https://github.com/kautenja/limit-order-book

A C++ and Python implementation of the limit order book.
https://github.com/kautenja/limit-order-book

cpp limit-order-book matching-engine python

Last synced: 3 days ago
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A C++ and Python implementation of the limit order book.

• Host: GitHub
• URL: https://github.com/kautenja/limit-order-book
• Owner: Kautenja
• License: mit
• Created: 2019-12-17T05:31:18.000Z (about 5 years ago)
• Default Branch: master
• Last Pushed: 2020-07-07T22:26:31.000Z (over 4 years ago)
• Last Synced: 2025-01-06T09:09:42.028Z (3 days ago)
• Topics: cpp, limit-order-book, matching-engine, python
• Language: C++
• Homepage: https://kautenja.github.io/limit-order-book/
• Size: 1.33 MB
• Stars: 249
• Watchers: 6
• Forks: 66
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

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README

        
# Limit Order Book

[![build-status][]][build-server]

[![PackageVersion][pypi-version]][pypi-home]

[![PythonVersion][python-version]][python-home]

[![Stable][pypi-status]][pypi-home]

[![Format][pypi-format]][pypi-home]

[![License][pypi-license]][license]

[build-status]: https://travis-ci.org/Kautenja/limit-order-book.svg

[build-server]: https://travis-ci.org/Kautenja/limit-order-book

[pypi-version]: https://badge.fury.io/py/limit-order-book.svg

[pypi-license]: https://img.shields.io/pypi/l/limit-order-book.svg

[pypi-status]: https://img.shields.io/pypi/status/limit-order-book.svg

[pypi-format]: https://img.shields.io/pypi/format/limit-order-book.svg

[pypi-home]: https://badge.fury.io/py/limit-order-book

[python-version]: https://img.shields.io/pypi/pyversions/limit-order-book.svg

[python-home]: https://python.org

[license]: ./LICENSE

This is an implementation of the limit order book with a price-time priority

matching policy for reception of market data streams. There are APIs for C++,

C, and Python.

## Usage

### C++

Simply add [include/*.hpp](include) to your C++ project either by copying

directly or using git submodules.

### C

A C-level API is defined in [include/lib_lob.hpp](include/lib_lob.hpp).

### Python

The preferred Python installation of `limit-order-book` is from `pip`:

```shell

pip install limit-order-book

```

## Usage Caveats

### Windows

You'll need to install the Visual-Studio 17.0 tools for Windows installation.

The [Visual Studio Community](https://visualstudio.microsoft.com/downloads/)

package provides these tools for free.

## Development

### Testing

To run all the unit-test suites, run:

```shell

make test

```

#### C++

To run the C++ unit-test suite, run:

```shell

scons test

```

#### Python

To run the Python unit-test suite, run:

```shell

python -m unittest discover .

```

### Benchmarking

#### C++

To run the C++ benchmark code, run:

```shell

scons benchmark

```