LOB订单簿交易算法(limit order)和(market order)

OrderBook ========= Matching engine based on a limit order book written in Python. Features: * Standard price-time priority * Supports both market and limit orders * Add, cancel, update orders Requirements: * sortedcontainers Usage ===== Install package: ``` pip install orderbook ``` Import package: ```python from orderbook import OrderBook ``` Take a look at example.py: https://github.com/dyn4mik3/OrderBook/blob/master/orderbook/test/example.py Key Functions ============= Create an Order Book: ```python order_book = OrderBook() ``` process_order cancel_order modify_order get_volume_at_price get_best_bid get_best_ask Data Structure ============== Orders are sent to the order book using the process_order function. The Order is created using a quote. ```python # For a limit order quote = {'type' : 'limit', 'side' : 'bid', 'quantity' : 6, 'price' : 108.2, 'trade_id' : 001} # and for a market order: quote = {'type' : 'market', 'side' : 'ask', 'quantity' : 6, 'trade_id' : 002} ```