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Author: danielktaylor

README.md

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+# PyLimitBook
+
+PyLimitBook is an implementation of a fast limit-order book for level-2 US equities data writen in Python. It includes some tools to output sampled data as well as a curses-based application to view the book and move forward or backward in time.
+
+Input files must be for a single day, symbol, and exchange.
+
+This code is aimed at other developers looking for a limit-book implementation to include in their own trading projects.
+
+## Requirements
+
+* Python libraries bintrees (v0.4 used) and pandas.
+* curses and cPickle libraries are also used, but are often installed by default.
+* This code has thus far only been tested on Ubuntu Linux with Python 2.7.2.
+
+## Input Data Format
+
+PyLimitBook applications expect the following input format (in a CSV file):
+
+* bids:
+
+	`B,<symbol>,<exchange>,<id>,<quantity>,<price>,<timestamp>`
+* asks:
+
+	`A,<symbol>,<exchange>,<id>,<quantity>,<price>,<timestamp>`
+* trades: (optional)
+
+	`T,<symbol>,<exchange>,<quantity>,<price>,<timestamp>`
+
+Symbol and exchange values are currently unimportant and can be dummy values.
+Lines should be in timestamp-order from earliest to latest (the order it is sent by the exchange).
+
+## Application Descriptions
+
+* `parse.py`  -  Simple illustration of using the limit book
+* `tseries.py`  -  Parse an input file and export 1-second snapshots of the book (Uses pandas library to fill in gaps, etc)
+* `convert.py`  -  Convert from an input format that uses ', ' as a CSV separator and different column order to the correct input format.
+* `bookViewer.py`  -  Graphically view the book state at any point in time
+
+![BookViewer Screenshot](https://github.com/yoblin/PyLimitBook/raw/master/documentation/bookViewer_screenshot.png)
+
+## Known Issues
+
+* There are some resize issues when using bookViewer.py in a (uselessly) small terminal.
+