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https://github.com/stoqey/dior

Christian Dior 💃🕺👗👔📈📉 - (Order Matching Engine) - match hundreds of thousands of orders per second
https://github.com/stoqey/dior

couchbase influxdb matching-algorithm matching-engine matching-networks order-matching typescript

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Christian Dior 💃🕺👗👔📈📉 - (Order Matching Engine) - match hundreds of thousands of orders per second

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 Christian Dior 










  


 Order Matching Engine - match hundreds of thousands of orders per second 






## Tech

- **Couchbase** for Orders/Trades storage

- **Influx** for marketdata storage quote/query

- **uWebsocket** for TCP/UDP



* Order types

    * **market** order - execute an order as fast as possible, cross the spread

    * **limit** order - execute an order with a limit on bid/ask price (e.g. $x or less for a bid, or $y or more for an ask)

* Order params

    * **AON** - all or nothing, don't allow partial fills

    * **IOC** - immediate or cancel, immediately fill what's possible, cancel the rest

    * **FOK** - **AON+IOC**, immediately match an order in full (without partial fills) or cancel it



## TODO



* ✅ stop orders

* ✅ GFD, GTC, GTD parameters

* logic surrounding the order book - trading hours, pre/after market restrictions

* basic middle & back office functionalities - risk assessment, limits

* ✅ Websocket: TCP/UDP server that accepts orders

* ✅ HTTP: TCP/UDP server that accepts orders

* ✅ reporting market volume, share price

* ✅ reporting acknowledgments & updates to clients (share price, displayed/hidden orders...)

* Master-slave cluster, auto-re-elect master

* Same-sync

* Tradebook cronjobs



## Market behaviour



Market orders are always given priority above all other orders, then sorted according to time of arrival.



* orders are FIFO based

    * bids - price (descending), time (ascending)

    * asks - price (ascending), time (ascending)

    * quantity does not matter in sorting



When a match occurs between two limit orders the price is set on the bid price. Bid of $25 and ask of $24 will be

matched at $25.



## Architecture



Order book & trade books are per-instrument objects, one order book can only handle one instrument.



* OrderBook (**Order model**) - stores active orders in memory, db & handles order matching

* TradeBook (**Trade model**) - stores daily trades in memory, db & provides additional data about trading



* Historical Orders (**OrderRecord model**) - persistent storage of all historical orders



### OrderBook

* `Order` model/collection is used to persist all orders in couchbase

* All orders whether active/or not are stored in couchbase under the `Order` collection 

* When an Order has been filled it is deleted from the `Order` collection and a copy of it is stored in `OrderRecords`



### TradeBook

* All trades are saved in the `Trade` collection of couchbase



## Acknowledgements

* Matching system full documentation

  * https://gist.github.com/jdrew1303/e06361070468f6614d52216fb91b79e5



* Practical .NET for Financial Markets by Samir Jayaswal and Yogesh Shetty

    * excellent reading material for functional and technical details about financial markets

    * good explanation of the order matching algorithm

* https://web.archive.org/web/20110219163448/http://howtohft.wordpress.com/2011/02/15/how-to-build-a-fast-limit-order-book/

    * insight into technical aspects regarding trading speed, efficiency...

* https://www.investopedia.com/investing/basics-trading-stock-know-your-orders/

    * great summary of order types

* https://github.com/enewhuis/liquibook

    * inspiration for some of the data structures and approaches to the problem














Stoqey Inc