import datetime
import uuid
from abc import ABCMeta, abstractmethod
from datetime import date
Quote_dic = {}
Trade_dic = {}
# ---------------------------------------------- ABCQuote ----------------------------------------------
class ABCQuote(object, metaclass=ABCMeta):
def __init__(self, symbol: str, price: float, available_volume: int, expiration_datetime: datetime = None,
guid: uuid.UUID = None):
self.guid = guid if guid else uuid.uuid4()
self.symbol = symbol
self.price = price
self.available_volume = available_volume
self.expiration_datetime = expiration_datetime
class Quote(ABCQuote):
def __init__(self, symbol: str, price: float, available_volume: int, expiration_datetime: datetime = None,
guid: uuid.UUID = None):
super().__init__(symbol, price, available_volume, expiration_datetime, guid)
# ---------------------------------------------- ABCTradeResult ----------------------------------------------
class ABCTradeResult(object, metaclass=ABCMeta):
def __init__(self, symbol: str, volume_weighted_average_price: float, volume_requested: int, volume_executed: int,
guid: uuid.UUID = None):
self.guid = guid if guid else uuid.uuid4()
self.symbol = symbol
self.volume_weighted_average_price = volume_weighted_average_price
self.volume_requested = volume_requested
self.volume_executed = volume_executed
class TradeResult(ABCTradeResult):
def __init__(self, symbol: str, volume_weighted_average_price: float, volume_requested: int, volume_executed: int,
guid: uuid.UUID = None):
super().__init__(symbol, volume_weighted_average_price, volume_requested, volume_executed, guid)
# ---------------------------------------------- ABCQuoteManager ----------------------------------------------
class ABCQuoteManager(object, metaclass=ABCMeta):
@abstractmethod
def add_or_update_quote_by_guid(self, guid: uuid.UUID, abc_quote: ABCQuote):
raise NotImplementedError()
@abstractmethod
def remove_quote(self, guid: uuid.UUID):
raise NotImplementedError()
@abstractmethod
def remove_all_quotes(self, symbol: str):
raise NotImplementedError()
@abstractmethod
def get_best_quote_with_available_volume(self, symbol: str) -> ABCQuote:
raise NotImplementedError()
@abstractmethod
def execute_Trade(self, symbol: str, volume_requested: int) -> ABCTradeResult:
raise NotImplementedError()
class QuoteManager(ABCQuoteManager):
def add_or_update_quote_by_guid(self, guid: uuid.UUID, abc_quote: ABCQuote):
if guid in Quote_dic:
print('\n\t The quote with same id exits. So updating it to new value')
Quote_dic[guid].symbol = abc_quote.symbol
Quote_dic[guid].price = abc_quote.price
Quote_dic[guid].available_volume = abc_quote.available_volume
Quote_dic[guid].expiration_datetime = abc_quote.expiration_datetime
else:
Quote_dic[guid] = abc_quote
print('Successfully added ', abc_quote.symbol, 'into the Quote_dic ')
def remove_quote(self, guid: uuid.UUID):
if guid in Quote_dic:
del Quote_dic[guid]
else:
raise KeyError('Key is not found')
def remove_all_quotes(self, symbol: str):
symbol_found = 0
if symbol:
for key in list(Quote_dic):
if Quote_dic[key].symbol == symbol:
del Quote_dic[key]
symbol_found = 1
print('\n Removed all quotes of', symbol)
self.print_all_Quote_dic()
if symbol_found == 0:
raise KeyError('Symbol is not found')
else:
raise KeyError('Symbol is not found')
def get_best_quote_with_available_volume(self, symbol: str) -> ABCQuote:
today = datetime.date.today()
smallest_value= 1000000
smallest_key_id=-1
for i in Quote_dic:
if Quote_dic[i].symbol==symbol and Quote_dic[i].expiration_datetime>today and smallest_value>Quote_dic[i].price and Quote_dic[i].available_volume:
smallest_value=Quote_dic[i].price
smallest_key_id=i
if smallest_value==1000000:
print('\nNo quote is available' )
return None
print('\nThe best quote for symbol',symbol,'is ',smallest_value )
return smallest_key_id
def execute_Trade(self, symbol: str, volume_requested: int) -> ABCTradeResult:
result = volume_requested
global_volume_requested = volume_requested
no_of_iteration = 1
if self.get_best_quote_with_available_volume(symbol):
while result >= 0:
print('\n\n\t\t\t * No of iteration:', no_of_iteration, '*')
result = self.execute_Trade_recursion(symbol, result, global_volume_requested)
print('REMAINING VOL = ', result)
no_of_iteration += 1
self.print_all_Trade_dic()
self.print_all_Quote_dic()
else:
print('\nERROR \t No quote is available')
def execute_Trade_recursion(self, symbol: str, volume_requested: int, global_volume_requested: int,) -> ABCTradeResult:
lowest_price_id = self.get_best_quote_with_available_volume(symbol)
if lowest_price_id:
diff_btw_requested_and_available = Quote_dic[lowest_price_id].available_volume - volume_requested
print('the diff is ', diff_btw_requested_and_available)
if diff_btw_requested_and_available >= 0:
#If diff is positive, then reduce its avialabilty in Quote_dic and add it into the Trade_dic. This would stop the recursion call
Quote_dic[lowest_price_id].available_volume -= volume_requested
id = uuid.uuid4()
Trade_dic[id] = TradeResult(symbol, Quote_dic[lowest_price_id].price, global_volume_requested, volume_requested)
return -1
else:
# If diff is negative, it means that the available vol of lowest price symbol is not sufficient. So we need to find the next lowest price symbol
volume_requested -= Quote_dic[lowest_price_id].available_volume
id = uuid.uuid4()
Trade_dic[id] = TradeResult(symbol, Quote_dic[lowest_price_id].price, global_volume_requested, Quote_dic[lowest_price_id].available_volume)
Quote_dic[lowest_price_id].available_volume -= Quote_dic[lowest_price_id].available_volume
# volume_requested will be the remaining vol
# ie remaining_vol = volume_requested - Quote_dic[lowest_price_id].available_volume
return volume_requested
else:
print('ERROR OCCURED \n ')
return -1
# --------------------- Display functions --------------------
def print_all_Quote_dic(self):
print("\n\n -----** Displaying Quote_dic **------\n")
print(" \t\t ID \t\t | SYM | PRICE | Available Vol | DATE")
[print(i, " \t", Quote_dic[i].symbol, " \t", Quote_dic[i].price, " \t", Quote_dic[i].available_volume,
" \t\t", Quote_dic[i].expiration_datetime) for i in Quote_dic]
def print_all_Trade_dic(self):
print("\n\n\t\t **-------- Displaying Trade_dic --------** \n")
print("SYM | vol/wt | vol_req | vol_exec")
[print(Trade_dic[i].symbol, " ", Trade_dic[i].volume_weighted_average_price, " ",
Trade_dic[i].volume_requested, " ", Trade_dic[i].volume_executed) for i in Trade_dic]
# ------------------------------------------------ * Object creation * ----------------------------------------------------------
QuoteManager1 = QuoteManager()
QuoteManager1.add_or_update_quote_by_guid(uuid.uuid4(), Quote('A', 10, 750, date(2020, 12, 13)))
QuoteManager1.add_or_update_quote_by_guid(uuid.uuid4(), Quote('A', 20, 1000, date(2020, 12, 21)))
QuoteManager1.add_or_update_quote_by_guid(uuid.uuid4(), Quote('B', 120, 720, date(2020, 12, 10)))
QuoteManager1.add_or_update_quote_by_guid(uuid.uuid4(), Quote('A', 30, 30, date(2020, 11, 12)))
QuoteManager1.add_or_update_quote_by_guid(uuid.uuid4(), Quote('A', 40, 30, date(1999, 11, 12)))
QuoteManager1.add_or_update_quote_by_guid(uuid.uuid4(), Quote('C', 10, 10, date(2020, 12, 13)))
QuoteManager1.add_or_update_quote_by_guid(uuid.uuid4(), Quote('C', 20, 20, date(2020, 12, 21)))
QuoteManager1.add_or_update_quote_by_guid(uuid.uuid4(), Quote('C', 30, 30, date(2020, 12, 10)))
QuoteManager1.add_or_update_quote_by_guid(uuid.uuid4(), Quote('E', 70, 30, date(2020, 7, 5)))
QuoteManager1.add_or_update_quote_by_guid(uuid.uuid4(), Quote('E', 70, 30, date(2020, 12, 4)))
print("\n\t\t\t\t __________________________________ INITIAL QUOTE TABLE __________________________________ ")
QuoteManager1.print_all_Quote_dic()
# QuoteManager1.remove_all_quotes('A')
#
# QuoteManager1.get_best_quote_with_available_volume('A')
# print("\n\n********************************* \n")
QuoteManager1.remove_all_quotes('E')
#QuoteManager1.remove_all_quotes('')
QuoteManager1.get_best_quote_with_available_volume('C')
print("\n\n*************After calling execute_Trade('C',35) ******************** \n")
QuoteManager1.execute_Trade('C',35)
