################################################################################ # # Permission is hereby granted, free of charge, to any person obtaining a # copy of this software and associated documentation files (the "Software"), # to deal in the Software without restriction, including without limitation # the rights to use, copy, modify, merge, publish, distribute, sublicense, # and/or sell copies of the Software, and to permit persons to whom the # Software is furnished to do so, subject to the following conditions: # # The above copyright notice and this permission notice shall be included in # all copies or substantial portions of the Software. # # THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS # OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, # FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE # AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER # LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING # FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER # DEALINGS IN THE SOFTWARE. import csv # from BaseHTTPServer import BaseHTTPRequestHandler,HTTPServer import http.server import json import operator import os.path import re import threading from datetime import timedelta, datetime # from itertools import izip from random import normalvariate, random from socketserver import ThreadingMixIn import dateutil.parser ################################################################################ # # Config # Sim params REALTIME = True SIM_LENGTH = timedelta(days=365 * 5) MARKET_OPEN = datetime.today().replace(hour=0, minute=30, second=0) # Market parms # min / max / std SPD = (2.0, 6.0, 0.1) PX = (60.0, 150.0, 1) FREQ = (12, 36, 50) # Trades OVERLAP = 4 ################################################################################ # # Test Data def bwalk(min, max, std): """ Generates a bounded random walk. """ rng = max - min while True: max += normalvariate(0, std) yield abs((max % (rng * 2)) - rng) + min def market(t0=MARKET_OPEN): """ Generates a random series of market conditions, (time, price, spread). """ for hours, px, spd in zip(bwalk(*FREQ), bwalk(*PX), bwalk(*SPD)): yield t0, px, spd t0 += timedelta(hours=abs(hours)) def orders(hist): """ Generates a random set of limit orders (time, side, price, size) from a series of market conditions. """ for t, px, spd in hist: stock = 'ABC' if random() > 0.5 else 'DEF' side, d = ('sell', 2) if random() > 0.5 else ('buy', -2) order = round(normalvariate(px + (spd / d), spd / OVERLAP), 2) size = int(abs(normalvariate(0, 100))) yield t, stock, side, order, size ################################################################################ # # Order Book def add_book(book, order, size, _age=10): """ Add a new order and size to a book, and age the rest of the book. """ yield order, size, _age for o, s, age in book: if age > 0: yield o, s, age - 1 def clear_order(order, size, book, op=operator.ge, _notional=0): """ Try to clear a sized order against a book, returning a tuple of (notional, new_book) if successful, and None if not. _notional is a recursive accumulator and should not be provided by the caller. """ (top_order, top_size, age), tail = book[0], book[1:] if op(order, top_order): _notional += min(size, top_size) * top_order sdiff = top_size - size if sdiff > 0: return _notional, list(add_book(tail, top_order, sdiff, age)) elif len(tail) > 0: return clear_order(order, -sdiff, tail, op, _notional) def clear_book(buy=None, sell=None): """ Clears all crossed orders from a buy and sell book, returning the new books uncrossed. """ while buy and sell: order, size, _ = buy[0] new_book = clear_order(order, size, sell) if new_book: sell = new_book[1] buy = buy[1:] else: break return buy, sell def order_book(orders, book, stock_name): """ Generates a series of order books from a series of orders. Order books are mutable lists, and mutating them during generation will affect the next turn! """ for t, stock, side, order, size in orders: if stock_name == stock: new = add_book(book.get(side, []), order, size) book[side] = sorted(new, reverse=side == 'buy', key=lambda x: x[0]) bids, asks = clear_book(**book) yield t, bids, asks ################################################################################ # # Test Data Persistence def generate_csv(): """ Generate a CSV of order history. """ with open('test.csv', 'wb') as f: writer = csv.writer(f) for t, stock, side, order, size in orders(market()): if t > MARKET_OPEN + SIM_LENGTH: break writer.writerow([t, stock, side, order, size]) def read_csv(): """ Read a CSV or order history into a list. """ with open('test.csv', 'rt') as f: for time, stock, side, order, size in csv.reader(f): yield dateutil.parser.parse(time), stock, side, float(order), int(size) ################################################################################ # # Server class ThreadedHTTPServer(ThreadingMixIn, http.server.HTTPServer): """ Boilerplate class for a multithreaded HTTP Server, with working shutdown. """ allow_reuse_address = True def shutdown(self): """ Override MRO to shutdown properly. """ self.socket.close() http.server.HTTPServer.shutdown(self) def route(path): """ Decorator for a simple bottle-like web framework. Routes path to the decorated method, with the rest of the path as an argument. """ def _route(f): setattr(f, '__route__', path) return f return _route def read_params(path): """ Read query parameters into a dictionary if they are parseable, otherwise returns None. """ query = path.split('?') if len(query) > 1: query = query[1].split('&') return dict(map(lambda x: x.split('='), query)) def get(req_handler, routes): """ Map a request to the appropriate route of a routes instance. """ for name, handler in routes.__class__.__dict__.items(): if hasattr(handler, "__route__"): if None != re.search(handler.__route__, req_handler.path): req_handler.send_response(200) req_handler.send_header('Content-Type', 'application/json') req_handler.send_header('Access-Control-Allow-Origin', '*') req_handler.end_headers() params = read_params(req_handler.path) data = json.dumps(handler(routes, params)) + '\n' req_handler.wfile.write(bytes(data, encoding='utf-8')) return def run(routes, host='0.0.0.0', port=8080): """ Runs a class as a server whose methods have been decorated with @route. """ class RequestHandler(http.server.BaseHTTPRequestHandler): def log_message(self, *args, **kwargs): pass def do_GET(self): get(self, routes) server = ThreadedHTTPServer((host, port), RequestHandler) thread = threading.Thread(target=server.serve_forever) thread.daemon = True thread.start() print('HTTP server started on port 8080') while True: from time import sleep sleep(1) server.shutdown() server.start() server.waitForThread() ################################################################################ # # App ops = { 'buy': operator.le, 'sell': operator.ge, } class App(object): """ The trading game server application. """ def __init__(self): self._book_1 = dict() self._book_2 = dict() self._data_1 = order_book(read_csv(), self._book_1, 'ABC') self._data_2 = order_book(read_csv(), self._book_2, 'DEF') self._rt_start = datetime.now() self._sim_start, _, _ = next(self._data_1) self.read_10_first_lines() @property def _current_book_1(self): for t, bids, asks in self._data_1: if REALTIME: while t > self._sim_start + (datetime.now() - self._rt_start): yield t, bids, asks else: yield t, bids, asks @property def _current_book_2(self): for t, bids, asks in self._data_2: if REALTIME: while t > self._sim_start + (datetime.now() - self._rt_start): yield t, bids, asks else: yield t, bids, asks def read_10_first_lines(self): for _ in iter(range(10)): next(self._data_1) next(self._data_2) @route('/query') def handle_query(self, x): """ Takes no arguments, and yields the current top of the book; the best bid and ask and their sizes """ try: t1, bids1, asks1 = next(self._current_book_1) t2, bids2, asks2 = next(self._current_book_2) except Exception as e: print("error getting stocks...reinitalizing app") self.__init__() t1, bids1, asks1 = next(self._current_book_1) t2, bids2, asks2 = next(self._current_book_2) t = t1 if t1 > t2 else t2 print('Query received @ t%s' % t) return [{ 'id': x and x.get('id', None), 'stock': 'ABC', 'timestamp': str(t), 'top_bid': bids1 and { 'price': bids1[0][0], 'size': bids1[0][1] }, 'top_ask': asks1 and { 'price': asks1[0][0], 'size': asks1[0][1] } }, { 'id': x and x.get('id', None), 'stock': 'DEF', 'timestamp': str(t), 'top_bid': bids2 and { 'price': bids2[0][0], 'size': bids2[0][1] }, 'top_ask': asks2 and { 'price': asks2[0][0], 'size': asks2[0][1] } }] ################################################################################ # # Main if __name__ == '__main__': if not os.path.isfile('test.csv'): print("No data found, generating...") generate_csv() run(App())