weilhuiz / matching-engine

Example Matching Engine and Tests

Scripts (Tested on CentOS7)

• build.sh: Build docker image
• test.sh: Run unit tests
• run.sh: Run app against sample data

Instructions:

git clone https://github.com/boksman/matching-engine.git
cd matching-engine
chmod u+x *.sh
sudo ./test.sh  
sudo ./run.sh

test.sh output

Removing intermediate container 3a0894561610
 ---> df063d9f990c
Step 6/7 : COPY . .
 ---> d1a6cf79b99e
Step 7/7 : CMD [ "python"]
 ---> Running in 4dd71313907e
Removing intermediate container 4dd71313907e
 ---> 27e980c9876a
Successfully built 27e980c9876a
Successfully tagged matching-engine:1.0.dev
Build done
docker run -t matching-engine:1.0.dev python -m pytest test
============================================================================ test session starts ============================================================================
platform linux -- Python 3.7.4, pytest-6.0.1, py-1.10.0, pluggy-0.13.1
rootdir: /app
collected 5 items

test/test_engine.py .                                                                                                                                                 [ 20%]
test/test_main.py .                                                                                                                                                   [ 40%]
test/test_message_parser.py ...                                                                                                                                       [100%]

============================================================================= 5 passed in 0.05s =============================================================================
done

Performance Characteristics by Scenario

• Determine if AddOrderRequest results in a match
  • O(n) - Linear evaluation of one half the book is the most significant operation
• Removing filled orders from the resting order book
  • Runtime complexity is O(log(n)) for removing from half the book
• Removing a cancelled order:
  • Runtime complexity is O(log(n)) for the removal of object from a particular side of the book.