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antonkolotaev avatar koalainparis avatar

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marketsimulator's Issues

Min/Max of assetPrice

Sometimes Min and Max of asset price are not updated correctly. The problem cannot be reproduced with signal.RandomWalk meaning that it comes from notification mecanism

Use sortedcontainers rather than blist for SortedDict implementation

Hi, I noticed you're using the sorteddict implementation from the blist module in a few places:

  1. https://github.com/fiquant/marketsimulator/blob/master/marketsim/gen/_intrinsic/observable/minmax.py
  2. https://github.com/fiquant/marketsimulator/blob/master/marketsim/gen/_intrinsic/strategy/arbitrage.py
  3. https://github.com/fiquant/marketsimulator/blob/master/marketsim/gen/_intrinsic/event.py

I can't tell whether those places are performance-critical but if they are, consider using the sortedcontainers module in place of blist. SortedContainers is a pure-Python implementation of SortedList, SortedDict, and SortedSet types. The SortedDict implementation is actually faster than the one in blist and the API is the same.

If you're interested, I'm happy to submit a pull request. Let me know.

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