Orderbook¶

An orderbook is initialised with a start time (this is the time used to record events) and a tick-size

import bourse

start_time = 0
tick_size = 1

book = bourse.core.OrderBook(start_time, tick_size)

The state of the orderbook an then be directly updated, for example placing a limit bid order

order_vol = 10
trader_id = 101
order_id = book.place_order(
    True, order_vol, trader_id, price=50
)

or cancelling the same order

book.cancel_order(order_id)

When directly interacting with the orderbook updates are immediately applied and the state of the market updated.

The orderbook also tracks updates, for example trades executed on the order book can be retrieved with

trades = book.get_trades()
# Convert trade data to a dataframe
trade_df = bourse.data_processing.trades_to_dataframe(
    trades
)

The state of the order book can be written to a JSON file using bourse.core.OrderBook.save_json_snapshot(), the same snapshot can then be used to initialise an orderbook using bourse.core.order_book_from_json()

# Save order book state to foo.json
book.save_json_snapshot("foo.json")

# Create a new order book with state from the snapshot
loaded_book = bourse.core.order_book_from_json("foo.json")

See bourse.core.OrderBook for details of the full order book API.