Go orderbook

Improved matching engine written in Go (Golang)

Features

Standard price-time priority
Supports both market and limit orders
Supports order cancelling
High performance (above 300k trades per second)
Optimal memory usage
JSON Marshalling and Unmarsalling
Calculating market price for definite quantity

Usage

To start using order book you need to create object:

import (
  "fmt" 
  ob "github.com/muzykantov/orderbook"
)

func main() {
  orderBook := ob.NewOrderBook()
  fmt.Println(orderBook)
}

Then you be able to use next primary functions:

func (ob *OrderBook) ProcessLimitOrder(side Side, orderID string, quantity, price decimal.Decimal) (done []*Order, partial *Order, err error) { ... }

func (ob *OrderBook) ProcessMarketOrder(side Side, quantity decimal.Decimal) (done []*Order, partial *Order, quantityLeft decimal.Decimal, err error) { .. }

func (ob *OrderBook) CancelOrder(orderID string) *Order { ... }

About primary functions

ProcessLimitOrder

// ProcessLimitOrder places new order to the OrderBook
// Arguments:
//      side     - what do you want to do (ob.Sell or ob.Buy)
//      orderID  - unique order ID in depth
//      quantity - how much quantity you want to sell or buy
//      price    - no more expensive (or cheaper) this price
//      * to create new decimal number you should use decimal.New() func
//        read more at https://github.com/shopspring/decimal
// Return:
//      error   - not nil if quantity (or price) is less or equal 0. Or if order with given ID is exists
//      done    - not nil if your order produces ends of anoter order, this order will add to
//                the "done" slice. If your order have done too, it will be places to this array too
//      partial - not nil if your order has done but top order is not fully done. Or if your order is
//                partial done and placed to the orderbook without full quantity - partial will contain
//                your order with quantity to left
//      partialQuantityProcessed - if partial order is not nil this result contains processed quatity from partial order
func (ob *OrderBook) ProcessLimitOrder(side Side, orderID string, quantity, price decimal.Decimal) (done []*Order, partial *Order, err error) { ... }

For example:

ProcessLimitOrder(ob.Sell, "uinqueID", decimal.New(55, 0), decimal.New(100, 0))

asks: 110 -> 5      110 -> 5
      100 -> 1      100 -> 56
--------------  ->  --------------
bids: 90  -> 5      90  -> 5
      80  -> 1      80  -> 1

done    - nil
partial - nil

ProcessLimitOrder(ob.Buy, "uinqueID", decimal.New(7, 0), decimal.New(120, 0))

asks: 110 -> 5
      100 -> 1
--------------  ->  --------------
bids: 90  -> 5      120 -> 1
      80  -> 1      90  -> 5
                    80  -> 1

done    - 2 (or more orders)
partial - uinqueID order

ProcessLimitOrder(ob.Buy, "uinqueID", decimal.New(3, 0), decimal.New(120, 0))

asks: 110 -> 5
      100 -> 1      110 -> 3
--------------  ->  --------------
bids: 90  -> 5      90  -> 5
      80  -> 1      90  -> 5

done    - 1 order with 100 price, (may be also few orders with 110 price) + uinqueID order
partial - 1 order with price 110

ProcessMarketOrder

// ProcessMarketOrder immediately gets definite quantity from the order book with market price
// Arguments:
//      side     - what do you want to do (ob.Sell or ob.Buy)
//      quantity - how much quantity you want to sell or buy
//      * to create new decimal number you should use decimal.New() func
//        read more at https://github.com/shopspring/decimal
// Return:
//      error        - not nil if price is less or equal 0
//      done         - not nil if your market order produces ends of anoter orders, this order will add to
//                     the "done" slice
//      partial      - not nil if your order has done but top order is not fully done
//      partialQuantityProcessed - if partial order is not nil this result contains processed quatity from partial order
//      quantityLeft - more than zero if it is not enought orders to process all quantity
func (ob *OrderBook) ProcessMarketOrder(side Side, quantity decimal.Decimal) (done []*Order, partial *Order, quantityLeft decimal.Decimal, err error) { .. }

For example:

ProcessMarketOrder(ob.Sell, decimal.New(6, 0))

asks: 110 -> 5      110 -> 5
      100 -> 1      100 -> 1
--------------  ->  --------------
bids: 90  -> 5      80 -> 1
      80  -> 2

done         - 2 (or more orders)
partial      - 1 order with price 80
quantityLeft - 0

ProcessMarketOrder(ob.Buy, decimal.New(10, 0))

asks: 110 -> 5
      100 -> 1
--------------  ->  --------------
bids: 90  -> 5      90  -> 5
      80  -> 1      80  -> 1
                    
done         - 2 (or more orders)
partial      - nil
quantityLeft - 4

CancelOrder

// CancelOrder removes order with given ID from the order book
func (ob *OrderBook) CancelOrder(orderID string) *Order { ... }

CancelOrder("myUinqueID-Sell-1-with-100")

asks: 110 -> 5
      100 -> 1      110 -> 5
--------------  ->  --------------
bids: 90  -> 5      90  -> 5
      80  -> 1      80  -> 1
                    
done         - 2 (or more orders)
partial      - nil
quantityLeft - 4

License

The MIT License (MIT)

See LICENSE and AUTHORS files

ctengiz / orderbook