Create python script to construct central limit order book from Tradier market stream data

Author: thammo4

limit_order_book.py

@@ -0,0 +1,55 @@
+# mrk_syf_stream.json
+# {"type":"quote","symbol":"MRK","bid":125.62,"bidsz":2,"bidexch":"M","biddate":"1713545563000","ask":125.64,"asksz":1,"askexch":"Q","askdate":"1713545563000"},
+from stock_trader import *
+
+
+print(pd.json_normalize(tradier_exchange_list).T);
+
+
+#
+# Convert json file -> Central Limit Order Book
+#
+
+def create_clob (file, symbol='', exchange=''):
+	stream_data = pd.read_json(file); # print(f'STREAM DATA\n{stream_data.head(10)}\n');
+
+	stream_data = stream_data.query("type == 'quote'")[['bidexch', 'biddate', 'bidsz', 'bid', 'ask', 'asksz', 'askdate', 'askexch', 'symbol']];
+
+
+
+	# if symbol is not None:
+	if len(symbol) > 0:
+		stream_data = stream_data.query("symbol == @symbol");
+
+	# if exchange is not None:
+	if len(exchange) > 0:
+		stream_data = stream_data.query("bidexch == @exchange");
+		stream_data = stream_data.query("askexch == @exchange");
+
+	#
+	# Market stream data returns unix timestamps to the millisecond -> Convert to datetime
+	#
+
+	stream_data['biddate'] = pd.to_datetime(stream_data['biddate'], unit='ms');
+	stream_data['askdate'] = pd.to_datetime(stream_data['askdate'], unit='ms');
+
+	return stream_data;
+
+
+
+#
+# Plot change in bid/ask through trading day
+#
+
+def plot_bid_ask (clob):
+	plt.figure(figsize=(14,7));
+	plt.plot(clob['biddate'], clob['bid'], label='Bid Price');
+	plt.plot(clob['askdate'], clob['ask'], label='Ask Price');
+	plt.fill_between(clob['biddate'], clob['bid'], clob['ask'], color='gray', alpha=3/10, label='Spread');
+	plt.title(f"{list(clob['symbol'])[0]} Bid/Ask");
+	plt.xlabel('Time'); plt.ylabel('Price');
+	plt.legend();
+	plt.show();
+
+
+df_clob = create_clob(file='market_streams/market_stream_april22.json', symbol='ICE', exchange='N'); print(f'DF CLOB\n{df_clob}');

market_txt_to_json.sh

@@ -0,0 +1,52 @@
+#!/bin/bash
+
+#
+# Fetch command line argument (e.g. the name of the text file with market stream data to convert into json)
+#
+
+input_file="$1"
+
+output_file="${input_file%.txt}.json"
+
+
+#
+# Count input file lines
+#
+
+total_lines=$(wc -l < "$input_file")
+
+
+#
+# Begin JSON File Formatting
+#
+
+
+echo "[" > "$output_file"; # json files begin with closed interval square bracket
+
+
+#
+# Read the input file line-by-line
+#
+
+current_line=0
+while IFS= read -r line; do
+    ((current_line++))
+
+    #
+    # Check for final line of file
+    #
+
+    if [ "$current_line" -eq "$total_lines" ]; then
+        # Last line: append without a comma
+        echo "$line" >> "$output_file"
+    else
+        # Not the last line: append with a comma
+        echo "$line," >> "$output_file"
+    fi
+done < "$input_file"
+
+
+echo "]" >> "$output_file"; # json files end with closed interval square bracket
+
+echo "Conversion completed. The JSON file is saved as $output_file"
+