Orderbook
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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
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())
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
0.2.0 (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)