PyLimitBook - GitLite

KO | EN

gitlite — search

#javascript #react #ai #typescript #llm #go #linux #nodejs #macos #cli #awesome-list #security #mcp #open-source

PyLimitBook

(★ 320)

Python implementation of fast limit-order book.

파일 탐색기

최종 버전 다운로드 (.zip)

- bookViewer.py
- create_graphing_data.py
- limitbook-convert-csv.py
- limitbook-parse.py
- limitbook-tseries.py
- bookViewer_screenshot.png
- howtohft_howtobuildafastlimitorderbook.pdf
- __init__.py
- book.py
- bookViewerBook.py
- order.py
- orderList.py
- researchBook.py
- tick.py
- tree.py
- XOM_BATS_2010-06-16.csv
.gitignore
INSTALL.md
LICENSE.md
README.md
requirements.txt
setup.py

# 설치 가이드

1. 코드 내려받기

git clone https://github.com/danielktaylor/PyLimitBook

깃허브에서 프로젝트 코드 전체를 내 컴퓨터로 내려받습니다.

cd PyLimitBook

방금 내려받은 프로젝트 폴더 안으로 이동합니다.

2. Python

쉬움 추천

사전 준비물

Git GitHub에서 프로젝트 코드를 내려받으려면 필요합니다.
Python 3 설치 시 'Add Python to PATH' 옵션을 꼭 체크하세요 (Windows).

sudo pip install -r requirements.txt

requirements.txt 등에 명시된 파이썬 라이브러리를 설치합니다.

✅ 에러 메시지 없이 실행되고 터미널에 안내 문구가 출력되면 정상입니다.

이 레포의 README에 적힌 실제 명령어를 그대로 가져왔습니다.

// repository documentation

Was this content helpful?

★ 0 (0 ratings)

# PyLimitBook

PyLimitBook is an implementation of a fast limit-order book for level-2 US equities data written in Python. It includes some tools to output sampled data as well as a curses-based application to view the book and move forward or backward in time.

Input files must be for a single day, symbol, and exchange.

This code is aimed at other developers looking for a limit-book implementation to include in their own trading projects.

## Usage

```
sudo pip install -r requirements.txt
sudo python setup.py install
```

You should then be able to run the applications in the `bin` directory.

## Input Data Format

PyLimitBook applications expect the following input format (in a CSV file):

* bids:

`B,<symbol>,<exchange>,<id>,<quantity>,<price>,<timestamp>`

* asks:

`A,<symbol>,<exchange>,<id>,<quantity>,<price>,<timestamp>`

* trades: (optional)

`T,<symbol>,<exchange>,,<quantity>,<price>,<timestamp>`

Symbol and exchange values are currently unimportant and can be dummy values.
Lines should be in timestamp-order from earliest to latest (the order it is sent by the exchange).

## Application Descriptions

* `parse.py`  -  Simple illustration of using the limit book
* `tseries.py`  -  Parse an input file and export 1-second snapshots of the book (Uses pandas library to fill in gaps, etc)
* `convert.py`  -  Convert from an input format that uses ', ' as a CSV separator and different column order to the correct input format.
* `bookViewer.py`  -  Graphically view the book state at any point in time

![BookViewer Screenshot](https://github.com/yoblin/PyLimitBook/raw/master/doc/bookViewer_screenshot.png)

## Known Issues

* There are some resizing issues when using bookViewer.py in a (uselessly) small terminal.