Orderbook

[femtotrader]

We should probably have some orderbook classes

First an AbstractOrderBook (abstract) class

An InfiniteDepthOrderBook class which inherit from this AbstractOrderBook
Such a class could have methods like bid, ask, spread (for a given volume)
which returns price and remaining volume (0 in case of infinite depth)

And an other class FiniteDepthOrderBook (for finite depth orderbooks)

There is some historical orderbook providers such as https://lobsterdata.com/info/DataSamples.php
so we could also have class to manage this also

Similiar question with zipline: quantopian/zipline#1616

[femtotrader]

This could remove the need of some odd calculus such as "midpoint".

qstrader/qstrader/position.py

Line 75 in 325266d

midpoint = (bid + ask) // 2

See related issue: #167

[femtotrader]

Instead of passing bid/ask to update_market_value

qstrader/qstrader/position.py

Line 63 in 325266d

def update_market_value(self, bid, ask):

An orderbook could be passed (thanks to PriceHandler)