basana

The basana.external.binance.order_book_diff module provides tools for handling order book difference events from Binance. It is composed of three primary classes:

1. OrderBookDiff: Represents the state of the order book differences.
2. OrderBookDiffEvent: Represents a specific event containing order book updates.
3. Entry: Represents an individual entry within the order book.

The basana.external.binance.order_book module provides tools to mirror the Binance order book. It consists of three primary classes:

1. PartialOrderBook: Represents the state of the order book at a specific point in time.
2. PartialOrderBookEvent: Represents an update or event occurring within the order book.
3. Entry: Represents an individual price level (an order or a collection of orders) within the book.

These classes allow you to interact with real-time or historical Binance order book data within the Basana framework.

The basana.external.bitstamp.order_book module provides tools to interface with Bitstamp's order book data. It consists of three primary classes:

• OrderBook: The main interface for managing and accessing order book data.
• OrderBookEvent: Represents an event or update occurring within the order book.
• Entry: Represents an individual price level or entry within the order book.

In Basana, liquidity strategies are used by the backtesting exchange to model market impact. They determine two critical factors for order execution:

1. Volume Consumption: How much of a bar's total volume can be consumed by a single order.
2. Price Slippage: The degree to which an order's size affects the execution price.

You can choose between different implementations depending on whether you want to assume infinite liquidity or model price impact based on volume share.

Basana's architecture typically separates the logic of decision-making from the logic of execution using two main components:

1. Strategy: Implements the rules defining when to enter or exit a position. Strategies process market data (like Bar/OHLC events) and generate trading signals when market conditions meet specific criteria.
2. Position Manager: Responsible for executing trades in response to the signals generated by the strategy. While the provided examples use market orders for simplicity, production implementations typically use limit orders.

In a typical workflow:

• The exchange (or a data source) generates Bar (OHLC) events.
• The Strategy receives these bars, updates technical indicators, and pushes a trading signal if conditions are met.
• The Position Manager receives the signal and submits a buy or sell order to the exchange.

The module provides several classes to track the lifecycle of margin orders:

• OrderInfo: General information about a margin order.
• OpenOrder: Represents an order that is currently active and unfilled in the margin market.
• CreatedOrder: Represents a newly created margin order.
• CanceledOrder: Represents a margin order that has been canceled.

Basana is built on an event-driven architecture composed of four primary components:

1. Events: Data objects representing occurrences such as a new bar, a new trade, or an order book update.
2. Event sources: Components (like a websocket) that push new messages when specific updates occur.
3. Event handlers: Logic connected to specific event sources that are invoked when those sources generate new events.
4. Event dispatcher: The core engine responsible for running the event loop and invoking event handlers in the correct order as events arrive from various sources.

Users implement trading logic by creating a TradingSignalSource, which defines the rules for entering or exiting trades based on specific conditions.