Order Book 订单簿

class Level 级别

Bases: object

class Level(object):
    """
    Represents a read-only order book Level.

    表示只读订单簿级别。

    A price level on one side of the order book with one or more individual orders.

    订单簿一侧的价格级别，带有一个或多个单独的订单。

    Parameters:
    参数：
        price (Price) – The price for the level.
        price (Price) - 级别价格。
        orders (list [BookOrder ]) – The orders for the level.
        orders (list [BookOrder ]) - 该级别的订单。
    Raises: ValueError – If orders is empty.
    引发：ValueError - 如果 orders 为空。
    """
    def __init__(self, price: Price, orders: list):
        ...

Properties 属性

    @property
    def price(self) -> Price:
        """
        Price

        Return the price for the level.

        返回级别价格。

        Return type: Price
        Type: Level.price
        """
        ...

Methods 方法

    def exposure(self) -> float:
        """
        Return the exposure at this level (price * volume).

        返回此级别的风险敞口（价格 * 数量）。

        Return type: double
        """
        ...

    def orders(self) -> list:
        """
        Return the orders for the level.

        返回该级别的订单。

        Return type: list[BookOrder]
        """
        ...

    def size(self) -> float:
        """
        Return the size at this level.

        返回此级别的规模。

        Return type: double
        """
        ...

class OrderBook 订单簿

Bases: Data

class OrderBook(Data):
    """
    Provides an order book which can handle L1/L2/L3 granularity data.

    提供一个可以处理 L1/L2/L3 粒度数据的订单簿。
    """
    def __init__(self, instrument_id: InstrumentId, book_type: BookType) -> None:
        ...

Properties 属性

    @property
    def book_type(self) -> BookType:
        """
        BookType

        Return the order book type.

        返回订单簿类型。

        Return type: BookType
        Type: OrderBook.book_type
        """
        ...

    @property
    def count(self) -> int:
        """
        int

        Return the books update count.

        返回订单簿更新计数。

        Return type: int
        Type: OrderBook.count
        """
        ...
    
    @property
    def instrument_id(self) -> InstrumentId:
        """
        InstrumentId

        Return the books instrument ID.

        返回订单簿的金融工具 ID。

        Return type: InstrumentId
        Type: OrderBook.instrument_id
        """
        ...

    @property
    def sequence(self) -> int:
        """
        int

        Return the last sequence number for the book.

        返回订单簿的最后一个序列号。

        Return type: int
        Type: OrderBook.sequence
        """
        ...

    @property
    def ts_event(self) -> int:
        """
        int

        UNIX timestamp (nanoseconds) when the data event occurred.

        数据事件发生时的 UNIX 时间戳（纳秒）。

        Return type: int
        Type: OrderBook.ts_event
        """
        ...

    @property
    def ts_init(self) -> int:
        """
        int

        UNIX timestamp (nanoseconds) when the object was initialized.

        对象初始化时的 UNIX 时间戳（纳秒）。

        Return type: int
        Type: OrderBook.ts_init
        """
        ...

    @property
    def ts_last(self) -> int:
        """
        int

        Return the UNIX timestamp (nanoseconds) when the order book was last updated.

        返回订单簿最后更新时的 UNIX 时间戳（纳秒）。

        Return type: int
        Type: OrderBook.ts_last
        """
        ...

Methods 方法

    def add(self, order: BookOrder, ts_event: int, flags: int = 0, sequence: int = 0) -> void:
        """
        Add the given order to the book.

        将给定的订单添加到订单簿。

        Parameters:
        参数：
            order (BookOrder) – The order to add.
            order (BookOrder) - 要添加的订单。
            ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the book event occurred.
            ts_event (uint64_t) - 订单簿事件发生时的 UNIX 时间戳（纳秒）。
            flags (uint8_t , default 0) – The record flags bit field, indicating event end and data information.
            flags (uint8_t，默认 0) - 记录标志位字段，指示事件结束和数据信息。
            sequence (uint64_t , default 0) – The unique sequence number for the update. If default 0 then will increment the sequence.
            sequence (uint64_t，默认 0) - 更新的唯一序列号。如果默认为 0，则将递增序列。

        Raises: RuntimeError – If the book type is L1_MBP.
        引发：RuntimeError - 如果订单簿类型为 L1_MBP。
        """
        ...

    def apply(self, data) -> void:
        """
        Apply the given data to the order book.

        将给定的数据应用于订单簿。

        Parameters: delta (OrderBookDelta , OrderBookDeltas) – The data to apply.
        参数：delta (OrderBookDelta，OrderBookDeltas) - 要应用的数据。
        """
        ...

    def apply_delta(self, delta: OrderBookDelta) -> void:
        """
        Apply the order book delta.

        应用订单簿增量。

        Parameters: delta (OrderBookDelta) – The delta to apply.
        参数：delta (OrderBookDelta) - 要应用的增量。
        Raises: ValueError – If delta.book_type is not equal to self.type.
        引发：ValueError - 如果 delta.book_type 不等于 self.type。
        """
        ...

    def apply_deltas(self, deltas: OrderBookDeltas) -> void:
        """
        Apply the bulk deltas to the order book.

        将批量增量应用于订单簿。

        Parameters: deltas (OrderBookDeltas) – The deltas to apply.
        参数：deltas (OrderBookDeltas) - 要应用的增量。
        """
        ...

    def apply_depth(self, depth: OrderBookDepth10) -> void:
        """
        Apply the depth update to the order book.

        将深度更新应用于订单簿。

        Parameters: depth (OrderBookDepth10) – The depth update to apply.
        参数：depth (OrderBookDepth10) - 要应用的深度更新。
        """
        ...

    def asks(self) -> list:
        """
        Return the bid levels for the order book.

        返回订单簿的买价级别。

        Returns: Sorted in ascending order of price.
        返回值：按价格升序排序。
        Return type: list[Level]
        """
        ...

    def best_ask_price(self):
        """
        Return the best ask price in the book (if no asks then returns None).

        返回订单簿中的最佳卖价（如果没有卖价，则返回 None）。

        Return type: double
        """
        ...

    def best_ask_size(self):
        """
        Return the best ask size in the book (if no asks then returns None).

        返回订单簿中的最佳卖量（如果没有卖价，则返回 None）。

        Return type: double or None
        """
        ...

    def best_bid_price(self):
        """
        Return the best bid price in the book (if no bids then returns None).

        返回订单簿中的最佳买价（如果没有买价，则返回 None）。

        Return type: double
        """
        ...

    def best_bid_size(self):
        """
        Return the best bid size in the book (if no bids then returns None).

        返回订单簿中的最佳买量（如果没有买价，则返回 None）。

        Return type: double
        """
        ...

    def bids(self) -> list:
        """
        Return the bid levels for the order book.

        返回订单簿的买价级别。

        Returns: Sorted in descending order of price.
        返回值：按价格降序排序。
        Return type: list[Level]
        """
        ...
    
    def check_integrity(self) -> void:
        """
        Check book integrity.

        检查订单簿完整性。

        For all order books:

        对于所有订单簿：
            The bid side price should not be greater than the ask side price.
            买价不得高于卖价。

        Raises: RuntimeError – If book integrity check fails.
        引发：RuntimeError - 如果订单簿完整性检查失败。
        """
        ...

    def clear(self, ts_event: int, sequence: int = 0) -> void:
        """
        Clear the entire order book.

        清除整个订单簿。
        """
        ...

    def clear_asks(self, ts_event: int, sequence: int = 0) -> void:
        """
        Clear the asks from the order book.

        从订单簿中清除卖价。
        """
        ...

    def clear_bids(self, ts_event: int, sequence: int = 0) -> void:
        """
        Clear the bids from the order book.

        从订单簿中清除买价。
        """
        ...

    def delete(self, order: BookOrder, ts_event: int, flags: int = 0, sequence: int = 0) -> void:
        """
        Cancel the given order in the book.

        取消订单簿中的给定订单。

        Parameters:
        参数：
            order (Order) – The order to delete.
            order (Order) - 要删除的订单。
            ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the book event occurred.
            ts_event (uint64_t) - 订单簿事件发生时的 UNIX 时间戳（纳秒）。
            flags (uint8_t , default 0) – The record flags bit field, indicating event end and data information.
            flags (uint8_t，默认 0) - 记录标志位字段，指示事件结束和数据信息。
            sequence (uint64_t , default 0) – The unique sequence number for the update. If default 0 then will increment the sequence.
            sequence (uint64_t，默认 0) - 更新的唯一序列号。如果默认为 0，则将递增序列。
        """
        ...

    @classmethod
    def fully_qualified_name(cls) -> str:
        """
        Return the fully qualified name for the Data class.

        返回 Data 类的完全限定名称。

        Return type: str
        """
        ...

    def get_avg_px_for_quantity(self, quantity: Quantity, order_side: OrderSide) -> float:
        """
        Return the average price expected for the given quantity based on the current state of the order book.

        根据订单簿的当前状态返回给定数量的预期平均价格。

        Parameters:
        参数：
            quantity (Quantity) – The quantity for the calculation.
            quantity (Quantity) - 用于计算的数量。
            order_side (OrderSide) – The order side for the calculation.
            order_side (OrderSide) - 用于计算的订单方向。
        Return type: double
        Raises: ValueError – If order_side is equal to NO_ORDER_SIDE
        引发：ValueError - 如果 order_side 等于 NO_ORDER_SIDE。

        Warning:
            If no average price can be calculated then will return 0.0 (zero).
            如果无法计算平均价格，则将返回 0.0（零）。
        """
        ...

    def get_quantity_for_price(self, price: Price, order_side: OrderSide) -> float:
        """
        Return the current total quantity for the given price based on the current state of the order book.

        根据订单簿的当前状态返回给定价格的当前总数量。

        Parameters:
        参数：
            price (Price) – The quantity for the calculation.
            price (Price) - 用于计算的数量。
            order_side (OrderSide) – The order side for the calculation.
            order_side (OrderSide) - 用于计算的订单方向。
        Return type: double
        Raises: ValueError – If order_side is equal to NO_ORDER_SIDE
        引发：ValueError - 如果 order_side 等于 NO_ORDER_SIDE。
        """
        ...

    @classmethod
    def is_signal(cls, name: str = '') -> bool:
        """
        Determine if the current class is a signal type, optionally checking for a specific signal name.

        确定当前类是否是信号类型，可以选择检查特定的信号名称。

        Parameters:
        参数：
            name (str , optional) – The specific signal name to check. If name not provided or if an empty string is passed, the method checks whether the class name indicates a general signal type. If name is provided, the method checks if the class name corresponds to that specific signal.
            name (str，可选) - 要检查的特定信号名称。如果未提供名称或传递空字符串，则该方法将检查类名是否指示通用信号类型。如果提供了名称，则该方法将检查类名是否与该特定信号相对应。
        Returns: True if the class name matches the signal type or the specific signal name, otherwise False.
        返回值：如果类名与信号类型或特定信号名称匹配，则返回 True，否则返回 False。
        Return type: bool
        """
        ...

    def midpoint(self):
        """
        Return the mid point (if no market exists then returns None).

        返回中间点（如果不存在市场，则返回 None）。

        Return type: double or None
        """
        ...

    def pprint(self, num_levels: int = 3) -> str:
        """
        Return a string representation of the order book in a human-readable table format.

        以人类可读的表格格式返回订单簿的字符串表示形式。

        Parameters:
        参数：
            num_levels (int) – The number of levels to include.
            num_levels (int) - 要包含的级别数。
        Return type: str
        """
        ...

    def reset(self) -> void:
        """
        Reset the order book (clear all stateful values).

        重置订单簿（清除所有有状态值）。
        """
        ...

    def simulate_fills(self, order: Order, price_prec: int, is_aggressive: bool) -> list:
        """
        Simulate filling the book with the given order.

        使用给定的订单模拟填充订单簿。

        Parameters:
        参数：
            order (Order) – The order to simulate fills for.
            order (Order) - 要为其模拟填充的订单。
            price_prec (uint8_t) – The price precision for the fills.
            price_prec (uint8_t) - 填充的价格精度。
        """
        ...

    def spread(self):
        """
        Return the top-of-book spread (if no bids or asks then returns None).

        返回订单簿顶部的价差（如果没有买价或卖价，则返回 None）。

        Return type: double or None
        """
        ...

    def update(self, order: BookOrder, ts_event: int, flags: int = 0, sequence: int = 0) -> void:
        """
        Update the given order in the book.

        更新订单簿中的给定订单。

        Parameters:
        参数：
            order (Order) – The order to update.
            order (Order) - 要更新的订单。
            ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the book event occurred.
            ts_event (uint64_t) - 订单簿事件发生时的 UNIX 时间戳（纳秒）。
            flags (uint8_t , default 0) – The record flags bit field, indicating event end and data information.
            flags (uint8_t，默认 0) - 记录标志位字段，指示事件结束和数据信息。
            sequence (uint64_t , default 0) – The unique sequence number for the update. If default 0 then will increment the sequence.
            sequence (uint64_t，默认 0) - 更新的唯一序列号。如果默认为 0，则将递增序列。
        """
        ...

    def update_quote_tick(self, tick: QuoteTick) -> void:
        """
        Update the order book with the given quote tick.

        使用给定的报价 tick 更新订单簿。

        This operation is only valid for L1_MBP books maintaining a top level.

        此操作仅对维护顶级价格的 L1_MBP 订单簿有效。

        Parameters: tick (QuoteTick) – The quote tick to update with.
        参数：tick (QuoteTick) - 要更新的报价 tick。
        Raises: RuntimeError – If book_type is not L1_MBP.
        引发：RuntimeError - 如果 book_type 不是 L1_MBP。
        """
        ...

    def update_trade_tick(self, tick: TradeTick) -> void:
        """
        Update the order book with the given trade tick.

        使用给定的交易 tick 更新订单簿。

        This operation is only valid for L1_MBP books maintaining a top level.

        此操作仅对维护顶级价格的 L1_MBP 订单簿有效。

        Parameters: tick (TradeTick) – The trade tick to update with.
        参数：tick (TradeTick) - 要更新的交易 tick。
        Raises: RuntimeError – If book_type is not L1_MBP.
        引发：RuntimeError - 如果 book_type 不是 L1_MBP。
        """
        ...