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

References

• OrderBook
• OrderBook Programming
• Building a Trading System
• Limit Book