Merge branch 'release/2019.1.5'

Author: gavincyi

.travis.yml

@@ -3,11 +3,14 @@ language: python
 python:
   - 2.7
   - 3.4
+  - 3.5
+  - 3.6
+  - 3.7
   - pypy
 
 install:
   - pip install .[performance]
 
 script: 
   - make test
-  - python tests/performance/performance_test.py --freq 20
+  - python tests/performance/performance_test.py --freq 20 --num-orders 500

lightmatchingengine/lightmatchingengine.py renamed to lightmatchingengine/lightmatchingengine.pyx

@@ -1,28 +1,18 @@
 #!/usr/bin/python3
-class Side(object):
-    """
-    Side
-    """
+cpdef enum Side:
     BUY = 1
     SELL = 2
 
-class OrderBook(object):
-    """
-    Order book
-    """
-    def __init__(self):
-        """
-        Constructor
-        """
-        self.bids = {}
-        self.asks = {}
-        self.order_id_map = {}
 
+cdef class Order:
+    cdef public int order_id
+    cdef public str instmt
+    cdef public double price
+    cdef public double qty
+    cdef public double cum_qty
+    cdef public double leaves_qty
+    cdef public Side side
 
-class Order(object):
-    """
-    Order
-    """
     def __init__(self, order_id, instmt, price, qty, side):
         """
         Constructor
@@ -36,10 +26,28 @@ def __init__(self, order_id, instmt, price, qty, side):
         self.side = side
 
 
-class Trade(object):
-    """
-    Trade
-    """
+cdef class OrderBook:
+    cdef public dict bids
+    cdef public dict asks
+    cdef public dict order_id_map
+
+    def __init__(self):
+        """
+        Constructor
+        """
+        self.bids = {}
+        self.asks = {}
+        self.order_id_map = {}
+
+
+cdef class Trade:
+    cdef public int order_id
+    cdef public str instmt
+    cdef public double trade_price
+    cdef public double trade_qty
+    cdef public Side trade_side
+    cdef public int trade_id
+
     def __init__(self, order_id, instmt, trade_price, trade_qty, trade_side, trade_id):
         """
         Constructor
@@ -52,10 +60,11 @@ def __init__(self, order_id, instmt, trade_price, trade_qty, trade_side, trade_i
         self.trade_id = trade_id
 
 
-class LightMatchingEngine(object):
-    """
-    Light matching engine
-    """
+cdef class LightMatchingEngine:
+    cdef public dict order_books
+    cdef public int curr_order_id
+    cdef public int curr_trade_id
+
     def __init__(self):
         """
         Constructor
@@ -64,7 +73,7 @@ def __init__(self):
         self.curr_order_id = 0
         self.curr_trade_id = 0
 
-    def add_order(self, instmt, price, qty, side):
+    cpdef add_order(self, str instmt, double price, double qty, Side side):
         """
         Add an order
         :param instmt       Instrument name
@@ -74,14 +83,17 @@ def add_order(self, instmt, price, qty, side):
         :return The order and the list of trades.
                 Empty list if there is no matching.
         """
+        cdef list trades = []
+        cdef int order_id
+        cdef Order order
+
         assert side == Side.BUY or side == Side.SELL, \
                 "Invalid side %s" % side
 
         # Locate the order book
         order_book = self.order_books.setdefault(instmt, OrderBook())
 
         # Initialization
-        trades = []
         self.curr_order_id += 1
         order_id = self.curr_order_id
         order = Order(order_id, instmt, price, qty, side)
@@ -92,7 +104,7 @@ def add_order(self, instmt, price, qty, side):
                             else None
             while best_price is not None and \
                   (price == 0.0 or price >= best_price ) and \
-                  order.leaves_qty > 0:
+                  order.leaves_qty >= 1e-9:
                 best_price_qty = sum([ask.leaves_qty for ask in order_book.asks[best_price]])
                 match_qty = min(best_price_qty, order.leaves_qty)
                 assert match_qty > 0, "Match quantity must be larger than zero"
@@ -105,7 +117,7 @@ def add_order(self, instmt, price, qty, side):
                                     Side.BUY, self.curr_trade_id))
 
                 # Generate the passive executions
-                while match_qty > 0:
+                while match_qty >= 1e-9:
                     # The order hit
                     hit_order = order_book.asks[best_price][0]
                     # The order quantity hit
@@ -117,7 +129,7 @@ def add_order(self, instmt, price, qty, side):
                     hit_order.cum_qty += order_match_qty
                     hit_order.leaves_qty -= order_match_qty
                     match_qty -= order_match_qty
-                    if hit_order.leaves_qty == 0:
+                    if hit_order.leaves_qty < 1e-9:
                         del order_book.asks[best_price][0]
 
                 # If the price does not have orders, delete the particular price depth
@@ -129,7 +141,7 @@ def add_order(self, instmt, price, qty, side):
                                 else None
 
             # Add the remaining order into the depth
-            if order.leaves_qty > 0:
+            if order.leaves_qty > 0.0:
                 depth = order_book.bids.setdefault(price, [])
                 depth.append(order)
                 order_book.order_id_map[order_id] = order
@@ -139,10 +151,10 @@ def add_order(self, instmt, price, qty, side):
                             else None
             while best_price is not None and \
                   (price == 0.0 or price <= best_price) and \
-                  order.leaves_qty > 0:
+                  order.leaves_qty >= 1e-9:
                 best_price_qty = sum([bid.leaves_qty for bid in order_book.bids[best_price]])
                 match_qty = min(best_price_qty, order.leaves_qty)
-                assert match_qty > 0, "Match quantity must be larger than zero"
+                assert match_qty >= 1e-9, "Match quantity must be larger than zero"
 
                 # Generate aggressive order trade first
                 self.curr_trade_id += 1
@@ -152,7 +164,7 @@ def add_order(self, instmt, price, qty, side):
                                     Side.SELL, self.curr_trade_id))
 
                 # Generate the passive executions
-                while match_qty > 0:
+                while match_qty >= 1e-9:
                     # The order hit
                     hit_order = order_book.bids[best_price][0]
                     # The order quantity hit
@@ -164,7 +176,7 @@ def add_order(self, instmt, price, qty, side):
                     hit_order.cum_qty += order_match_qty
                     hit_order.leaves_qty -= order_match_qty
                     match_qty -= order_match_qty
-                    if hit_order.leaves_qty == 0:
+                    if hit_order.leaves_qty < 1e-9:
                         del order_book.bids[best_price][0]
 
                 # If the price does not have orders, delete the particular price depth
@@ -176,20 +188,25 @@ def add_order(self, instmt, price, qty, side):
                                 else None
 
             # Add the remaining order into the depth
-            if order.leaves_qty > 0:
+            if order.leaves_qty >= 1e-9:
                 depth = order_book.asks.setdefault(price, [])
                 depth.append(order)
                 order_book.order_id_map[order_id] = order
 
         return order, trades
 
-    def cancel_order(self, order_id, instmt):
+    cpdef cancel_order(self, int order_id, str instmt):
         """
         Cancel order
         :param order_id     Order ID
         :param instmt       Instrument
         :return The order if the cancellation is successful
         """
+        cdef Order order
+        cdef double order_price
+        cdef Side side
+        cdef int index
+
         assert instmt in self.order_books.keys(), \
                 "Instrument %s is not valid in the order book" % instmt
         order_book = self.order_books[instmt]
@@ -238,6 +255,3 @@ def cancel_order(self, order_id, instmt):
         order.leaves_qty = 0
 
         return order
-
-
-

setup.py

@@ -1,4 +1,4 @@
-from setuptools import setup, find_packages
+from setuptools import setup, find_packages, Extension
 
 setup(
     name="lightmatchingengine",
@@ -14,12 +14,15 @@
 
     use_scm_version=True,
     install_requires=[],
-    setup_requires=['setuptools_scm'],
+    setup_requires=['setuptools_scm', 'cython'],
+    ext_modules=[Extension(
+        'lightmatchingengine.lightmatchingengine',
+        ['lightmatchingengine/lightmatchingengine.pyx'])],
     tests_require=[
 	'pytest'
     ],
-    extra_requires={
-        'performance': ['pandas']
+    extras_require={
+        'performance': ['pandas', 'docopt', 'tabulate', 'tqdm']
     },
 
     classifiers=[

tests/performance/performance_test.py

@@ -79,13 +79,13 @@ def run(args):
                          order.order_id, order.side, order.price, order.qty)
 
             # Save the order if there is any quantity left
-            if order.leaves_qty > 0:
+            if order.leaves_qty > 0.0:
                 orders[order.order_id] = order
 
             # Remove the trades
             for trade in trades:
                 if (trade.order_id != order.order_id and
-                    orders[trade.order_id].leaves_qty == 0.0):
+                    orders[trade.order_id].leaves_qty < 1e-9):
                     del orders[trade.order_id]
 
             # Save the statistics