ericjohn / OrderBook

Matching Engine for Limit Order Book

OrderBook

Matching engine based on a limit order book written in Python.

Features:

• Standard price-time priority
• Supports both market and limit orders
• Add, cancel, update orders

Requirements:

• sortedcontainers

Usage

Install package:

pip install orderbook 

Import package:

from orderbook import OrderBook

Take a look at example.py: https://github.com/dyn4mik3/OrderBook/blob/master/orderbook/test/example.py

Key Functions

Create an Order Book:

order_book = OrderBook()

process_order

cancel_order

modify_order

get_volume_at_price

get_best_bid

get_best_ask

Data Structure

Orders are sent to the order book using the process_order function. The Order is created using a quote.

# For a limit order
quote = {'type' : 'limit',
         'side' : 'bid', 
         'quantity' : 6, 
         'price' : 108.2, 
         'trade_id' : 001}
         
# and for a market order:
quote = {'type' : 'market',
         'side' : 'ask', 
         'quantity' : 6, 
         'trade_id' : 002}