goorderbook

README

GoOrderBook

This library provides the ability to maintain a level one, two, or three financial orderbooks. This library provides enough abstraction such that it is easily applied to cyrpto, assets, currencies, and lending books alike.

Documentation

Overview

GoOrderBook builds on the google btree library to provide the ability to maintain real time orderbooks not limited to, cyrpto, assets, currencies and lending books.

Index

• type Order
• type OrderBook
  • func New() OrderBook
• type OrderBookLevel
  • func (r OrderBookLevel) IsNil() bool
  • func (r OrderBookLevel) Less(b btree.Item) bool
  • func (r OrderBookLevel) Total() uint64
• type OrderBookSide
  • func NewSide() OrderBookSide

Types

type Order

type Order struct {

	// Id is the id of the order on this book level
	Id string

	// Amount is the amount that this order is willing to buy/sell
	Amount uint64

	// Timesetamp is the time that this order was placed on the book in
	// nanoseconds.
	Timestamp uint64
}

Order represents an order on a book level

type OrderBook

type OrderBook interface {

	// PutBid calls Put on the bid side
	PutBid(order Order, level uint64)

	// PutAsk calls Put on the ask side
	PutAsk(order Order, level uint64)

	// GetBid calls Get on the bid side
	GetBid(level uint64) OrderBookLevel

	// GetAsk calls Get on the ask side
	GetAsk(level uint64) OrderBookLevel

	// RemoveBid calls Remove of the bid side
	RemoveBid(orderId string) error

	// RemoveAsk calls Remove on the ask side
	RemoveAsk(orderId string) error

	// ModifyBid modifies an order the bid side
	ModifyBid(order Order, level uint64) error

	// ModifyAsk modifies an order on the ask side
	ModifyAsk(order Order, level uint64) error

	// TopBid returns the top of the bid book
	TopBid() OrderBookLevel

	// TopAsk returns the top of the ask book
	TopAsk() OrderBookLevel

	// Sequence returns the sequence number of the last message
	GetSequence() uint64

	// SetSequence sets the sequence number for this orderbook
	SetSequence(sequence uint64)
}

OrderBook builds upon the OrderBookSide int64erface. Orderbook simply holds two order book sides, one for the bid side and one for the ask side. The functions PutBid/PutAsk/Get*** etc... are pass through functions to the correct order book side.

func New

func New() OrderBook

New create a new order book

type OrderBookLevel

type OrderBookLevel struct {
	// The orders in this level
	Orders []Order

	// Level is the bid or ask price that lies on the book
	Level uint64
}

OrderBookLevel contains a list of orders that make up the entire level

func (OrderBookLevel) IsNil

func (r OrderBookLevel) IsNil() bool

IsNil returns true if the order book level contains no information.

func (OrderBookLevel) Less

func (r OrderBookLevel) Less(b btree.Item) bool

Less implements the btree.Item interface for our OrderBookLevel. Returns true if LevelA is less than LevelB

func (OrderBookLevel) Total

func (r OrderBookLevel) Total() uint64

Total gets the total number amount of an orderbook level

type OrderBookSide

type OrderBookSide interface {

	// Puts a level on the order book
	Put(order Order, level uint64)

	// Gets a level from the order book
	Get(level uint64) OrderBookLevel

	// Removes an order from the order book
	Remove(orderId string) error

	// Modifies an order already on the book, throws an error if the order
	// can not be found
	Modify(order Order, level uint64) error

	// Max returns the maximum value in the orderbook or a nil orderbooklevel.
	// The nil orderbook level is only returned if there are no elements in
	// the book.
	Max() OrderBookLevel

	// Min returns the minimum value in the orderbook or a nil orderbooklevel.
	// The nil orderbook level is only returned if there are no elements in
	// the book.
	Min() OrderBookLevel
}

OrderBookSide represents either the bid or ask side of the order book

func NewSide

func NewSide() OrderBookSide

New creates a new order book