PyLimitBook is an implementation of a fast limit-order book for level-2 US equities data writen in Python. It includes some tools to output sampled data as well as a curses-based application to view the book and move forward or backward in time.
Input files must be for a single day, symbol, and exchange.
This code is aimed at other developers looking for a limit-book implementation to include in their own trading projects.
- Python libraries bintrees (v0.4 used) and pandas.
- curses and cPickle libraries are also used, but are often installed by default.
- This code has thus far only been tested on Ubuntu Linux with Python 2.7.2.
PyLimitBook applications expect the following input format (in a CSV file):
-
bids:
B,<symbol>,<exchange>,<id>,<quantity>,<price>,<timestamp> -
asks:
A,<symbol>,<exchange>,<id>,<quantity>,<price>,<timestamp> -
trades: (optional)
T,<symbol>,<exchange>,<quantity>,<price>,<timestamp>
Symbol and exchange values are currently unimportant and can be dummy values. Lines should be in timestamp-order from earliest to latest (the order it is sent by the exchange).
parse.py- Simple illustration of using the limit booktseries.py- Parse an input file and export 1-second snapshots of the book (Uses pandas library to fill in gaps, etc)convert.py- Convert from an input format that uses ', ' as a CSV separator and different column order to the correct input format.bookViewer.py- Graphically view the book state at any point in time
- There are some resize issues when using bookViewer.py in a (uselessly) small terminal.