gasp.py

# This is my implmentation of calculating Global Average Symmetric Price (GASP) as it's mentioned in this video: https://www.youtube.com/watch?v=wpmTuNvGQjQ
# Presenter in the video doesn't explain briefly how to calculate the GASP, but, I kinda figured it out myself


order_book = {
    'bids': [
        [97, 0.1],
        [96, 0.2],
        [95, 6]
    ],
    'asks': [
        [98, 4],
        [99, 4.6],
        [100, 4.8],
    ]
}

order_book_sec = {
    'bids': [
        [99, 20],
        [98, 10]
    ],
    'asks': [
        [100, 17],
        [101, 15]
    ]
}


def calculate_gasp(order_book):

    bids = order_book['bids']
    asks = order_book['asks']

    numerator = 0
    denominator = 0
    bid_idx = 0
    ask_idx = 0

    while True:
        try:
            bid_price = bids[bid_idx][0]
            bid_qty = bids[bid_idx][1]

            ask_price = asks[ask_idx][0]
            ask_qty = asks[ask_idx][1]

            if bid_qty < ask_qty:
                numerator = numerator + (bid_qty * bid_price + bid_qty * ask_price)
                print("{0} * {1} + {2} * {3}".format(bid_qty, bid_price, bid_qty, ask_price))
                bid_idx = bid_idx + 1
                denominator = denominator + 2 *  bid_qty
                asks[ask_idx][1] = ask_qty - bid_qty
            elif ask_qty < bid_qty:
                numerator = numerator + (ask_qty * bid_price + ask_qty * ask_price)
                print("{0} * {1} + {2} * {3}".format(ask_qty, ask_price, ask_qty, ask_price))
                denominator = denominator + 2 * ask_qty
                ask_idx = ask_idx + 1
                bids[bid_idx][1] = bid_qty - ask_qty
        except IndexError:
            break

    print("Numerator", numerator)
    print("Denominator", denominator)

    return numerator / denominator

 
gasp = calculate_gasp(order_book_sec)
print(gasp)