Usage

Overview

The securities-exchange package provides a simple framework for simulating a securities exchange. This package allows you to model and test different order types, market behaviors, and exchange rules. Installation

Getting Started

To use the package, you need to import the necessary classes and functions:

from securities_exchange import SecuritiesExchange, Order, OrderType, MarketSide

The primary classes include:

• SecuritiesExchange: Represents the securities exchange.
• Order: Represents an order with specific details like ticker, order type, side, size, and price.
• OrderType: Enum defining order types (MARKET, LIMIT).
• MarketSide: Enum defining market sides (BUY, SELL).

Exchange Modes

The SecuritiesExchange class has two modes of operation:

1. Default Mode:
   • The exchange takes Market Orders and tries to fill them given the available liquidity.
   • If Market Orders remain UNFILLED or PARTIALLY FILLED due to insufficient liquidity, they exit with the achieved status.
2. Queue Mode (allow_market_queue=True):
   • UNFILLED / PARTIALLY UNFILLED Market Orders don't exit from the exchange.
   • They get queued into a "priority" queue and will be filled at the next available opportunity, i.e., with the next Limit order that arrives on the opposite side.

Usage Example - Default Mode

secEx = SecuritiesExchange()

orders = [
    Order("MSFT", OrderType.MARKET, MarketSide.BUY, 10),
    Order("MSFT", OrderType.LIMIT, MarketSide.SELL, 10, 411.10),
    # ... other orders
]

for order in orders:
    secEx.submit_order(order)

Usage Example - Market Queue Mode

secEx_withMarketQueue = SecuritiesExchange(allow_market_queue=True)

orders = [
    Order("MSFT", OrderType.MARKET, MarketSide.BUY, 10),
    Order("MSFT", OrderType.LIMIT, MarketSide.SELL, 10, 411.10),
    # ... other orders
]

for order in orders:
    secEx_withMarketQueue.submit_order(order)