Order Book ¶
Defines real-time and simulated order book components and data.
- class Level ¶
-
Bases:
objectRepresents a read-only order book Level .
A price level on one side of the order book with one or more individual orders.
- Parameters :
- 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
- volume ( self ) double ¶
-
Return the volume at this level.
- Returns :
-
double
- class OrderBook ( InstrumentId instrument_id , BookType book_type ) ¶
-
Bases:
DataProvides an order book which can handle L1/L2/L3 granularity data.
- add ( self , BookOrder order , uint64_t ts_event , 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 , 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.
- 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 now will panic from Rust and print the error message to stdout.
For all order books: - The bid side price should not be greater than the ask side price.
- 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 , uint64_t sequence=0 ) void ¶
-
Cancel 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 .
-
- classmethod fully_qualified_name ( cls ) str ¶
-
Return the fully qualified name for the Data class.
- Returns :
-
str
References
- 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).
- 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 ¶
-
Print the order book in a clear format.
- Parameters :
-
num_levels ( int ) – The number of levels to print.
- 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 , 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 .
-