Improved matching engine written in Go (Golang)
- 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
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 { ... }// 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 another 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 quantity 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 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 another 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 quantity 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 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
The MIT License (MIT)
See LICENSE and AUTHORS files