestamp (nanoseconds) when the data object was initialized.
sequence ( uint64 , default 0 ) – The unique sequence number for the update. If default 0 then will increment the sequence .
time_in_force (TimeInForce, default GTC ) – The order time in force for this update.

asks ¶

The snapshot asks.

Returns :: list

bids ¶

The snapshot bids.

Returns :: list

book_type ¶

The order book type (L1_TBBO, L2_MBP, L3_MBO).

Returns :: BookType

static from_dict ( dict values ) → OrderBookSnapshot ¶

Return an order book snapshot from the given dict values.

Parameters :: values ( dict [ str , object ] ) – The values for initialization.
Returns :: OrderBookSnapshot

classmethod fully_qualified_name ( type cls ) → str ¶

Return the fully qualified name for the Data class.

Returns :: str

References

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

instrument_id ¶

The instrument ID for the order book.

Returns :: InstrumentId

sequence ¶

The unique sequence number.

Returns :: uint64

time_in_force ¶

The time in force for this update.

Returns :: TimeInForce

static to_dict ( OrderBookSnapshot obj ) ¶

Return a dictionary representation of this object.

Returns :: dict[str, object]

ts_event ¶

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

Returns :: uint64_t

ts_init ¶

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

Returns :: uint64_t

class Ladder ( bool reverse , uint8_t price_precision , uint8_t size_precision ) ¶

Bases: object

Represents a ladder of price levels in a book.

A ladder is on one side of the book, either bid or ask/offer.

Parameters :

reverse ( bool ) – If the ladder should be represented in reverse order of price (bids).
price_precision ( uint8 ) – The price precision of the books orders.
size_precision ( uint8 ) – The size precision of the books orders.

Raises :

OverflowError – If price_precision is negative (< 0).
OverflowError – If size_precision is negative (< 0).

add ( self , BookOrder order ) → void ¶

Add the given order to the ladder.

Parameters :: order ( BookOrder ) – The order to add.

delete ( self , BookOrder order ) → void ¶

Delete the given order in the ladder.

Parameters :: order ( BookOrder ) –
Raises :: KeyError – If order.order_id is not contained in the order ID level index.

depth ( self , int n=1 ) → list ¶

Return the levels in the ladder to the given depth.

Parameters :: n ( int ) – The maximum level to query.
Returns :: list[Level]

exposures ( self ) → list ¶

The exposures in the ladder.

Returns :: list[double]

is_reversed ¶

If the ladder is in reverse order.

Returns :: bool

levels ¶

The ladders levels.

Returns :: list[Level]

price_precision ¶

The ladders price precision.

Returns :: uint8

prices ( self ) → list ¶

The prices in the ladder.

Returns :: list[double]

simulate_order_fills ( self , BookOrder order , DepthType depth_type=DepthType.VOLUME ) → list ¶

Return a simulation of where this order would be filled in the ladder.

Parameters :

order ( BookOrder ) – The order to simulate.
depth_type ( DepthType ) – The depth type to simulate.

Returns :

list[(Price, Quantity)]

size_precision ¶

The ladders size precision.

Returns :: uint8

top ( self ) → Level ¶

The top Level in the ladder.

Returns :: Level or None

update ( self , BookOrder order ) → void ¶

Update the given order in the ladder.

Parameters :: order ( BookOrder ) – The order to add.

volumes ( self ) → list ¶

The volumes in the ladder.

Returns :: list[double]

class Level ( double price ) ¶

Bases: object

Represents an OrderBook level.

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

Parameters :: price ( double ) – The price for the level.

add ( self , BookOrder order ) → void ¶

Add the given order to this level.

Parameters :: order ( BookOrder ) – The order to add.
Raises :: ValueError – If order.price is not equal to the levels price.

bulk_add ( self , list orders ) → void ¶

Add the list of bulk orders to this level.

Parameters :: orders ( list [ BookOrder ] ) – The orders to add.

delete ( self , BookOrder order ) → void ¶

Delete the given order from this level.

Parameters :: order ( BookOrder ) – The order to delete.

exposure ( self ) → double ¶

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

Returns :: double

orders ¶

The orders at the level.

Returns :: list[Order]

price ¶

The levels price.

Returns :: double

update ( self , BookOrder order ) → void ¶

Update the given order on this level.

Parameters :: order ( BookOrder ) – The order to update.
Raises :: KeyError – If order is not found at this level.

volume ( self ) → double ¶

Return the volume at this level.

Returns :: double

class SimulatedL1OrderBook ( InstrumentId instrument_id , uint8_t price_precision , uint8_t size_precision ) ¶

Bases: L1OrderBook

Provides a simulated level 1 order book for backtesting.

Parameters :

instrument_id ( InstrumentId ) – The instrument ID for the book.
price_precision ( uint8 ) – The price precision of the books orders.
size_precision ( uint8 ) – The size precision of the books orders.

Raises :

OverflowError – If price_precision is negative (< 0).
OverflowError – If size_precision is negative (< 0).

add ( self , BookOrder order , uint64_t sequence=0 ) → void ¶: NotImplemented (Use update(order) for SimulatedOrderBook).

apply ( self , OrderBookData data ) → void ¶

Apply the data to the order book.

Parameters :: data ( OrderBookData ) – The data to apply.
Raises :: ValueError – If data.level is not equal to self.type .

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.
Raises :: ValueError – If snapshot.book_type is not equal to self.type .

apply_snapshot ( self , OrderBookSnapshot snapshot ) → void ¶

Apply the bulk snapshot to the order book.

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

asks ¶

The order books asks.

Returns :: Ladder

best_ask_level ( self ) → Level ¶

Return the best ask level.

Returns :: Level

best_ask_price ( self ) ¶

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

Returns :: double

best_ask_qty ( self ) ¶

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

Returns :: double or None

best_bid_level ( self ) → Level ¶

Return the best bid level.

Returns :: Level

best_bid_price ( self ) ¶

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

Returns :: double

best_bid_qty ( self ) ¶

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

Returns :: double

bids ¶

The order books bids.

Returns :: Ladder

check_integrity ( self ) → void ¶

Check order book integrity.

For a L1 TBBO order book: - There should be at most one level per side. - The bid side price should not be greater than or equal to the ask side price.

Raises :: BookIntegrityError – If any check fails.

clear ( self ) → void ¶: Clear the entire order book.

clear_asks ( self ) → void ¶: Clear the asks from the order book.

clear_bids ( self ) → void ¶: Clear the bids from the order book.

count ¶

The update count for the book.

Returns :: uint64_t

static create ( Instrument instrument , BookType book_type , bool simulated=False ) ¶

Create a new order book with the given parameters.

Parameters :

instrument ( Instrument ) – The instrument for the book.
book_type (BookType { L1_TBBO , L2_MBP , L3_MBO }) – The order book level.
simulated ( bool ) – If the order book should be simulated (for backtesting only).

Returns :

OrderBook

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

Delete the given order in the book.

Parameters :

order ( BookOrder ) – The order to delete.
sequence ( uint64 , default 0 ) – The unique sequence number for the update. If default 0 then will increment the sequence .

get_price_for_quote_volume ( self , bool is_buy , double quote_volume ) → double ¶

get_price_for_volume ( self , bool is_buy , double volume ) → double ¶

get_quote_volume_for_price ( self , bool is_buy , double price ) → double ¶

get_volume_for_price ( self , bool is_buy , double price ) → double ¶

get_vwap_for_volume ( self , bool is_buy , double volume ) → double ¶

instrument_id ¶

The order book instrument ID.

Returns :: InstrumentId

midpoint ( self ) ¶

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

Returns :: double or None

pprint ( self , int num_levels=3 , show=u'size' ) → unicode ¶

Print the order book in a clear format.

Parameters :

num_levels ( int ) – The number of levels to print.
show ( str ) – The data to show.

Returns :

str

price_precision ¶

The order book price precision.

Returns :: uint8

sequence ¶

The last sequence number for the book.

Returns :: uint64_t

size_precision ¶

The order book size precision.

Returns :: uint8

spread ( self ) ¶

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

Returns :: double or None

trade_side ( self , TradeTick trade ) → int ¶

Return which side of the book a trade occurred given a trade tick.

Parameters :: trade ( TradeTick ) – The trade tick.
Returns :: OrderSide

ts_last ¶

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

Returns :: uint64_t

type ¶

The order book type { L1_TBBO , L2_MBP , L3_MBO }.

Returns :: BookType

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

Update the given order in the book.

Parameters :

order ( Order ) – The order to update.
sequence ( uint64 , default 0 ) – The unique sequence number for the update. If default 0 then will increment the sequence .

class SimulatedL2OrderBook ( InstrumentId instrument_id , uint8_t price_precision , uint8_t size_precision ) ¶

Bases: L2OrderBook

Provides a simulated level 2 order book for backtesting.

Parameters :

instrument_id ( InstrumentId ) – The instrument ID for the book.
price_precision ( uint8 ) – The price precision of the books orders.
size_precision ( uint8 ) – The size precision of the books orders.

Raises :

OverflowError – If price_precision is negative (< 0).
OverflowError – If size_precision is negative (< 0).

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

Add the given order to the book.

Parameters :

order ( BookOrder ) – The order to add.
sequence ( uint64 , default 0 ) – The unique sequence number for the update. If default 0 then will increment the sequence .

apply ( self , OrderBookData data ) → void ¶

Apply the data to the order book.

Parameters :: data ( OrderBookData ) – The data to apply.
Raises :: ValueError – If data.level is not equal to self.type .

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.
Raises :: ValueError – If snapshot.book_type is not equal to self.type .

apply_snapshot ( self , OrderBookSnapshot snapshot ) → void ¶

Apply the bulk snapshot to the order book.

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

asks ¶

The order books asks.

Returns :: Ladder

best_ask_level ( self ) → Level ¶

Return the best ask level.

Returns :: Level

best_ask_price ( self ) ¶

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

Returns :: double

best_ask_qty ( self ) ¶

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

Returns :: double or None

best_bid_level ( self ) → Level ¶

Return the best bid level.

Returns :: Level

best_bid_price ( self ) ¶

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

Returns :: double

best_bid_qty ( self ) ¶

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

Returns :: double

bids ¶

The order books bids.

Returns :: Ladder

check_integrity ( self ) → void ¶

Check order book integrity.

For a L2_MBP order book: - There should be at most one order per level. - The bid side price should not be greater than or equal to the ask side price.

Raises :: BookIntegrityError – If any check fails.

clear ( self ) → void ¶: Clear the entire order book.

clear_asks ( self ) → void ¶: Clear the asks from the order book.

clear_bids ( self ) → void ¶: Clear the bids from the order book.

count ¶

The update count for the book.

Returns :: uint64_t

static create ( Instrument instrument , BookType book_type , bool simulated=False ) ¶

Create a new order book with the given parameters.

Parameters :

instrument ( Instrument ) – The instrument for the book.
book_type (BookType { L1_TBBO , L2_MBP , L3_MBO }) – The order book level.
simulated ( bool ) – If the order book should be simulated (for backtesting only).

Returns :

OrderBook

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

Delete the given order in the book.

Parameters :

order ( BookOrder ) – The order to delete.
sequence ( uint64 , default 0 ) – The unique sequence number for the update. If default 0 then will increment the sequence .

get_price_for_quote_volume ( self , bool is_buy , double quote_volume ) → double ¶

get_price_for_volume ( self , bool is_buy , double volume ) → double ¶

get_quote_volume_for_price ( self , bool is_buy , double price ) → double ¶

get_volume_for_price ( self , bool is_buy , double price ) → double ¶

get_vwap_for_volume ( self , bool is_buy , double volume ) → double ¶

instrument_id ¶

The order book instrument ID.

Returns :: InstrumentId

midpoint ( self ) ¶

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

Returns :: double or None

pprint ( self , int num_levels=3 , show=u'size' ) → unicode ¶

Print the order book in a clear format.

Parameters :

num_levels ( int ) – The number of levels to print.
show ( str ) – The data to show.

Returns :

str

price_precision ¶

The order book price precision.

Returns :: uint8

sequence ¶

The last sequence number for the book.

Returns :: uint64_t

size_precision ¶

The order book size precision.

Returns :: uint8

spread ( self ) ¶

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

Returns :: double or None

trade_side ( self , TradeTick trade ) → int ¶

Return which side of the book a trade occurred given a trade tick.

Parameters :: trade ( TradeTick ) – The trade tick.
Returns :: OrderSide

ts_last ¶

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

Returns :: uint64_t

type ¶

The order book type { L1_TBBO , L2_MBP , L3_MBO }.

Returns :: BookType

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

Update the given order in the book.

Parameters :

order ( BookOrder ) – The order to update.
sequence ( uint64 , default 0 ) – The unique sequence number for the update. If default 0 then will increment the sequence .

class SimulatedL3OrderBook ( InstrumentId instrument_id , uint8_t price_precision , uint8_t size_precision ) ¶

Bases: L3OrderBook

Provides a simulated level 3 order book for backtesting.

Parameters :

instrument_id ( InstrumentId ) – The instrument ID for the book.
price_precision ( uint8 ) – The price precision of the books orders.
size_precision ( uint8 ) – The size precision of the books orders.

Raises :

OverflowError – If price_precision is negative (< 0).
OverflowError – If size_precision is negative (< 0).

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

Add the given order to the book.

Parameters :

order ( BookOrder ) – The order to add.
sequence ( uint64 , default 0 ) – The unique sequence number for the update. If default 0 then will increment the sequence .

apply ( self , OrderBookData data ) → void ¶

Apply the data to the order book.

Parameters :: data ( OrderBookData ) – The data to apply.
Raises :: ValueError – If data.level is not equal to self.type .

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.
Raises :: ValueError – If snapshot.book_type is not equal to self.type .

apply_snapshot ( self , OrderBookSnapshot snapshot ) → void ¶

Apply the bulk snapshot to the order book.

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

asks ¶

The order books asks.

Returns :: Ladder

best_ask_level ( self ) → Level ¶

Return the best ask level.

Returns :: Level

best_ask_price ( self ) ¶

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

Returns :: double

best_ask_qty ( self ) ¶

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

Returns :: double or None

best_bid_level ( self ) → Level ¶

Return the best bid level.

Returns :: Level

best_bid_price ( self ) ¶

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

Returns :: double

best_bid_qty ( self ) ¶

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

Returns :: double

bids ¶

The order books bids.

Returns :: Ladder

check_integrity ( self ) → void ¶

Check order book integrity.

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

Raises :: BookIntegrityError – If any check fails.

clear ( self ) → void ¶: Clear the entire order book.

clear_asks ( self ) → void ¶: Clear the asks from the order book.

clear_bids ( self ) → void ¶: Clear the bids from the order book.

count ¶

The update count for the book.

Returns :: uint64_t

static create ( Instrument instrument , BookType book_type , bool simulated=False ) ¶

Create a new order book with the given parameters.

Parameters :

instrument ( Instrument ) – The instrument for the book.
book_type (BookType { L1_TBBO , L2_MBP , L3_MBO }) – The order book level.
simulated ( bool ) – If the order book should be simulated (for backtesting only).

Returns :

OrderBook

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

Delete the given order in the book.

Parameters :

order ( Order ) – The order to delete.
sequence ( uint64 , default 0 ) – The unique sequence number for the update. If default 0 then will increment the sequence .

get_price_for_quote_volume ( self , bool is_buy , double quote_volume ) → double ¶

get_price_for_volume ( self , bool is_buy , double volume ) → double ¶

get_quote_volume_for_price ( self , bool is_buy , double price ) → double ¶

get_volume_for_price ( self , bool is_buy , double price ) → double ¶

get_vwap_for_volume ( self , bool is_buy , double volume ) → double ¶

instrument_id ¶

The order book instrument ID.

Returns :: InstrumentId

midpoint ( self ) ¶

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

Returns :: double or None

pprint ( self , int num_levels=3 , show=u'size' ) → unicode ¶

Print the order book in a clear format.

Parameters :

num_levels ( int ) – The number of levels to print.
show ( str ) – The data to show.

Returns :

str

price_precision ¶

The order book price precision.

Returns :: uint8

sequence ¶

The last sequence number for the book.

Returns :: uint64_t

size_precision ¶

The order book size precision.

Returns :: uint8

spread ( self ) ¶

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

Returns :: double or None

trade_side ( self , TradeTick trade ) → int ¶

Return which side of the book a trade occurred given a trade tick.

Parameters :: trade ( TradeTick ) – The trade tick.
Returns :: OrderSide

ts_last ¶

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

Returns :: uint64_t

type ¶

The order book type { L1_TBBO , L2_MBP , L3_MBO }.

Returns :: BookType

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

Update the given order in the book.

Parameters :

order ( Order ) – The order to update.
sequence ( uint64 , default 0 ) – The unique sequence number for the update. If default 0 then will increment the sequence .

exception BookIntegrityError ¶

Bases: Exception

Represents an error condition where the order books integrity has been lost.

add_note ( ) ¶: Exception.add_note(note) – add a note to the exception

with_traceback ( ) ¶: Exception.with_traceback(tb) – set self.__traceback__ to tb and return self.