https://github.com/alexey-ernest/go-hft-orderbook

Golang implementation of a Limit Order Book (LOB) for high frequency trading in crypto exchanges
https://github.com/alexey-ernest/go-hft-orderbook

crypto cryptocurrency exchange golang hft orderbook trading

Last synced: 3 months ago
JSON representation

Golang implementation of a Limit Order Book (LOB) for high frequency trading in crypto exchanges

• Host: GitHub
• URL: https://github.com/alexey-ernest/go-hft-orderbook
• Owner: alexey-ernest
• License: mit
• Created: 2019-12-02T18:05:00.000Z (almost 5 years ago)
• Default Branch: master
• Last Pushed: 2023-12-18T19:21:31.000Z (11 months ago)
• Last Synced: 2024-05-22T15:30:58.847Z (6 months ago)
• Topics: crypto, cryptocurrency, exchange, golang, hft, orderbook, trading
• Language: Go
• Homepage:
• Size: 32.2 KB
• Stars: 195
• Watchers: 11
• Forks: 53
• Open Issues: 4
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

Awesome Lists containing this project

• awesome-go-quant - go-hft-orderbook - Golang implementation of a Limit Order Book (LOB) for high frequency trading in crypto exchanges (Golang / Orderbook)

README

        
[![Build Status](https://travis-ci.com/alexey-ernest/go-hft-orderbook.svg?branch=master)](https://travis-ci.com/alexey-ernest/go-hft-orderbook)

# go-hft-orderbook

Golang implementation of a Limit Order Book (LOB) for high frequency trading in crypto exchanges. Inspired by [this](https://web.archive.org/web/20110219163448/http://howtohft.wordpress.com/2011/02/15/how-to-build-a-fast-limit-order-book/) article.

## Operations

* Add – O(log M) for the first order at a limit, O(1) for all others

* Cancel – O(1)

* GetBestBid/Offer – O(1)

* GetVolumeAtLimit – O(1)

## Performance

* Random generated insertion with limited number of price levels (10K levels) on average MacBook Pro: ~200ns/op or ~5M op/s

## TODO

* Object pool (Done)

* Real data for benchmarks

## Radicle URN

rad:git:hwd1yregaqj5mrp5dgc3gyuu6exszg84zr71su8j1f7t6oe9czxee1zzyzr