Implemented in C and complied in order to achive high performance, 5x time faster than numpy implementation.

See profile documention for more benchmarks.

$ git clone git@github.com:ArashFatahzade/lobq.git

or

$ git clone https://github.com/ArashFatahzade/lobq.git

$ cd lobq/
$ pip3 install cython  # Can not intall via dependencies
$ pip3 install -e .  # Add a sudo before the command for global

$ pytest -v # -v for verbos log

from lobq import LobQ

q = LobQ(cap=10)  # Queue Size 

lob_item = dict(
    time='2016-01-11T00:12:40',
    ask_pr=[1.17, 1.20, 1.25],
    bid_pr=[1.21, 1.20, 1.19], 
    ask_vol=[5.4, 4.2, 1.1],
    bid_vol=[2.4, 1.2, 4.1],
)

q.append(lob_item)

len(q)

q.peek(lob_item['time'])

q[0]  # Newest item
q[-1]  # Oldest item