https://github.com/piquette/orderbook

Efficient implementation of an exchange orderbook :bank: :zap: :book:
https://github.com/piquette/orderbook

exchange financial financial-markets fixprotocol go hft matching-engine trading

Last synced: 2 months ago
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Efficient implementation of an exchange orderbook :bank: :zap: :book:

• Host: GitHub
• URL: https://github.com/piquette/orderbook
• Owner: piquette
• License: mit
• Created: 2019-12-17T06:07:55.000Z (almost 6 years ago)
• Default Branch: master
• Last Pushed: 2019-12-18T04:46:20.000Z (almost 6 years ago)
• Last Synced: 2025-05-15T02:14:13.115Z (5 months ago)
• Topics: exchange, financial, financial-markets, fixprotocol, go, hft, matching-engine, trading
• Language: Go
• Homepage:
• Size: 11.7 KB
• Stars: 16
• Watchers: 1
• Forks: 6
• Open Issues: 1
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

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README

          
# Orderbook

[![Go Report Card](https://goreportcard.com/badge/github.com/piquette/orderbook)](https://goreportcard.com/badge/github.com/piquette/orderbook)

[![Build Status](https://travis-ci.org/piquette/orderbook.svg?branch=master)](https://travis-ci.org/piquette/orderbook)

[![GoDoc](https://godoc.org/github.com/piquette/orderbook?status.svg)](https://godoc.org/github.com/piquette/orderbook)

[![License: MIT](https://img.shields.io/badge/License-MIT-yellow.svg)](https://opensource.org/licenses/MIT)

## Purpose

This project is intended as a way to build and explore the dynamics of performant orderbooks through implementing various data structures.

## Caveats

There are some architectural caveats (simplifications) that are made here to keep things nice. Some of them are:

* Concurrency is ignored here, operations on the order book are purely single-threaded and transactional.

* Orders are added and matched in continuous-time and are valid until cancelled.

* Prices are represented as integers for computational and educational simplicity.

* Market orders and advanced order type logic is ignored, every order must be submitted at a specific price.

## Book operations

* Submit Order

* Cancel Order

* Get Top of Book