https://github.com/philipperemy/order-book-matching-engine

Order Book Matching Engine for Stock Exchanges (1us latency for matching)
https://github.com/philipperemy/order-book-matching-engine

book finance order trading trading-api

Last synced: 12 days ago
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Order Book Matching Engine for Stock Exchanges (1us latency for matching)

• Host: GitHub
• URL: https://github.com/philipperemy/order-book-matching-engine
• Owner: philipperemy
• Created: 2013-05-31T21:07:25.000Z (over 11 years ago)
• Default Branch: master
• Last Pushed: 2021-03-09T03:17:38.000Z (over 3 years ago)
• Last Synced: 2024-10-23T05:33:15.604Z (21 days ago)
• Topics: book, finance, order, trading, trading-api
• Language: Java
• Homepage:
• Size: 15.6 KB
• Stars: 139
• Watchers: 15
• Forks: 50
• Open Issues: 0
• Metadata Files:
  • Readme: README.md

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README

        
## Order Book Matching Engine (Low Latency)

Latency to match an order with a thick order book: *~1us*.

No dependencies required (except Java).

### Example

```java

OrderBookEngine engine = new OrderBookEngine();

// Bid

// <99.95, 100>

//<99.90, 50>

//<99.85,50>

engine.onOrder(99.95, 100, OrderBookEngine.Side.BUY);

engine.onOrder(99.90, 50, OrderBookEngine.Side.BUY);

engine.onOrder(99.85, 50, OrderBookEngine.Side.BUY);

// Ask

// <100.00, 1000>

// <100.05, 50>

// <100.10, 90>

engine.onOrder(100.0, 1000, OrderBookEngine.Side.SELL);

engine.onOrder(100.05, 50, OrderBookEngine.Side.SELL);

engine.onOrder(100.10, 90, OrderBookEngine.Side.SELL);

engine.printOrderBook();

engine.onOrder(99.97, 1, OrderBookEngine.Side.BUY);

engine.onOrder(100.0, 1, OrderBookEngine.Side.BUY);

engine.printOrderBook();

System.out.println(engine.getBBO());

```

```

___ ORDER BOOK ___

Asks:

90 @ 100.1

50 @ 100.05

999 @ 100.0

Bids:

1 @ 99.97

100 @ 99.95

50 @ 99.9

50 @ 99.85

_________________

BBO{bid_price=99.97, bid_quantity=1.0, ask_price=100.0, ask_quantity=999.0}

```