├── .gitignore ├── LICENSE ├── README.md ├── config ├── __init__.py ├── configuration_yaml.py ├── liq_bands.yml └── trades_bands.yml ├── data └── historic_orders │ ├── orders-ana-2019-5-23.csv │ └── orders-san-2019-5-23.csv ├── dockerfiles ├── Dockerfile ├── docker-compose.yml └── requirements.txt ├── examples ├── Gateway_usage.ipynb ├── Orderbook_usage.ipynb ├── __init__.py ├── algorithms.py ├── example_pov_algorithm.ipynb └── simulate_buythebid_algorithm.ipynb ├── marketsimulator ├── __init__.py ├── asks.py ├── bids.py ├── gateway.py ├── order.py ├── orderbook.py ├── pricelevel.py ├── prices_idx.py └── side.py ├── setup.cfg ├── setup.py └── tests ├── __init__.py ├── conftest.py ├── performance.py ├── test_asks.py ├── test_bids.py ├── test_orderbook.py └── test_pricelevel.py /.gitignore: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/.gitignore -------------------------------------------------------------------------------- /LICENSE: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/LICENSE -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/README.md -------------------------------------------------------------------------------- /config/__init__.py: -------------------------------------------------------------------------------- 1 | 2 | 3 | -------------------------------------------------------------------------------- /config/configuration_yaml.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/config/configuration_yaml.py -------------------------------------------------------------------------------- /config/liq_bands.yml: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/config/liq_bands.yml -------------------------------------------------------------------------------- /config/trades_bands.yml: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/config/trades_bands.yml -------------------------------------------------------------------------------- /data/historic_orders/orders-ana-2019-5-23.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/data/historic_orders/orders-ana-2019-5-23.csv -------------------------------------------------------------------------------- /data/historic_orders/orders-san-2019-5-23.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/data/historic_orders/orders-san-2019-5-23.csv -------------------------------------------------------------------------------- /dockerfiles/Dockerfile: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/dockerfiles/Dockerfile -------------------------------------------------------------------------------- /dockerfiles/docker-compose.yml: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/dockerfiles/docker-compose.yml -------------------------------------------------------------------------------- /dockerfiles/requirements.txt: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/dockerfiles/requirements.txt -------------------------------------------------------------------------------- /examples/Gateway_usage.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/examples/Gateway_usage.ipynb -------------------------------------------------------------------------------- /examples/Orderbook_usage.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/examples/Orderbook_usage.ipynb -------------------------------------------------------------------------------- /examples/__init__.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /examples/algorithms.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/examples/algorithms.py -------------------------------------------------------------------------------- /examples/example_pov_algorithm.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/examples/example_pov_algorithm.ipynb -------------------------------------------------------------------------------- /examples/simulate_buythebid_algorithm.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/examples/simulate_buythebid_algorithm.ipynb -------------------------------------------------------------------------------- /marketsimulator/__init__.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/marketsimulator/__init__.py -------------------------------------------------------------------------------- /marketsimulator/asks.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/marketsimulator/asks.py -------------------------------------------------------------------------------- /marketsimulator/bids.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/marketsimulator/bids.py -------------------------------------------------------------------------------- /marketsimulator/gateway.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/marketsimulator/gateway.py -------------------------------------------------------------------------------- /marketsimulator/order.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/marketsimulator/order.py -------------------------------------------------------------------------------- /marketsimulator/orderbook.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/marketsimulator/orderbook.py -------------------------------------------------------------------------------- /marketsimulator/pricelevel.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/marketsimulator/pricelevel.py -------------------------------------------------------------------------------- /marketsimulator/prices_idx.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/marketsimulator/prices_idx.py -------------------------------------------------------------------------------- /marketsimulator/side.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/marketsimulator/side.py -------------------------------------------------------------------------------- /setup.cfg: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/setup.cfg -------------------------------------------------------------------------------- /setup.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/setup.py -------------------------------------------------------------------------------- /tests/__init__.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /tests/conftest.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/tests/conftest.py -------------------------------------------------------------------------------- /tests/performance.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/tests/performance.py -------------------------------------------------------------------------------- /tests/test_asks.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/tests/test_asks.py -------------------------------------------------------------------------------- /tests/test_bids.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/tests/test_bids.py -------------------------------------------------------------------------------- /tests/test_orderbook.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/tests/test_orderbook.py -------------------------------------------------------------------------------- /tests/test_pricelevel.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Surbeivol/PythonMatchingEngine/HEAD/tests/test_pricelevel.py --------------------------------------------------------------------------------