Update to main

pyproject.toml

@@ -1,6 +1,6 @@
 [project]
 name = "meatpy"
-version = "0.2.7"
+version = "0.2.10"
 description = "Read and process limit order book data"
 authors = [
   { name = "Vincent Grégoire", email = "vincent.gregoire@hec.ca" },

src/meatpy/itch50/itch50_exec_trade_recorder.py

@@ -97,7 +97,7 @@ def message_event(
                     "Queue": "Ask",
                     "Volume": message.shares,
                     "OrderID": message.order_ref,
-                    "Price": message.price,
+                    "Price": message.execution_price,
                 }
                 (queue, i, j) = lob.find_order(message.order_ref)
                 record["OrderTimestamp"] = queue[i].queue[j].timestamp
@@ -110,7 +110,7 @@ def message_event(
                     "Queue": "Bid",
                     "Volume": message.shares,
                     "OrderID": message.order_ref,
-                    "Price": message.price,
+                    "Price": message.execution_price,
                 }
                 (queue, i, j) = lob.find_order(message.order_ref)
                 record["OrderTimestamp"] = queue[i].queue[j].timestamp

src/meatpy/itch50/itch50_market_processor.py

@@ -157,6 +157,7 @@ def process_message(
         ):
             if message.stock != self.instrument:
                 return
+            self._order_refs.add(message.order_ref)
             if self.track_lob:
                 if message.bsindicator == b"B":
                     order_type = OrderType.BID
@@ -197,7 +198,7 @@ def process_message(
                     volume=message.shares,
                     order_id=message.order_ref,
                     trade_ref=message.match,
-                    price=message.price,
+                    price=message.execution_price,
                 )
         elif isinstance(message, OrderCancelMessage):
             if message.order_ref not in self._order_refs:

src/meatpy/itch50/itch50_order_event_recorder.py

@@ -111,7 +111,7 @@ def message_event(self, market_processor, timestamp, message) -> None:
                 "order_ref": message.order_ref,
                 "bsindicator": "",
                 "shares": message.shares,
-                "price": message.price,
+                "price": message.execution_price,
                 "neworder_ref": "",
                 "MessageType": "OrderExecutedPrice",
             }

src/meatpy/itch50/itch50_top_of_book_message_recorder.py

@@ -123,7 +123,7 @@ def message_event(self, market_processor, timestamp, message) -> None:
                     "Queue": "Ask",
                     "Volume": message.shares,
                     "OrderID": message.order_ref,
-                    "Price": message.price,
+                    "Price": message.execution_price,
                 }
                 self.records.append((timestamp, record))
             elif len(lob.bid_levels) > 0 and lob.bid_levels[0].order_on_book(
@@ -134,7 +134,7 @@ def message_event(self, market_processor, timestamp, message) -> None:
                     "Queue": "Bid",
                     "Volume": message.shares,
                     "OrderID": message.order_ref,
-                    "Price": message.price,
+                    "Price": message.execution_price,
                 }
                 self.records.append((timestamp, record))
         elif isinstance(message, OrderCancelMessage):

src/meatpy/market_processor.py

@@ -84,7 +84,7 @@ def before_lob_update(self, new_timestamp: Timestamp) -> None:
             new_timestamp: The new timestamp for the upcoming update
         """
         for x in self.handlers:
-            x.before_lob_update(self.current_lob, new_timestamp)
+            x.before_lob_update(self, new_timestamp)
 
     def message_event(self, timestamp: Timestamp, message: MarketMessage) -> None:
         """Notify handlers of a raw message event.

tests/test_market_processor.py

@@ -74,13 +74,17 @@ def setup_method(self):
     def test_before_lob_update(self):
         """Test before_lob_update method."""
         self.processor.before_lob_update(self.timestamp)
-        self.handler.before_lob_update.assert_called_once_with(self.lob, self.timestamp)
+        self.handler.before_lob_update.assert_called_once_with(
+            self.processor, self.timestamp
+        )
 
     def test_before_lob_update_with_no_lob(self):
         """Test before_lob_update method with no LOB."""
         self.processor.current_lob = None
         self.processor.before_lob_update(self.timestamp)
-        self.handler.before_lob_update.assert_called_once_with(None, self.timestamp)
+        self.handler.before_lob_update.assert_called_once_with(
+            self.processor, self.timestamp
+        )
 
     def test_message_event(self):
         """Test message_event method."""
@@ -224,12 +228,16 @@ def test_pre_lob_event(self):
         """Test pre_lob_event method."""
         self.processor.pre_lob_event(self.timestamp)
         # This method should call before_lob_update on handlers
-        self.handler.before_lob_update.assert_called_once_with(self.lob, self.timestamp)
+        self.handler.before_lob_update.assert_called_once_with(
+            self.processor, self.timestamp
+        )
 
     def test_pre_lob_event_with_new_snapshot(self):
         """Test pre_lob_event method with new snapshot flag."""
         self.processor.pre_lob_event(self.timestamp, new_snapshot=True)
-        self.handler.before_lob_update.assert_called_once_with(self.lob, self.timestamp)
+        self.handler.before_lob_update.assert_called_once_with(
+            self.processor, self.timestamp
+        )
 
 
 class TestMarketProcessorCleanup: