Description:
liquibook 1.0.0
This project is a python wrapper for Liquibook. Liquibook is a low latency open source order matching engine written in modern C++ -
Liquibook Source Code
This project allows to submit orders and receive the following notifications:
Order State
Order accepted
Order rejected
Order filled (full or partial)
Order replaced
Replace request rejected
Order canceled
Cancel request rejected.
Order Book State
Depth book changed
Best Bid or Best Offer (BBO) changed
Example:
Submitting Buy - Price : 100 Size: 10
Receive and print
Order accept details
Price depth
BBO Change
Submitting Buy - Price : 110 Size: 10
Receive and print
Order accept details
Price depth
BBO Change
Submitting Sell - Price : 120 Size: 30
Receive and print
Order accept details
Price depth
BBO Change
Cancelling Sell - Price : 120 Size: 30
Receive and print
Order cancel details
Price depth
BBO Change
Submitting Sell - Price : 100 Size: 25
Receive and print
Order accept details
Trades @110
Trades @100
Price depth
BBO Change
import liquibook
from liquibook import pretty_print
import time
class DepthListener(liquibook.DepthListener):
def __init__(self):
print("DepthListener")
liquibook.DepthListener.__init__(self)
def on_depth_change(self, book, depth):
print('Depth change:[' + book.symbol() + ']')
print(liquibook.pretty_print.depth_header)
print(liquibook.pretty_print.depth_header_separator)
pretty_depth = liquibook.pretty_print.depth(depth)
print(pretty_depth)
print('\n')
class OrderListener(liquibook.OrderListener):
def __init__(self):
print("OrderListener")
liquibook.OrderListener.__init__(self)
def on_accept(self, order):
print('Order accepted: [' + str(order.order_id_) + ']')
order_string = liquibook.pretty_print.order(order)
print(liquibook.pretty_print.order_header)
print(liquibook.pretty_print.order_header_separator)
print(order_string)
print('\n')
def on_cancel(self, order):
print('Order cancelled: [' + str(order.order_id_) + ']')
order_string = liquibook.pretty_print.order(order)
print(liquibook.pretty_print.order_header)
print(liquibook.pretty_print.order_header_separator)
print(order_string)
print('\n')
def on_fill(self, passive_order, aggressive_order, fill_qty, fill_cost):
passive_order.fill(fill_qty, fill_cost,0)
aggressive_order.fill(fill_qty, fill_cost,0)
print('Orders Filled: @' + str(fill_cost) + '')
print(liquibook.pretty_print.order_header)
print(liquibook.pretty_print.order_header_separator)
aggressive_order_string = liquibook.pretty_print.order(passive_order)
passive_order_order_string = liquibook.pretty_print.order(aggressive_order)
print(aggressive_order_string)
print(passive_order_order_string+'\n')
class BBOListener(liquibook.DepthOrderBookBboListener):
def __init__(self):
print("BBO Listener")
liquibook.DepthOrderBookBboListener.__init__(self)
def on_bbo_change(self, book, depth):
print('Best bid/offer change: [' + book.symbol() + ']')
print(liquibook.pretty_print.depth_header)
print(liquibook.pretty_print.depth_header_separator)
bid_price_size_tuple = liquibook.pretty_print.depth_level(depth.bids())
ask_price_size_tuple = liquibook.pretty_print.depth_level(depth.asks())
top_level_out = liquibook.pretty_print.depth_header_format.\
format(bid=bid_price_size_tuple, ask=ask_price_size_tuple)
print(top_level_out+'\n')
if __name__ == '__main__':
order_book_listener = DepthListener()
bbo_listener = BBOListener()
order_listener = OrderListener()
basic_order_book = liquibook.DepthOrderBook()
basic_order_book.set_bbo_listener(bbo_listener)
basic_order_book.set_depth_listener(order_book_listener)
basic_order_book.set_order_listener(order_listener)
basic_order_book.set_symbol('AAPL')
transaction_seprator="="*len(liquibook.pretty_print.order_header)
print(transaction_seprator)
buy_order_1 = liquibook.SimpleOrder(True, 100, 10)
print('Submitting Buy - Price : {:<7} Size: {:<7}'.format(buy_order_1.price(), buy_order_1.order_qty()))
time.sleep(1)
basic_order_book.add(buy_order_1)
print(transaction_seprator)
buy_order_2 = liquibook.SimpleOrder(True, 110, 10)
print('\n\nSubmitting Buy - Price : {:<7} Size: {:<7}'.format(buy_order_2.price(), buy_order_2.order_qty()))
time.sleep(1)
basic_order_book.add(buy_order_2)
print(transaction_seprator)
sell_order_1 = liquibook.SimpleOrder(False, 120, 30)
print('\n\nSubmitting Sell - Price : {:<7} Size: {:<7}'.format(sell_order_1.price(), sell_order_1.order_qty()))
time.sleep(2)
basic_order_book.add(sell_order_1)
print(transaction_seprator)
print('\n\nCancelling Sell - Price : {:<7} Size: {:<7}'.format(sell_order_1.price(), sell_order_1.order_qty()))
time.sleep(2)
basic_order_book.cancel(sell_order_1)
print(transaction_seprator)
sell_order_2 = liquibook.SimpleOrder(False, 100, 25)
print('\n\nSubmitting Sell - Price : {:<7} Size: {:<7}'.format(sell_order_2.price(), sell_order_2.order_qty()))
time.sleep(2)
basic_order_book.add(sell_order_2)
print(transaction_seprator)
License
For personal and professional use. You cannot resell or redistribute these repositories in their original state.
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