PyLimitBook
PyLimitBook is an implementation of a fast limit-order book for level-2 US equities data written 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.
Usage
sudo pip install -r requirements.txt
sudo python setup.py install
You should then be able to run the applications in the bin
directory.
Input Data Format
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).
Application Descriptions
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
Known Issues
- There are some resizing issues when using bookViewer.py in a (uselessly) small terminal.