PyLimitOrderBook
Unverified Other strategy on Multi by abcabhishek. BotFinder score 18 out of 100.
Limit Order Book Implemented in Python
Source: github
BotFinder analysis pending.
PyLimitOrderBook
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 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, , , , , , asks: A, , , , , , trades: (optional) T, , ,, , , 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 book tseries.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
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