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refactor
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@lpthong90
lpthong90 committed Feb 21, 2024
1 parent c129288 commit eaea3e8
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Showing 6 changed files with 58 additions and 146 deletions.
3 changes: 2 additions & 1 deletion .gitignore
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Original file line number Diff line number Diff line change
@@ -1,3 +1,4 @@
**/__pycache__/
.coverage
.idea/
.idea/
.DS_Store
18 changes: 9 additions & 9 deletions helper.py
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Original file line number Diff line number Diff line change
Expand Up @@ -2,13 +2,13 @@
from typing import List, Tuple, TypeVar, Optional

from order_book import OrderData, Order, OrderBook, MatchingEngine
from order_book.advanced_avl_tree import AdvancedAVLTree
from py_simple_trees import AVLTree, AVLNode

K = TypeVar("K")
V = TypeVar("V")


def build_order(order_data: OrderData) -> Order: # pragma: no cover
def build_order(order_data: OrderData) -> Order: # pragma: no cover
random_id = int(time.time() * 1e6)
order = Order(
random_id,
Expand All @@ -19,7 +19,7 @@ def build_order(order_data: OrderData) -> Order: # pragma: no cover
return order


def build_order_book(orders_data: list[OrderData]) -> [OrderBook, list[Order]]: # pragma: no cover
def build_order_book(orders_data: list[OrderData]) -> [OrderBook, list[Order]]: # pragma: no cover
order_book = OrderBook()
orders = []
for order_data in orders_data:
Expand All @@ -29,7 +29,7 @@ def build_order_book(orders_data: list[OrderData]) -> [OrderBook, list[Order]]:
return order_book, orders


def update_order_book(order_book: OrderBook, orders_data: list[OrderData]) -> [OrderBook, list[Order]]: # pragma: no cover
def update_order_book(order_book: OrderBook, orders_data: list[OrderData]) -> [OrderBook, list[Order]]: # pragma: no cover
orders = []
for order_data in orders_data:
order = build_order(order_data)
Expand All @@ -38,15 +38,15 @@ def update_order_book(order_book: OrderBook, orders_data: list[OrderData]) -> [O
return order_book, orders


def update_data_to_avl_tree(avl_tree: AdvancedAVLTree[K, V], kv_data: List[Tuple[K, V]]): # pragma: no cover
def update_data_to_avl_tree(avl_tree: AVLTree, kv_data: List[Tuple]): # pragma: no cover
for action, key, value in kv_data:
if action == 'insert':
avl_tree.insert_node(key, value)
avl_tree.insert(AVLNode(key, value))
if action == 'delete':
avl_tree.delete_node(key)
avl_tree.remove(AVLNode(key))


def update_matching_engine(matching_engine: MatchingEngine, orders_data: list[OrderData]) -> MatchingEngine: # pragma: no cover
def update_matching_engine(matching_engine: MatchingEngine, orders_data: list[OrderData]) -> MatchingEngine: # pragma: no cover
orders = []
for order_data in orders_data:
order = build_order(order_data)
Expand All @@ -55,7 +55,7 @@ def update_matching_engine(matching_engine: MatchingEngine, orders_data: list[Or
return matching_engine, orders


def build_matching_engine(orders_data: list[OrderData], order_book: Optional[OrderBook] = None) -> MatchingEngine: # pragma: no cover
def build_matching_engine(orders_data: list[OrderData], order_book: Optional[OrderBook] = None) -> MatchingEngine: # pragma: no cover
matching_engine = MatchingEngine(order_book)
matching_engine, orders = update_matching_engine(matching_engine, orders_data)
return matching_engine
40 changes: 23 additions & 17 deletions order_book/__init__.py
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Original file line number Diff line number Diff line change
Expand Up @@ -2,7 +2,7 @@
from typing import Union, Dict, NamedTuple, Optional

from order_book.double_linked_list import LinkedList
from order_book.advanced_avl_tree import AdvancedAVLTree
from py_simple_trees import AVLTree, AVLNode


ID_TYPE = Union[int, str]
Expand Down Expand Up @@ -47,7 +47,7 @@ def other_side(self):
return SideType.SELL
return SideType.BUY

def print_out(self): # pragma: no cover
def print_out(self): # pragma: no cover
print("Order ", self.id, " ", self.price, " ", self.volume, " ", self.origin_volume,
" ", self.origin_volume - self.volume)

Expand Down Expand Up @@ -83,12 +83,12 @@ def has_no_orders(self):

class OrderBook:
def __init__(self):
self.bids_tree: AdvancedAVLTree[float, PriceLevel] = AdvancedAVLTree[float, PriceLevel]()
self.asks_tree: AdvancedAVLTree[float, PriceLevel] = AdvancedAVLTree[float, PriceLevel]()
self.bids_tree: AVLTree = AVLTree()
self.asks_tree: AVLTree = AVLTree()
self.best_bid_price_level: Optional[PriceLevel] = None
self.best_ask_price_level: Optional[PriceLevel] = None

self.price_levels: Dict[float, PriceLevel] = {}
self.price_levels: Dict = {}

def add_order(self, order: Order):
if order.side == SideType.BUY:
Expand All @@ -106,9 +106,9 @@ def execute_order(self, order: Order) -> dict:
def _delete_price_level(self, side: SideType, price_level: PriceLevel):
del self.price_levels[price_level.price]
if side == SideType.BUY:
self.bids_tree.delete_node(price_level.price)
self.bids_tree.remove(AVLNode(price_level.price))
else:
self.asks_tree.delete_node(price_level.price)
self.asks_tree.remove(AVLNode(price_level.price))

def cancel_order(self, order: Order):
price_level = order.price_level
Expand All @@ -119,15 +119,15 @@ def cancel_order(self, order: Order):
self._delete_price_level(order.side, price_level)

def is_empty_bids(self) -> bool:
self.bids_tree.is_empty()
return self.bids_tree.root is None

def is_empty_asks(self) -> bool:
self.asks_tree.is_empty()
return self.asks_tree.root is None

def _add_new_price_level(self, prices_tree: AdvancedAVLTree[float, PriceLevel], best_price_level: PriceLevel, order: Order) -> PriceLevel:
def _add_new_price_level(self, prices_tree: AVLTree, best_price_level: PriceLevel, order: Order) -> PriceLevel:
price_level = PriceLevel(order.price)
price_level.add_order(order)
prices_tree.insert_node(price_level.price, price_level)
prices_tree.insert(AVLNode(price_level.price, price_level))
self.price_levels[order.price] = price_level

if best_price_level is None:
Expand All @@ -138,14 +138,14 @@ def _add_new_price_level(self, prices_tree: AdvancedAVLTree[float, PriceLevel],
return price_level
return best_price_level

def _add_order(self, price_tree: AdvancedAVLTree[float, PriceLevel],
def _add_order(self, price_tree: AVLTree,
best_price_level: PriceLevel, order: Order) -> PriceLevel:
if order.price not in self.price_levels:
return self._add_new_price_level(price_tree, best_price_level, order)
else:
price_level = self.price_levels[order.price]
price_level.add_order(order)
price_tree.update(price_level.price, price_level)
price_tree.update(AVLNode(price_level.price, price_level))
return best_price_level

def _next_best_price_level(self, side: SideType) -> Optional[PriceLevel]:
Expand All @@ -154,16 +154,22 @@ def _next_best_price_level(self, side: SideType) -> Optional[PriceLevel]:
return
if self.best_bid_price_level.has_no_orders():
del self.price_levels[self.best_bid_price_level.price]
self.bids_tree.delete_node(self.best_bid_price_level.price)
self.best_bid_price_level = self.bids_tree.max_node_value
self.bids_tree.remove(AVLNode(self.best_bid_price_level.price))
if self.bids_tree.root is not None:
self.best_bid_price_level = self.bids_tree.root.max_node.value
else:
self.best_bid_price_level = None
return self.best_bid_price_level
else: # side == SideType.SELL
if self.best_ask_price_level is None:
return
if self.best_ask_price_level.has_no_orders():
del self.price_levels[self.best_ask_price_level.price]
self.asks_tree.delete_node(self.best_ask_price_level.price)
self.best_ask_price_level = self.asks_tree.min_node_value
self.asks_tree.remove(AVLNode(self.best_ask_price_level.price))
if self.asks_tree.root is not None:
self.best_ask_price_level = self.asks_tree.root.min_node.value
else:
self.best_ask_price_level = None
return self.best_ask_price_level

def _execute_order(self, order: Order, best_price_level: Optional[PriceLevel]) -> (Optional[PriceLevel], dict):
Expand Down
92 changes: 24 additions & 68 deletions tests/common.py
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Original file line number Diff line number Diff line change
@@ -1,19 +1,12 @@
import sys
from typing import TypeVar, List, Tuple, Dict, Optional

from helper import (
# build_order_book,
build_matching_engine,
update_matching_engine,
# update_order_book,
update_data_to_avl_tree
)
from order_book import OrderBook, PriceLevel, Order, MatchingEngine
from order_book.avl_tree import AVLTree, TreeNode
from order_book.advanced_avl_tree import AdvancedAVLTree
from typing import TypeVar, List, Tuple

from helper import update_matching_engine
from order_book import OrderBook, MatchingEngine
from py_simple_trees import AVLTree, AVLNode, TraversalType

K = TypeVar("K")
V = TypeVar("V")
AVLBN = TypeVar("AVLBN", bound=AVLNode)


def check_order_book(inputs, outputs):
Expand All @@ -32,34 +25,29 @@ def check_order_book(inputs, outputs):
assert bid_price_levels == outputs[1]


def check_advanced_avl_tree(inputs, outputs):
avl_tree = TestAdvancedAVLTree[int, int]()
update_data_to_avl_tree(avl_tree, inputs)

parents = avl_tree.get_parents()
print("parents: ", parents)
print("expected parents: ", outputs["parents"])

assert parents == outputs["parents"]


class TestOrderBook(OrderBook):
def __init__(self):
super().__init__()
self.bids_tree: TestAdvancedAVLTree[float, PriceLevel] = TestAdvancedAVLTree[float, PriceLevel]()
self.asks_tree: TestAdvancedAVLTree[float, PriceLevel] = TestAdvancedAVLTree[float, PriceLevel]()
self.bids_tree: TestAVLTree = TestAVLTree()
self.asks_tree: TestAVLTree = TestAVLTree()

def get_ask_price_levels(self):
price_levels = self.asks_tree.get_all_nodes()
price_levels.reverse()
price_levels = map(lambda pl: (pl[1].price, pl[1].total_volume), price_levels)
return price_levels
return map(
lambda node: (node.value.price, node.value.total_volume),
self.asks_tree.traversal(
traversal_type=TraversalType.IN_ORDER,
reverse=True
),
)

def get_bid_price_levels(self):
price_levels = self.bids_tree.get_all_nodes()
price_levels.reverse()
price_levels = map(lambda pl: (pl[1].price, pl[1].total_volume), price_levels)
return price_levels
return map(
lambda node: (node.value.price, node.value.total_volume),
self.bids_tree.traversal(
traversal_type=TraversalType.IN_ORDER,
reverse=True
),
)

def print_bids(self): # pragma: no cover
price_levels = self.get_bid_price_levels()
Expand Down Expand Up @@ -87,8 +75,8 @@ def print_filled_orders(self): # pragma: no cover
order.print_out()


class TestAdvancedAVLTree(AdvancedAVLTree[K, V]):
def _parents(self, root: TreeNode) -> List[Tuple]:
class TestAVLTree(AVLTree[K, V, AVLBN]):
def _parents(self, root: AVLBN) -> List[Tuple]:
results = []
if root is None:
return results
Expand All @@ -107,35 +95,3 @@ def print_parents(self): # pragma: no cover
results = self.get_parents()
print("Key | ParentKey")
print(results)

# Print the tree
def _print_helper(self, root: TreeNode[K, V], indent: str, last: bool): # pragma: no cover
if root is not None:
sys.stdout.write(indent)
if last:
sys.stdout.write("R----")
indent += " "
else:
sys.stdout.write("L----")
indent += "| "
print(root.key)
self._print_helper(root.left, indent, False)
self._print_helper(root.right, indent, True)

def print_helper(self, indent: str, last: bool): # pragma: no cover
self._print_helper(self.root, indent, last)

def _get_all_nodes(self, node: TreeNode[K, V]) -> List[tuple[K, V]]:
results = []
if not node:
return results

if node.left:
results += self._get_all_nodes(node.left)
results += [node.data]
if node.right:
results += self._get_all_nodes(node.right)
return results

def get_all_nodes(self) -> List[tuple[K, V]]:
return self._get_all_nodes(self.root)
51 changes: 0 additions & 51 deletions tests/test_advanced_avl_tree_1.py
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