orderbook's Introduction

OrderBook

OrderBook Simulator with Limit and Iceberg functionality

Design

Proof of concept of a Limit Order Book (LOB) where the bid and ask order books are implemented as separate trees. Inspired by the [Limit Book] blog post by Selph where limit levels are stored as nodes inside the trees and each node is a doubly-linked list of orders, sorted chronologically.

Structure

Source code stored under orderbook/src/
Tests stored under test/

Install

python setup.py install

Run

runner.py < data/ordersSimple.dat

Test

Single: python -m unittest test.testPriceTree
All: python -m unittest discover

Notes

An order book is an electronic list of buy and sell orders for a security or other instrument organized by price level
Order books are used by almost every exchange for various assets like stocks, bonds, currencies, and even cryptocurrencies
These lists help improve market transparency as they provide information on price, availability, depth of trade, and who initiates transactions
There are three parts to an order book: buy orders, sell orders, and order history
=> A limit order to sell is called an "ask".
Iceberg order is a conditional request made to the broker/system to buy or sell a large required quantity of stock, but in smaller predetermined quantity

Best practices

Separate the intentions of a trading model–such as “place limit orders at $10.15 and $10.10″ from the resulting actual positions
The data structure chosen to represent the limit order book will be the primary source of market information