Disclaimer: This was the initial prototype. The beta-friendly version is a private WIP. Options 1 and 2 are two separate brainstorms. There are tradeoffs for each. I have generally combined both ideas. I will be testing this on real-world data. When I am done, the code will give hedge fund high-frequency trading vibes.
A limit order book is a data structure used in financial markets to manage buy and sell orders. It is a priority queue where orders are sorted by price and then by time. The implementation of a limit order book in Python, considering the time in force.
order_book = LimitOrderBook()
order_book.add_order(Order(1, OrderType.BUY, 100, 10, timedelta(minutes=5)))
order_book.add_order(Order(2, OrderType.SELL, 120, 5, timedelta(minutes=5)))
order_book.add_order(Order(3, OrderType.BUY, 110, 8, timedelta(minutes=5)))
order_book.add_order(Order(4, OrderType.SELL, 130, 12, timedelta(minutes=5)))
order_book.match_orders()
order_book.expire_orders()
This implementation includes the following features:
Order class: Represents a single order with attributes for order ID, order type (buy or sell), price, quantity, time in-force, and timestamp. LimitOrderBook class: Manages the buy and sell orders using two priority queues (implemented using heapq). add_order method: Adds a new order to the order book. cancel_order method: Cancels an existing order by order ID and order type. match_orders method: Matches buy and sell orders based on price and executes trades. expire_orders method: Removes orders that have exceeded their time in-force. Note that this is a simplified example and a real-world limit order book would require more features, such as handling multiple order types, managing order priority, and ensuring thread safety for concurrent access.
Building a limit order book in Python involves creating a data structure to store and manage limit orders. A limit order book is a list of buy and sell orders, sorted by price, that are waiting to be executed. The time in-force (TIF) of an order determines how long the order remains in the order book before it is automatically canceled.
The implementation of a limit order book in Python, considering the time in force.
lob = LimitOrderBook()
lob.add_order(Order('buy', 100, 10, 'GTC'))
lob.add_order(Order('sell', 120, 5, 'IOC'))
lob.add_order(Order('buy', 110, 8, 'GTC'))
lob.add_order(Order('sell', 130, 3, 'IOC'))
lob.execute_orders()
lob.check_tif()
This implementation uses two heaps to store the buy and sell orders, sorted by price. The add_order method adds a new order to the book, the cancel_order method removes an order from the book, and the execute_orders method executes trades by matching buy and sell orders. The check_tif method checks the time in-force of each order and cancels it if it has expired.
The Order class represents a single order, with attributes for the side (buy or sell), price, quantity, time in-force, and timestamp. The LimitOrderBook class represents the limit order book, with methods for adding, canceling, and executing orders, as well as checking the time in-force.
Note that this is a simplified example and a real-world limit order book would require more features, such as handling multiple order types, managing order priority, and dealing with edge cases.