MLThon Order Book Package

Submodules

mlthon.order.books.book_utils module

create_book_for_exchange(exch)

mlthon.order.books.level module

class Level(id, side, price, qty)

Bases: object

get_id()

get_price()

get_qty()

get_side()

update_qty(new_qty)

mlthon.order.books.level_book module

class LevelBook

Bases: object

add_lvl(id, side, price, qty)

Add level to level book. Bid ask levels are SortedDicts to maintain order of prices. Two levels with same price are not allowed :param id: level id :param side: order side :param price: order price :param qty: order quantity :return:

clear()

delete_lvl(id)

Delete level using level id :param id: level id :return:

get_ask_levels()

get_best_ask_level_with_aggregate_quantity(qty)

Get best ask level at which aggregate quantity is reached :param qty: Aggregate quantity :return:

get_best_ask_lvl()

Get best ask level :return:

get_best_bid_level_with_aggregate_quantity(qty)

Get best bid level at which aggregate quantity is reached :param qty: Aggregate quantity :return:

get_best_bid_lvl()

Get best bid level :return:

get_bid_levels()

get_level(side, px)

get_level_with_id(id)

get_top_five_ask_lvls()

Get best five ask levels. Check if best levels have updated since last time. Used to trigger BBO events :return:

get_top_five_bid_lvls()

Get best five bid levels. Check if best levels have updated since last time. Used to trigger BBO events :return:

modify_lvl_qty(id, new_qty)

Modify quantity of level based on level id :param id: level id :param new_qty: New quantity of level. This will update level in bid ask levels too by reference :return:

try_get_level_with_id(id)

mlthon.order.books.order_book module

class OrderBook

Bases: object

add_order(id, side, px, qty)

clear()

delete_order(id)

get_ask_levels()

get_bid_levels()

get_level(side, px)

modify_order(id, new_qty)

mlthon.order.books.price_level module

class PriceLevel(side, price, qty)

Bases: object

get_price()

get_qty()

get_side()

update_qty(new_qty)

mlthon.order.books.price_level_book module

class PriceLevelBook

Bases: object

add_price_level(side, px, qty)

clear()

delete_price_level(side, px)

get_ask_levels()

get_best_ask_lvl()

Get best ask level :return:

get_best_bid_lvl()

Get best bid level :return:

get_bid_levels()

get_level(side, px)

modify_price_level(side, px, new_qty)