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https://github.com/gavincyi/LightMatchingEngine
A very light matching engine in Python.
https://github.com/gavincyi/LightMatchingEngine
hft-trading matching-engine order orderbook trading
Last synced: about 1 month ago
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A very light matching engine in Python.
- Host: GitHub
- URL: https://github.com/gavincyi/LightMatchingEngine
- Owner: gavincyi
- License: mit
- Created: 2017-02-07T22:53:43.000Z (over 7 years ago)
- Default Branch: develop
- Last Pushed: 2022-01-02T10:01:59.000Z (over 2 years ago)
- Last Synced: 2024-07-23T03:29:55.379Z (about 2 months ago)
- Topics: hft-trading, matching-engine, order, orderbook, trading
- Language: Python
- Size: 61.5 KB
- Stars: 317
- Watchers: 30
- Forks: 87
- Open Issues: 2
-
Metadata Files:
- Readme: README.md
- License: LICENSE.txt
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README
# LightMatchingEngine
A light matching engine written in Python.
The engine is a trivial object to support
* Add order - Returns the order and filled trades
* Cancel order - Returns the original order
The objective is to provide a easy interface for users on the standard
price-time priority matching algorithm among different instruments.
## Installation
The package can be installed by:
```
pip install lightmatchingengine
```
## Usage
Create a matching engine instance.
```
from lightmatchingengine.lightmatchingengine import LightMatchingEngine, Side
lme = LightMatchingEngine()
```
Place an order.
```
order, trades = lme.add_order("EUR/USD", 1.10, 1000, Side.BUY)
```
Cancel an order.
```
del_order = lme.cancel_order(order.order_id, order.instmt)
```
Fill an order.
```
buy_order, trades = lme.add_order("EUR/USD", 1.10, 1000, Side.BUY)
print("Number of trades = %d" % len(trades)) # Number of trades = 0
print("Buy order quantity = %d" % buy_order.qty) # Buy order quantity = 1000
print("Buy order filled = %d" % buy_order.cum_qty) # Buy order filled = 0
print("Buy order leaves = %d" % buy_order.leaves_qty) # Buy order leaves = 1000
sell_order, trades = lme.add_order("EUR/USD", 1.10, 1000, Side.SELL)
print("Number of trades = %d" % len(trades)) # Number of trades = 2
print("Buy order quantity = %d" % buy_order.qty) # Buy order quantity = 1000
print("Buy order filled = %d" % buy_order.cum_qty) # Buy order filled = 1000
print("Buy order leaves = %d" % buy_order.leaves_qty) # Buy order leaves = 0
print("Trade price = %.2f" % trades[0].trade_price) # Trade price = 1.10
print("Trade quantity = %d" % trades[0].trade_qty) # Trade quantity = 1000
print("Trade side = %d" % trades[0].trade_side) # Trade side = 2
```
Failing to delete an order returns a None value.
```
del_order = lme.cancel_order(9999, order.instmt)
print("Is order deleted = %d" % (del_order is not None)) # Is order deleted = 0
```
## Supported version
Python 2.x and 3.x are both supported.
## Order
The order object contains the following information:
* Exchange order ID (order_id)
* Instrument name (instmt)
* Price (price)
* Quantity (qty)
* Side (Buy/Sell) (side)
* Cumulated filled quantity (cum_qty)
* Leaves quantity (leaves_qty)
## Trade
The trade object contains the following information:
* Trade ID (trade_id)
* Instrument name (instmt)
* Exchange order ID (order_id)
* Trade price (trade_price)
* Trade quantity (trade_qty)
* Trade side (trade_side)
## Performance
To run the performance test, run the commands
```
pip install lightmatchingengine[performance]
python tests/performance/performance_test.py --freq 20
```
It returns the latency in nanosecond like below
| | add | cancel | add (trade > 0) | add (trade > 2.0) |
|:------|---------:|---------:|------------------:|--------------------:|
| count | 100 | 61 | 27 | 6 |
| mean | 107.954 | 50.3532 | 164.412 | 205.437 |
| std | 58.1438 | 16.3396 | 36.412 | 24.176 |
| min | 17.1661 | 11.4441 | 74.1482 | 183.105 |
| 25% | 81.3007 | 51.9753 | 141.382 | 188.47 |
| 50% | 92.5064 | 58.4126 | 152.349 | 200.748 |
| 75% | 140.19 | 59.3662 | 190.496 | 211.239 |
| max | 445.604 | 71.0487 | 248.909 | 248.909 |
## Contact
For any inquiries, please feel free to contact me by gavincyi at gmail dot com.