checkpoint

Author: joequant

bin/limitbook-parse.py

@@ -16,13 +16,15 @@
         trade_id = 0
         for line in reader:
             if line[0] == 'B' or line[0] == 'A':
-                tokens = line.split(",")
-                (trades, order) = order_book.process_order(
-                    {"type" : "limit",
+                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" : trade_id}, False, False)
+                     "trade_id" : trade_id}
+                if len(tokens) >=4:
+                    d['tag'] = tokens[3]
+                (trades, order) = order_book.process_order(d, False, False)
                 trade_id = trade_id + 1
             # Manual Debugging
             print ("\n")

orderbook/order.py

@@ -14,6 +14,7 @@ def __init__(self, quote, order_list):
         self.price = Decimal(quote['price']) # decimal representing price (currency)
         self.order_id = int(quote['order_id'])
         self.trade_id = int(quote['trade_id'])
+        self.tag = quote.get('tag', None)
         # 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 +36,4 @@ 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 "Order: %s@%s Timestamp - %s%s" % (self.quantity, self.price, self.timestamp, '' if self.tag is None else (", Tag -%s" % self.tag))