A fast orderbook implementation, in C, for Python
Project description
Orderbook
A fast L2/L3 orderbook data structure, in C, for Python
Basic Usage
from decimal import Decimal
import requests
from order_book import OrderBook
ob = OrderBook()
# get some orderbook data
data = requests.get("https://api.pro.coinbase.com/products/BTC-USD/book?level=2").json()
ob.bids = {Decimal(price): size for price, size, _ in data['bids']}
ob.asks = {Decimal(price): size for price, size, _ in data['asks']}
# OR
for side in data:
# there is additional data we need to ignore
if side in {'bids', 'asks'}:
ob[side] = {Decimal(price): size for price, size, _ in data[side]}
# Data is accessible by .index(), which returns a tuple of (price, size) at that level in the book
price, size = ob.bids.index(0)
print(f"Best bid price: {price} size: {size}")
price, size = ob.asks.index(0)
print(f"Best ask price: {price} size: {size}")
print(f"The spread is {ob.asks.index(0)[0] - ob.bids.index(0)[0]}\n\n")
# Data is accessible via iteration
# Note: bids/asks are iterators
print("Bids")
for price in ob.bids:
print(f"Price: {price} Size: {ob.bids[price]}")
print("\n\nAsks")
for price in ob.asks:
print(f"Price: {price} Size: {ob.asks[price]}")
# Data can be exported to a sorted dictionary
# In Python3.7+ dictionaries remain in insertion ordering. The
# dict returned by .to_dict() has had its keys inserted in sorted order
print("\n\nRaw asks dictionary")
print(ob.asks.to_dict())
# Data can also be exported as an ordered list
# .to_list() returns a list of (price, size) tuples
print("Top 5 Asks")
print(ob.asks.to_list()[:5])
print("\nTop 5 Bids")
print(ob.bids.to_list()[:5])
Main Features
- Sides maintained in correct order
- Can perform orderbook checksums
- Supports max depth and depth truncation
Installation
The preferable way to install is via pip
- pip install order-book
. Installing from source will require a compiler and can be done with setuptools: python setup.py install
.
Running code coverage
The script coverage.sh
will compile the source using the -coverage
CFLAG
, run the unit tests, and build a coverage report in HTML. The script uses tools that may need to be installed (coverage, lcov, genhtml).
Running the performance tests
You can run the performance tests like so: python perf/performance_test.py
. The program will profile the time to run for random data samples of various sizes as well as the construction of a sorted orderbook using live L2 orderbook data from Coinbase.
The performance of constructing a sorted orderbook (using live data from Coinbase) using this C library, versus a pure Python sorted dictionary library:
Library | Time, in seconds |
---|---|
C Library | 0.00021767616271 |
Python Library | 0.00043988227844 |
The performance of constructing sorted dictionaries using the same libraries, as well as the cost of building unsorted, python dictionaies for dictionaries of random floating point data:
Library | Number of Keys | Time, in seconds |
---|---|---|
C Library | 100 | 0.00021600723266 |
Python Library | 100 | 0.00044703483581 |
Python Dict | 100 | 0.00022006034851 |
C Library | 500 | 0.00103306770324 |
Python Library | 500 | 0.00222206115722 |
Python Dict | 500 | 0.00097918510437 |
C Library | 1000 | 0.00202703475952 |
Python Library | 1000 | 0.00423812866210 |
Python Dict | 1000 | 0.00176715850830 |
This represents a roughly 2x speedup compared to a pure python implementation, and in many cases is close to the performance of an unsorted python dictionary.
For other performance metrics, run performance_test.py
as well as the other performance tests in perf/
Changelog
0.6.1 (2024-04-22)
- Update: to_list's behavior matches that of to_dict (respects max_depth, if set).
- Update: resolve build warnings on some compilers.
0.6.0 (2022-10-19)
- Update: Drop support for python 3.7
- Feature: to_list method
- Bugfix: Initialize iterator correctly
0.5.0 (2022-08-23)
- Bugfix: fix segmentation fault when calculating checksum on empty orderbook
- Bugfix: fix missing reference decrement
- Performance: Improvement to marking dirty keys
0.4.3 (2022-05-29)
- Bugfix: handle scientific notation of small values in Kraken checksum
- Update: calculate Kraken checksum on order books less than 10 levels deep
- Bugfix: fix occasional incorrect checksums for OKX, FTX and Bitget
0.4.2 (2022-04-17)
- Update: OKEx renamed OKX (for checksum validation)
- Feature: Add support for orderbook checksums with Bitget
0.4.1 (2021-10-12)
- Bugfix: unnecessary reference counting prevented sorted dictionaries from being deallocated
- Bugfix: setting ordering on a sorted dict before checking that it was created successfully
0.4.0 (2021-09-16)
- Feature: changes to code and setup.py to enable compiling on windows
- Feature: add from_type/to_type kwargs to the to_dict methods, allowing for type conversion when creating the dictionary
0.3.2 (2021-09-04)
- Bugfix: depth was incorrectly ignored when converting sorteddict to python dict
0.3.1 (2021-09-01)
- Bugfix: truncate and max_depth not being passed from orderbook to sorteddict object correctly
- Feature: let checksum_format kwarg be set to None
0.3.0 (2021-07-16)
- Update classifiers to indicate this projects only supports MacOS/Linux
- Bugfix: Using less than the minimum number of levels for a checksum with Kraken not raising error correctly
- Update: add del examples to test code
0.2.1 (2021-03-29)
- Bugfix: Invalid deallocation of python object
0.2.0 (2021-03-12)
- Feature: Add branch prediction hints around error handling code
- Bugfix: Fix regression from adding branch predictors
- Bugfix: Fix error corner case when iterating twice on an empty dataset
- Feature: Add contains function for membership test
- Bugfix: Fix issues around storing L3 data
- Feature: Enhance testing, add in L3 book test cases
0.1.1 (2021-02-12)
- Feature: Checksum support for orderbooks
- Feature: FTX checksum support
- Feature: Kraken checksum support
- Feature: OkEX/OKCoin checksum support
- Perf: Use CRC32 table to improve performance of checksum code
0.1.0 (2021-01-18)
- Minor: Use enums to make code more readable
- Bugfix: Add manifest file to ensure headers and changes file are included in sdist builds
- Feature: Add support for max depth and depth truncation
0.0.2 (2020-12-27)
- Bugfix: Fix sorted dictionary arg parsing
- Feature: Coverage report generation for C library
- Bugfix: Fix reference counting in index method in SortedDict
- Feature: New unit tests to improve SortedDict coverage
- Feature: Modularize files
- Feature: Add ability to set bids/asks to dictionaries via attributes or [ ]
- Docs: Update README with simple usage example
0.0.1 (2020-12-26)
- Initial Release
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