MatchingEngineSimulator#

class swordfish._swordfishcpp.MatchingEngineSimulator#

engine_type: EngineType#: The type of the streaming engine.

stat: MatchingEngineSimulatorStat#: Descriptive statistics related to the streaming engine.

classmethod create(name, exchange, data_type, order_detail_output, quote_schema=None, user_order_schema=None, *, config=None)#

Create and configure a matching engine simulator instance.

Parameters:

name (str) – Unique engine name.
exchange (Union[plugin_simulator.Exchange, str]) – Market type.
data_type (Union[plugin_simulator.MarketDataType, int]) – Market data type.
order_detail_output (Table) – Unique engine name.
quote_schema (Union[Table, TypeDict], optional) – Unique engine name.
user_order_schema (Union[Table, TypeDict], optional) – Unique engine name.
config (plugin_simulator.MatchingEngineSimulatorConfig, optional) – Unique engine name.

Returns:

An instance of MatchingEngineSimulatorBuilder instant.

Return type:

plugin_simulator.MatchingEngineSimulatorBuilder

reset(cancel_order=False)#

Clear cached orders and market data.

Parameters:

cancel_order (bool, optional) –

Whether to cancel all unfilled user orders.

If True, all unfilled user orders will be canceled, and the corresponding cancellation information will be written to the trade detail table (specified via the order_detail_output parameter in create).
Default is False, meaning no cancellation is performed.

drop()#: Drop the matching engine.

get_open_orders(symbol=None)#

Get all unfilled user orders as a table.

Parameters:

symbol (str, optional) – A STRING scalar used to specify a stock for retrieving all unfilled orders.

Returns:

Returns a table containing the following columns:

Name	Type	Description
orderId	LONG	Order ID
timestamp	TIMESTAMP	Timestamp
symbol	STRING	Stock symbol
price	DOUBLE	Order price
totalQty	LONG	User order quantity
openQty	LONG	Remaining quantity of user order
direction	INT	1 = Buy, 2 = Sell
isMatching	INT	Whether the order has reached matching time
openVolumeWithBetterPrice	LONG	Total unfilled order volume at prices better than the order price
openVolumeWithWorsePrice	LONG	Total unfilled order volume at prices worse than the order price
openVolumeAtOrderPrice	LONG	Total unfilled order volume at the order price
priorOpenVolumeAtOrderPrice	LONG	Total unfilled order volume at the order price with earlier timestamp than this order
depthWithBetterPrice	INT	Number of price levels better than the order price
updateTime	TIMESTAMP	Latest update time

Note

The columns openVolumeWithBetterPrice, openVolumeWithWorsePrice, openVolumeAtOrderPrice, priorOpenVolumeAtOrderPrice, depthWithBetterPrice, and updateTime are included only when output_queue_position=1. (See the config parameter description in the create interface for details.)

Return type:

Table

property symbol_list: Vector#

Retrieve the list of stock symbols in the engine.

Returns:: A string vector indicating the list of stock symbols.
Return type:: Vector

insert_market(msg_body)#

Insert market data (table or tuple).

Parameters:: msg_body (Constant) – It can be either a table object or a tuple, representing market data or user order data. Its format must conform to the target table structure specified when creating the engine, such as quote_schema or user_order_schema. In particular, when msg_body is a tuple, if a column in the target table is an array vector, the corresponding element in the tuple must be either an array vector (e.g., arrayVector([2], 23.42 23.43)) or a tuple containing only a regular vector (e.g., [23.42 23.43]).
Return type:: None

insert_order(msg_body)#

Insert user order data. Returns order ID.

Parameters:: msg_body (Constant) – It can be either a table object or a tuple, representing market data or user order data. Its format must conform to the target table structure specified when creating the engine, such as quote_schema or user_order_schema. In particular, when msg_body is a tuple, if a column in the target table is an array vector, the corresponding element in the tuple must be either an array vector (e.g., arrayVector([2], 23.42 23.43)) or a tuple containing only a regular vector (e.g., [23.42 23.43]).
Returns:: A LONG vector indicating the order ID.
Return type:: Vector

set_limit_price(data)#

Set limit up/down prices.

Parameters:: data (Table) – A table containing three columns: symbol (STRING), upLimitPrice (DOUBLE), and downLimitPrice (DOUBLE).
Returns:: Returns True if the settings are applied successfully.
Return type:: bool

set_prev_close(prev_close)#

Set the previous closing prices for the matching engine simulator.

Parameters:: prev_close (Union[Dict[str, float], Dictionary]) – A dictionary where keys are stock symbols (strings) and values are the corresponding previous closing prices (floats).
Returns:: Returns True if the settings are applied successfully.
Return type:: bool

get_snapshot(symbol=None)#

Get market snapshot from the engine.

Parameters:

symbol (str, optional) – A STRING scalar specifying a stock. If not provided, snapshots for all stocks are retrieved.

Returns:

A table with the following schema:

Name	Type	Description
symbol	STRING	Stock symbol
timestamp	TIMESTAMP	Time
avgTradePriceAtBid	DOUBLE	Average trade price at bid
avgTradePriceAtOffer	DOUBLE	Average trade price at offer
totalTradeQtyAtBid	LONG	Total traded quantity at bid
totalTradeQtyAtOffer	LONG	Total traded quantity at offer
bidPrice	DOUBLE[]	List of bid prices
bidQty	LONG[]	List of bid quantities
offerPrice	DOUBLE[]	List of offer prices
offerQty	LONG[]	List of offer quantities
lastPrice	DOUBLE	Last price
highPrice	DOUBLE	Highest price
lowPrice	DOUBLE	Lowest price

Return type:

Table