https://github.com/inv2004/orderbook-rs

OrderBook implementation in rust
https://github.com/inv2004/orderbook-rs

coinbase exchange orderbook rust

Last synced: 6 months ago
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OrderBook implementation in rust

• Host: GitHub
• URL: https://github.com/inv2004/orderbook-rs
• Owner: inv2004
• License: apache-2.0
• Created: 2018-09-05T01:15:36.000Z (about 7 years ago)
• Default Branch: master
• Last Pushed: 2020-04-27T20:03:41.000Z (over 5 years ago)
• Last Synced: 2025-03-29T02:45:30.959Z (7 months ago)
• Topics: coinbase, exchange, orderbook, rust
• Language: Rust
• Homepage:
• Size: 35.2 KB
• Stars: 26
• Watchers: 5
• Forks: 7
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

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README

          
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# orderbook-rs

I did this orderbook in addition to 

*Its primitive orderbook with hardcoded minimal step to 1 cent.*

For performance I put it in flat array, that is why it uses memory actively.

For current coinbase BTC-USD pair it takes 188.1 Mb or RAM.

It has hardcoded limit for 20000(max price) * 100(cents) = 2*10^6 values it can store.

Call the OB with values which are outside these boundaries will return None,

but, I suppose, this return can be ignored in most cases.

It implements Display with the following output:

```

OB: sized of top 20 bids in 1-cent step | bid-price    ask-price | sizes of low 20 asks in 1-cent step

OB: 0,0,0,0,0,0,0,0.001,0,0,0,0,0,0,0,0,0,0,0,5.5,26.047638720000013 | 6494.98   6494.99 | 5.006541749999999,10.0838,0,0,0,0,0,0,0.00130864,0.0052,0,0,0,0,0,0,0,0,0,0,0

```

## Examples

- Coinbase orderbook with reload if sequence is missed: