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feat(FutureExchange): iterate the orders from the end makes the simulation run faster #430

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merged 2 commits into from
Apr 13, 2024
Merged

feat(FutureExchange): iterate the orders from the end makes the simulation run faster #430

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5106d8b
feat(FutureExchange): iterate the orders from the end makes the simul…
yakir4123 Mar 16, 2024
fa24d82
feat(FutureExchange): revert black linter
yakir4123 Mar 16, 2024
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6 changes: 4 additions & 2 deletions jesse/models/FuturesExchange.py
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Original file line number Diff line number Diff line change
Expand Up @@ -155,13 +155,15 @@ def on_order_cancellation(self, order: Order) -> None:
if not order.reduce_only:
if order.side == sides.BUY:
# find and set order to [0, 0] (same as removing it)
for index, item in enumerate(self.buy_orders[base_asset]):
for index in range(len(self.buy_orders[base_asset]) - 1, 0, -1):
item = self.buy_orders[base_asset][index]
if item[0] == order.qty and item[1] == order.price:
self.buy_orders[base_asset][index] = np.array([0, 0])
break
else:
# find and set order to [0, 0] (same as removing it)
for index, item in enumerate(self.sell_orders[base_asset]):
for index in range(len(self.sell_orders[base_asset]) - 1, 0, -1):
item = self.sell_orders[base_asset][index]
if item[0] == order.qty and item[1] == order.price:
self.sell_orders[base_asset][index] = np.array([0, 0])
break
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