PyOBSim is a Python module facilitating market simulation by implementing an order book and other utilities. PyOBSim aims to make testing of trading algorithms clean and simple.
Running simulations is straightforward: simply provide an order flow and fire away:
from pyobsim import *
# build our participants
alice = participant.Participant("Alice", 100, 0) # $100, no units
bob = participant.Participant("Bob", 0, 120) # $0, 120 units
sim = simulation.Simulation("My Simulation", [], [alice, bob])
sim.load("order_flow.csv") # load our order flow from CSV file
sim.run()
print(sim)
This gives us our summary:
Simulation
My Simulation
---
Statement of Accounts
Alice: $100.0 with 0 units
Bob: $0.0 with 120 units
---
Market as at present
'GOOG'
If we want to inspect the book for GOOG:
print(sim.books["GOOG"])
We get:
Book for GOOG
Spread is $0.5
===
Ask
Price Quantity
--------------------------------------------------------------------------------
$1.0 100 |
|$0.5 10
--------------------------------------------------------------------------------
Price Quantity
Bid
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