Engine.py

from orderbook import OrderBook
"""
import MySQLdb

db = MySQLdb.connect("localhost", "root", "root", "alphex")
cursor = db.cursor()
cursor.execute("SELECT VERSION()")
data = cursor.fetchone()
print "Database version : %s " % data
db.close()"""

# Create an order book

order_book = OrderBook()

# Create some limit orders

limit_orders = [
    { "type": "limit", "side": "ask", "quantity": 8.87314461, "price": 0.01911999, "trade_id": 100 },
    { "type": "limit", "side": "ask", "quantity": 8.87314461, "price": 0.01811999, "trade_id": 101 },
    { "type": "limit", "side": "ask", "quantity": 8.87314461, "price": 0.01711999, "trade_id": 102 },
    { "type": "limit", "side": "ask", "quantity": 8.87314461, "price": 0.01611999, "trade_id": 103 },
    { "type": "limit", "side": "bid", "quantity": 8.87314461, "price": 0.01511999, "trade_id": 100 },
    { "type": "limit", "side": "bid", "quantity": 8.87314461, "price": 0.01411999, "trade_id": 101 },
    { "type": "limit", "side": "bid", "quantity": 8.87314461, "price": 0.01311999, "trade_id": 102 },
    { "type": "limit", "side": "bid", "quantity": 8.87314461, "price": 0.01211999, "trade_id": 103 },
]

# Add orders to order book
for order in limit_orders:
    trades, order_id = order_book.process_order(order, False, False)

# The current book may be viewed using a print
print order_book

# Submitting a limit order that crosses the opposing best price will result in a trade
crossing_limit_order = { "type": "limit", "side": "bid", "quantity": 2, "price": 102, "trade_id": 109}

print crossing_limit_order
trades, order_in_book = order_book.process_order(crossing_limit_order, False, False)
print "Trade occurs as incoming bid limit crosses best ask"
print trades
print order_book

# If a limit crosses but is only partially matched, the remaning volume will
# be placed in the book as an outstanding order
big_crossing_limit_order = {"type": "limit",
                            "side": "bid",
                            "quantity": 50,
                            "price": 102,
                            "trade_id": 110}
print big_crossing_limit_order
trades, order_in_book = order_book.process_order(big_crossing_limit_order, False, False)
print "Large incoming bid limit crosses best ask. Remaining volume is placed in book."
print trades
print order_book


# Market Orders

# Market orders only require that a user specifies a side (bid or ask), a quantity, and their unique trade id
market_order = {"type": "market",
                "side": "ask",
                "quantity": 40,
                "trade_id": 111}
trades, order_id = order_book.process_order(market_order, False, False)
print "A market order takes the specified volume from the inside of the book, regardless of price"
print "A market ask for 40 results in:"
print order_book