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Matching Engine for Limit Order Book
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dyn4mik3/OrderBook
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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}