add html mode

Author: joequant

bin/algosim.py

@@ -5,64 +5,186 @@
 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
+
+d = difflib.Differ()
+format='html'
 
 if __name__ == '__main__':
-    def process_line(order_book, line):
+    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=', d)
         return order_book.process_order(d, False, False)
 
 
     order_book = OrderBook()
-    if len(sys.argv) != 2 and len(sys.argv) != 3:
-        print("usage: %s input.csv [algo]" % sys.argv[0])
+    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)
+                (trade, order) = process_line(order_book, line, start_algo)
                 myalgo.trade_stats(trade, 'trade')
+            elif line[0:12] == 'C,start-algo':
+                start_algo = True
+                printme("--------- START -------")
+
+            if not start_algo:
+                continue
             # Manual Debugging
-            print ("\n")
-            print ("Input: " + line)
-            print (order_book)
-            print (myalgo.stats())
- #           input("Press enter to continue.")
+            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(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.trade_stats(trade, mode)
                 if len(algo_orders) > 0:
-                    print("\n")
-                    print("After algo")
-                    print(order_book)
-                    print (myalgo.stats())
-#                    input("Press enter to continue.")
+                    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:
-        print ('Cannot open input file "%s"' % sys.argv[1])
+        printme ('Cannot open input file "%s"' % sys.argv[1])
         sys.exit(1)