ob-example.py

from orderbook import OrderBook
from ordertree import OrderTree
from orderlist import OrderList
from order import Order
import sys

order_book = OrderBook()

def main():
    limit_orders = [{'type' : 'limit', 
                       'side' : 'ask', 
                        'quantity' : 5, 
                        'price' : 101,
                        'trade_id' : 100},
                       {'type' : 'limit', 
                        'side' : 'ask', 
                        'quantity' : 5, 
                        'price' : 103,
                        'trade_id' : 101},
                       {'type' : 'limit', 
                        'side' : 'ask', 
                        'quantity' : 5, 
                        'price' : 101,
                        'trade_id' : 102},
                       {'type' : 'limit', 
                        'side' : 'ask', 
                        'quantity' : 5, 
                        'price' : 101,
                        'trade_id' : 103},
                       {'type' : 'limit', 
                        'side' : 'bid', 
                        'quantity' : 5, 
                        'price' : 99,
                        'trade_id' : 100},
                       {'type' : 'limit', 
                        'side' : 'bid', 
                        'quantity' : 5, 
                        'price' : 98,
                        'trade_id' : 101},
                       {'type' : 'limit', 
                        'side' : 'bid', 
                        'quantity' : 5, 
                        'price' : 99,
                        'trade_id' : 102},
                       {'type' : 'limit', 
                        'side' : 'bid', 
                        'quantity' : 5, 
                        'price' : 97,
                        'trade_id' : 103},
                       ]

    # Add orders to order book
    for order in limit_orders:
        trades, order_id = order_book.process_order(order, False, False)

    # The current book may be viewed using a print
    print order_book

    # Submitting a limit order that crosses the opposing best price will result in a trade
    crossing_limit_order = {'type': 'limit',
                            'side': 'bid',
                            'quantity': 2,
                            'price': 102,
                            'trade_id': 109}

    print crossing_limit_order
    trades, order_in_book = order_book.process_order(crossing_limit_order, False, False)
    print "Trade occurs as incoming bid limit crosses best ask"
    print trades
    print order_book

    # If a limit crosses but is only partially matched, the remaning volume will
    # be placed in the book as an outstanding order
    big_crossing_limit_order = {'type': 'limit',
                                'side': 'bid',
                                'quantity': 50,
                                'price': 102,
                                'trade_id': 110}
    print big_crossing_limit_order
    trades, order_in_book = order_book.process_order(big_crossing_limit_order, False, False)
    print "Large incoming bid limit crosses best ask. Remaining volume is placed in book."
    print trades
    print order_book


    # Market Orders

    # Market orders only require that a user specifies a side (bid or ask), a quantity, and their unique trade id
    market_order = {'type': 'market',
                    'side': 'ask',
                    'quantity': 40,
                    'trade_id': 111}
    trades, order_id = order_book.process_order(market_order, False, False)
    print "A market order takes the specified volume from the inside of the book, regardless of price"
    print "A market ask for 40 results in:"
    print order_book

if __name__ == "__main__":
    sys.exit(int(main() or 0))