trasgoverde / order-match-master

order-match

order-match is a simple and fast library to build crypto-currency exchange, stock exchange or commodity exchange. order-matcher matches buy and sell orders using price-time priority algorithm. order-matcher supports multiple order types and able to excecute upto 1 million messages per seconds.

• Support multiple order types
  • Limit
  • Market
  • Stop Loss
  • Stop Limit
• Supports multiple options on order
  • Book or Cancel
  • Immediate or Cancel(IOC)
  • Fill or kill(FOK)
  • Iceberg
  • Good till Date(GTD)
  • Self Trade Prevention

1 Million orders per seconds on AWS c6a.xlarge instance

Supports integer & real numbers/decimal for price and quantity

Hand written serializer faster than any serializer. x15 times faster than JSON, x5 times faster than messagepack

Documentation

Project Development Status : Actively maintained.

Community

Questions and pull requests are welcomed.

Code

class Program
{
    static void Main(string[] args)
    {
        //timeProvider will provide epoch 
        var timeProvider = new TimeProvider();

        //create instance of matching engine.
        MatchingEngine matchingEngine = new MatchingEngine(new MyTradeListener(), new MyFeeProvider(), new Quantity(0.0000_0001m), 8);

        Order order1 = new Order { IsBuy = true, OrderId = 1, OpenQuantity = 0.01m, Price = 69_000 };
        //push new order engine.
        var addResult = matchingEngine.AddOrder(order1, timeProvider.GetSecondsFromEpoch());
        if (addResult == OrderMatchingResult.OrderAccepted)
        {
            // matching engine has accepted order
        }

        //cancel existing orders
        var cancelResult = matchingEngine.CancelOrder(1);//pass orderId to cancel
        if (cancelResult == OrderMatchingResult.CancelAcepted)
        {
            // cancel request is accepted
        }
    }
}



//create a listener to receive events from matching engine. pass it to constructore of MatchingEngine
class MyTradeListener : ITradeListener
{
    public void OnAccept(OrderId orderId, UserId userId)
    {
        Console.WriteLine($"Order Accepted.... orderId : {orderId}");
    }

    public void OnCancel(OrderId orderId, UserId userId, Quantity remainingQuantity, Amount cost, Amount fee, CancelReason cancelReason)
    {
        Console.WriteLine($"Order Cancelled.... orderId : {orderId}, remainingQuantity : {remainingQuantity}, cancelReason : {cancelReason}");
    }

    public void OnOrderTriggered(OrderId orderId, UserId userId)
    {
        Console.WriteLine($"Stop Order Triggered.... orderId : {orderId}");
    }

    public void OnTrade(OrderId incomingOrderId, OrderId restingOrderId, UserId incomingUserId, UserId restingUserId, bool incomingOrderSide, Price matchPrice, Quantity matchQuantiy, Quantity? askRemainingQuantity, Amount? askFee, Amount? bidCost, Amount? bidFee)
    {
        if (bidCost.HasValue)
        {
            // buy order completed
        }
        if (askRemainingQuantity.HasValue)
        {
            // sell order completed
        }

        Console.WriteLine($"Order matched.... incomingOrderId : {incomingOrderId}, restingOrderId : {restingOrderId}, executedQuantity : {matchQuantiy}, exetedPrice : {matchPrice}");
    }
}

class MyFeeProvider : IFeeProvider
{
    public Fee GetFee(short feeId)
    {
        return new Fee
        {
            TakerFee = 0.5m, //0.5% taker fee
            MakerFee = 0.1m, //0.1% maker fee
        };
    }
}