Merge pull request #5 from joequant/master

Add algo simulator

Author: dyn4mik3

bin/algosim.py

@@ -0,0 +1,191 @@
+#!/usr/bin/python
+
+import sys
+from orderbook import OrderBook
+from six.moves import cStringIO
+from builtins import input
+from decimal import Decimal
+from six.moves import cStringIO as StringIO
+from six.moves import zip_longest
+import importlib
+import json
+import copy
+import difflib
+import pprint
+
+d = difflib.Differ()
+format='html'
+
+if __name__ == '__main__':
+    def printme(*args):
+        if format == 'html':
+            print(*args)
+            print('<br>')
+        else:
+            print(*args)
+
+    def print_orderbook(newbook, oldbook):
+        if format == 'html':
+            tempfile = StringIO()
+            tempfile.write('<table>')
+            tempfile.write('<tr>')
+            tempfile.write("<td><b>Bids</b></td>")
+            tempfile.write("<td><b>Asks</b></td>")
+            tempfile.write("</tr>")
+            bids_new = []
+            asks_new = []
+
+            bids_old = []
+            asks_old = []
+            if newbook.bids != None and len(newbook.bids) > 0:
+                for key, value in newbook.bids.price_tree.items(reverse=True):
+                    for order in value:
+                        bids_new += [str(order)]
+            if newbook.asks != None and len(newbook.asks) > 0:
+                for key, value in list(newbook.asks.price_tree.items()):
+                    for order in value:
+                        asks_new += [str(order)]
+            if oldbook.bids != None and len(oldbook.bids) > 0:
+                for key, value in oldbook.bids.price_tree.items(reverse=True):
+                    for order in value:
+                        bids_old += [str(order)]
+            if oldbook.asks != None and len(oldbook.asks) > 0:
+                for key, value in list(oldbook.asks.price_tree.items()):
+                    for order in value:
+                        asks_old += [str(order)]
+
+            bids_diff = list(d.compare(bids_old, bids_new))
+            asks_diff = list(d.compare(asks_old, asks_new))
+            bids = []
+            for i in bids_diff:
+                if i[0:2] == '? ':
+                    continue
+                elif i[0:2] == '+ ':
+                    bids += ["<b>" + i[2:] + "</b>"]
+                elif i[0:2] == '- ':
+                    bids += ["<strike>" + i[2:] + "</strike>"]
+                else:
+                    bids += [i]
+
+            asks = []
+            for i in asks_diff:
+                if i[0:2] == '? ':
+                    continue
+                elif i[0:2] == '+ ':
+                    asks += ["<b>" + i[2:] + "</b>"]
+                elif i[0:2] == '- ':
+                    asks += ["<strike>" + i[2:] + "</strike>"]
+                else:
+                    asks += [i]
+                        
+            for i in zip_longest(bids, asks):
+                tempfile.write('<tr><td>' + \
+                               (i[0] if i[0] is not None else '') + \
+                               '</td><td>' + \
+                               (i[1] if i[1] is not None else '') + \
+                               '</td></tr>\n')
+            tempfile.write('</table><p>')
+            tempfile.write("\n<b>Trades</b><br>\n")
+            if newbook.tape != None and len(newbook.tape) > 0:
+                num = 0
+                for entry in newbook.tape:
+                    if num < 10: # get last 5 entries
+                        tempfile.write(str(entry['quantity']) + " @ " + str(entry['price']) + " (" + str(entry['timestamp']) + ") " + str(entry['party1'][0]) + "/" + str(entry['party2'][0]) + "<br>\n")
+                        num += 1
+                    else:
+                        break
+            tempfile.write("\n")
+            print(tempfile.getvalue())
+        else:
+            print(newbook)
+    
+    def process_line(order_book, line, output=True):
+        tokens = line.strip().split(",")
+        d = {"type" : "limit",
+             "side" : "bid" if tokens[0] == 'B' else 'ask',
+             "quantity": int(tokens[1]),
+             "price" : Decimal(tokens[2]),
+             "trade_id" : tokens[3]}
+        if output:
+            printme('external order=', pprint.pformat(d))
+        return order_book.process_order(d, False, False)
+                
+    
+    order_book = OrderBook()
+    if len(sys.argv) != 2 and len(sys.argv) != 3 and len(sys.argv) != 4:
+        printme("usage: %s input.csv [algo]" % sys.argv[0])
+        sys.exit(0)
+    if len(sys.argv) == 3:
+        myalgomodule = importlib.import_module(sys.argv[2])
+        myalgo = myalgomodule.Algorithm(order_book)
+    elif len(sys.argv) == 4:
+        myalgomodule = importlib.import_module(sys.argv[2])
+        json_data=open(sys.argv[3]).read()
+        data = json.loads(json_data)
+        myalgo = myalgomodule.Algorithm(order_book, **data)
+    else:
+        myalgo = None
+    try:
+        reader = open(sys.argv[1], 'r')
+        start_algo = False
+        for line in reader:
+            trades = None
+            order = None
+            if start_algo:
+                printme("--------- START -------")
+            old_orderbook = copy.deepcopy(order_book)
+            if line[0] == '#':
+                next
+            elif line[0] == 'B' or line[0] == 'A':
+                (trade, order) = process_line(order_book, line, start_algo)
+                myalgo.process_trade(trade, 'trade')
+            elif line[0:12] == 'C,start-algo':
+                start_algo = True
+                printme("--------- START -------")
+
+            if not start_algo:
+                continue
+            # Manual Debugging
+            printme ("\n")
+            print_orderbook(order_book, old_orderbook)
+            stats=myalgo.stats()
+            printme ("total volume=", stats[0])
+            printme ("my volume=", stats[1])
+            printme ("participation=", stats[3])
+
+            if myalgo != None:
+                (algo_orders, mode) = myalgo.process_order(line,
+                                                           trade, order)
+                printme('')
+                printme("RUNNING ALGO WITH MODE=", mode)
+                old_orderbook = copy.deepcopy(order_book)
+                for line in algo_orders:
+                    printme(pprint.pformat(line))
+                    if line['type'] == 'cancel':
+                        order_book.cancel_order(line['side'],
+                                                line['order_id'])
+                    elif line['type'] == 'modify':
+                        order_book.modify_order(line['order_id'], {
+                            'side': line['side'],
+                            'price': line['price'],
+                            'quantity': line['quantity']})
+                    else:
+                        (trade, order) = order_book.process_order(line,
+                                                                  False,
+                                                                  False)
+                        myalgo.process_trade(trade, mode)
+                if len(algo_orders) > 0:
+                    printme("\n")
+                    printme("After algo")
+                    print_orderbook(order_book, old_orderbook)
+                    stats=myalgo.stats()
+                    printme ("total volume=", stats[0])
+                    printme ("my volume=", stats[1])
+                    printme ("participation=", stats[3])
+                else:
+                    printme("No action by algo")
+                printme("--------- END -------")
+        reader.close()
+    except IOError:
+        printme ('Cannot open input file "%s"' % sys.argv[1])
+        sys.exit(1)

bin/input.csv

@@ -0,0 +1,11 @@
+B,15000,1,AB
+B,15000,1,AB
+B,5000,0.99,CD
+B,3000,0.98,EF
+B,12000,0.97,ABC
+A,31000,1.02,JF
+A,5000,1.04,ML
+A,2000,1.05,SC
+A,2000,1.09,HS
+C,start-algo
+

bin/myalgo.py

@@ -0,0 +1,39 @@
+from decimal import Decimal
+
+class Algorithm(object):
+    def __init__(self, order_book):
+        self.active = False
+        self.order_book = order_book
+        self.volume = 0
+        self.my_volume = 0
+
+    def process_order(self, line, trade, order):
+        tokens = line.strip().split(",")
+        if tokens[0] == 'C' and tokens[1] == 'start-algo':
+            print("starting-algo")
+            self.active = True
+            return (self.start(), 'start')
+        if not self.active:
+            return ([], 'inactive')
+        return ([], 'inactive')
+    
+    def start(self):
+        return [{"type": "limit",
+                 "side": "bid",
+                 "quantity": 10000,
+                 "price": Decimal(1.04 ),
+                 "trade_id" : "ME"}]
+
+    def process_trade(self, trade, mode):
+        for i in trade:
+            self.volume += i['quantity']
+            if i['party1'][0] == "ME" or \
+               i['party2'][0] == "ME":
+                self.my_volume += i['quantity']
+    def stats(self):
+        if (self.volume > 0):
+            return (self.volume, self.my_volume, None,
+                    self.my_volume / self.volume)
+        else:
+            return (self.volume, self.my_volume, None, None)
+

orderbook/order.py

@@ -13,7 +13,7 @@ def __init__(self, quote, order_list):
         self.quantity = Decimal(quote['quantity']) # decimal representing amount of thing - can be partial amounts
         self.price = Decimal(quote['price']) # decimal representing price (currency)
         self.order_id = int(quote['order_id'])
-        self.trade_id = int(quote['trade_id'])
+        self.trade_id = quote['trade_id']
         # doubly linked list to make it easier to re-order Orders for a particular price point
         self.next_order = None
         self.prev_order = None
@@ -35,4 +35,5 @@ def update_quantity(self, new_quantity, new_timestamp):
         self.quantity = new_quantity
 
     def __str__(self):
-        return "Order: Price - %s, Quantity - %s, Timestamp - %s" % (self.price, self.quantity, self.timestamp)
+        return "{}@{}/{} - {}".format(self.quantity, self.price,
+                                      self.trade_id, self.timestamp)

orderbook/orderbook.py

@@ -2,6 +2,7 @@
 import math
 from collections import deque # a faster insert/pop queue
 from six.moves import cStringIO as StringIO
+from decimal import Decimal
 
 from .ordertree import OrderTree
 
@@ -16,11 +17,6 @@ def __init__(self, tick_size = 0.0001):
         self.time = 0
         self.next_order_id = 0
 
-    def clip_price(self, price):
-        '''Clips the price according to the tick size. May not make sense if not 
-        a currency'''
-        return round(price, int(math.log10(1 / self.tick_size)))
-
     def update_time(self):
         self.time += 1
 
@@ -39,7 +35,7 @@ def process_order(self, quote, from_data, verbose):
         if order_type == 'market':
             trades = self.process_market_order(quote, verbose)
         elif order_type == 'limit':
-            quote['price'] = self.clip_price(quote['price'])
+            quote['price'] = Decimal(quote['price'])
             trades, order_in_book = self.process_limit_order(quote, from_data, verbose)
         else:
             sys.exit("order_type for process_order() is neither 'market' or 'limit'")
@@ -78,8 +74,7 @@ def process_order_list(self, side, order_list, quantity_still_to_trade, quote, v
                     self.asks.remove_order_by_id(head_order.order_id)
                 quantity_to_trade -= traded_quantity
             if verbose:
-                print(("TRADE: Time - %d, Price - %f, Quantity - %d, TradeID - %d, Matching TradeID - %d" %
-                        (self.time, traded_price, traded_quantity, counter_party, quote['trade_id'])))
+                print(("TRADE: Time - {}, Price - {}, Quantity - {}, TradeID - {}, Matching TradeID - {}".format(self.time, traded_price, traded_quantity, counter_party, quote['trade_id'])))
 
             transaction_record = {
                     'timestamp': self.time,
@@ -183,7 +178,7 @@ def modify_order(self, order_id, order_update, time=None):
             sys.exit('modify_order() given neither "bid" nor "ask"')
 
     def get_volume_at_price(self, side, price):
-        price = self.clip_price(price)
+        price = Decimal(price)
         if side == 'bid':
             volume = 0
             if self.bids.price_exists(price):
@@ -234,7 +229,7 @@ def __str__(self):
             num = 0
             for entry in self.tape:
                 if num < 10: # get last 5 entries
-                    tempfile.write(str(entry['quantity']) + " @ " + str(entry['price']) + " (" + str(entry['timestamp']) + ")\n")
+                    tempfile.write(str(entry['quantity']) + " @ " + str(entry['price']) + " (" + str(entry['timestamp']) + ") " + str(entry['party1'][0]) + "/" + str(entry['party2'][0]) + "\n")
                     num += 1
                 else:
                     break

orderbook/orderlist.py

@@ -35,6 +35,8 @@ def next(self):
             self.last = self.last.next_order
             return return_value
 
+    __next__ = next # python3
+
     def get_head_order(self):
         return self.head_order
 
@@ -92,9 +94,9 @@ def move_to_tail(self, order):
     def __str__(self):
         from six.moves import cStringIO as StringIO
         temp_file = StringIO()
-        #for order in self:
-        #    temp_file.write("%s\n" % str(order))
-        temp_file.write("%s\n" % str(self.head_order))
+        for order in self:
+            temp_file.write("%s\n" % str(order))
+        #temp_file.write("%s\n" % str(self.head_order))
         return temp_file.getvalue()
 
 

orderbook/ordertree.py

@@ -44,7 +44,6 @@ def order_exists(self, order):
         return order in self.order_map
 
     def insert_order(self, quote):
-        print(quote)
         if self.order_exists(quote['order_id']):
             self.remove_order_by_id(quote['order_id'])
         self.num_orders += 1

orderbook/test/example.py

@@ -12,4 +12,5 @@
     install_requires=[
         "bintrees >= 2.0.1"
         ],
+    scripts=['bin/algosim.py']
     )