Instantiating and Input

A limit order book object is created very simply as follows:

from PyLOB import OrderBook

# create a LOB object
lob = OrderBook()

Notable functions and their use are shown below:

lob.processOrder(quote, verbose)
lob.cancelOrder(side, idNum)
lob.modifyOrder(idNum, order_update)
lob.getVolumeAtPrice(side, price)
lob.getBestBid()
lob.getBestAsk()

Usage guides for each of these functions are included later in the wiki. The state of the LOB can be checked visually at any time with a simple print command:

print lob

yielding...

------ Bids -------
5	  @	99.0000	  t=5
5	  @	99.0000	  t=7
5	  @	98.0000	  t=6
5	  @	97.0000	  t=8

------ Asks -------
3	  @	101.0000  t=1
5	  @	101.0000  t=3
5	  @	101.0000  t=4
5	  @	103.0000  t=2

------ Trades ------
2     @     101.0   (9)

Orders are sent to the LOB in the form of dictionaries and using the processOrder() function. The required structures for the order dictionaries are shown below:

# For a limit order
quote = {'type' : 'limit',
         'side' : 'bid', 
         'qty' : 6, 
         'price' : 108.2, 
         'tid' : 001}
         
# and for a market order:
quote = {'type' : 'market',
         'side' : 'ask', 
         'qty' : 6, 
         'tid' : 002}

"side" specifies whether we are placing a bid or an ask while "tid" is a unique trader identification number which you must specify for each simulated trader.

The process of submitting limit orders and market orders are the subjects of the next two wikis.