fastlob 0.0.6

Fast & minimalist fixed decimal precision limit-order-book (LOB) implementation in pure Python with almost no dependencies.

fastlob | Fast Limit-Order-Book in Python

Fast & minimalist fixed decimal precision limit-order-book (LOB) implementation in pure Python with almost no dependencies.

Package currently in development, bugs are expected.

The goal is to build an efficient easy to use package with a clean and comprehensible API.

We aim to keep it minimalist and simple, while keeping reasonable performances (for a pure Python implementation). We intend the final project to contain no more than ~1000 lines of code.

We implement three types of orders: FOK, GTC and GTD. Every order is defined as a limit order, but will be executed as a market order if its price matches the best (bid or ask) limit price in the book.

In the case of GTD orders, the book only supports whole seconds for the order expiry (order can not be set to expire in 3.8 seconds, it will be rounded to 4).

Installation

The package is now available on PyPI, you can simply install it using

pip install fastlob

Otherwise, one can install it from source

git clone [e-mail]:mrochk/fastlob.git
cd fastlob
pip install -r requirements.txt
pip install .

To run the tests and check that everything is okay, run make test or python3 -m unittest discover test.

Usage

This book runs at a fixed decimal precision through the Python decimal package. The precision can be set via the PYLOB_DECIMAL_PRECISION environment variable, the default value is 2.

# example.py

import time, logging

from fastlob import Orderbook, OrderParams, OrderSide, OrderType

lob = Orderbook(name='ABCD', log_level=logging.INFO) # init lob

lob.start() # start background processes

# every order must be created this way 
params = OrderParams(
    side=OrderSide.BID, # is it a buy or sell order
    price=123.32, quantity=3.42, # by default runs at 2 digits decimal precision
    otype=OrderType.GTD, # good-till-date order
    expiry=time.time() + 120 # order will expire in two minutes
    # since order is GTD, expiry must be set to some future timestamp
)

# -> at this point an exception will be raised if invalid attributes are provided

result = lob(params) # let the book process the order
assert result.success() # result object can be used to see various infos about the order execution

# order uuid is used to query our order after it's been placed
status, quantity_left = lob.get_order_status(result.orderid())
print(f'Current order status: {status.name}, quantity left: {quantity_left}.\n')

lob.render() # pretty-print the book

lob.stop() # stop the background processes

Contribute

As mentioned earlier, this package is still in early development, and contributions are more than welcome.

The main tasks that have to be done are:

• More and better testing for edge cases. Tests for the 3 types of orders have to be written.
• Benchmarking / profiling.

---

Lines count:

  93 fastlob/engine/engine.py
  1 fastlob/engine/__init__.py
  18 fastlob/utils/utils.py
  1 fastlob/utils/__init__.py
  61 fastlob/result/result.py
  0 fastlob/result/__init__.py
  81 fastlob/order/params.py
  1 fastlob/order/__init__.py
  95 fastlob/order/order.py
  47 fastlob/enums/enums.py
  1 fastlob/enums/__init__.py
  19 fastlob/consts/consts.py
  0 fastlob/consts/__init__.py
  99 fastlob/limit/limit.py
  1 fastlob/limit/__init__.py
127 fastlob/side/side.py
  1 fastlob/side/__init__.py
  4 fastlob/__init__.py
471 fastlob/lob/orderbook.py
  0 fastlob/lob/__init__.py
1121 total