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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

Install package:

pip install orderbook

Import package:

fromorderbookimportOrderBook

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

Create an Order Book:

order_book=OrderBook()

process_order

cancel_order

modify_order

get_volume_at_price

get_best_bid

get_best_ask

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

# For a limit orderquote= {'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}