Can we inherit this OrderBook?

[Broever101]

I want to inherit this OrderBook to add some custom functionality. Is that possible? How can it be done and which interfaces I need to implement?

[bmoscon]

It can be done, but you'd have to look at the Python C API specification and implement all the requisite functions and structures.

[lijiachang]

i have done like this：

from order_book import OrderBook as C_OrderBook

class FastOrderBook(C_OrderBook):
    def __init__(self, instrument_name, bids: dict, asks: dict, change_id, timestamp,
                 greeks=None, mark_price=None, mark_iv=None, bid_iv=None, ask_iv=None, connection_id=None,
                 max_depth: int = None):
        if max_depth:
            super().__init__(max_depth=max_depth)
        else:
            super().__init__()

        self.instrument_name = instrument_name
        ...

    def __setattr__(self, key, value):
        if key in ('bids', 'asks'):
            super().__setattr__(key, value)
        else:
            self.__dict__[key] = value

    def to_json(self, level=0):
        # asks = [(price, self.asks[price]) for price in self.asks]
        # bids = [(price, self.bids[price]) for price in self.bids]
        d = self.to_dict()
        asks = list(d['ask'].items())
        bids = list(d['bid'].items())
        ...