orderbook

README

Orderbook

Overview

⚡ High speed matching engine

License

Project released under the terms of the MIT license.

Documentation

Index

• func CalculateLocked(amount, price decimal.Decimal, side Side) decimal.Decimal
• type Engine
  • func New() *Engine
  • func (e *Engine) Cancel(order *Order) *Order
  • func (e *Engine) Match(order *Order) ([]Trade, *Order, error)
  • func (e *Engine) Print(w io.Writer)
  • func (e *Engine) String() string
• type Kind
• type Order
  • func (o *Order) Less(other btree.Item) bool
• type Side
• type Trade
  • func NewTrade(buy, sell *Order, amount, price decimal.Decimal) *Trade

Functions

func CalculateLocked

func CalculateLocked(amount, price decimal.Decimal, side Side) decimal.Decimal

CalculateLocked calculates locked according to order side.

Types

type Engine

type Engine struct {
	// contains filtered or unexported fields
}

Engine is core structure for matching engine.

func New

func New() *Engine

New creates new order-book engine.

func (*Engine) Cancel

func (e *Engine) Cancel(order *Order) *Order

Cancel removes order from order-book.

func (*Engine) Match

func (e *Engine) Match(order *Order) ([]Trade, *Order, error)

Match matches upcoming order with orders in order-book.

func (*Engine) Print

func (e *Engine) Print(w io.Writer)

Print prints order-book into io.Writer.

func (*Engine) String

func (e *Engine) String() string

String returns orders from order-book. Returns list of buy orders, then sell orders.

type Kind

type Kind string

Kind of order, either "Market" or "Limit". New types of order can be added.

const (
	// KindMarket is representation of Market order.
	KindMarket Kind = "market"
	// KindLimit is representation of Limit order.
	KindLimit Kind = "limit"
)

type Order

type Order struct {
	ID       uint64          `json:"id"`
	Side     Side            `json:"side"`
	Kind     Kind            `json:"kind"`
	Price    decimal.Decimal `json:"price"`
	Volume   decimal.Decimal `json:"volume"`
	Locked   decimal.Decimal `json:"locked"`
	Received decimal.Decimal `json:"received"`
}

Order is simple representation of order for matching engine.

func (*Order) Less

func (o *Order) Less(other btree.Item) bool

Less compares two orders by price & ID, respects order Side. Used in order-book for sorting btree of orders.

type Side

type Side string

Side of order, either "sell" or "buy".

const (
	// SideSell is representation of sell Side.
	SideSell Side = "sell"
	// SideBuy is representation of buy Side.
	SideBuy Side = "buy"
)

type Trade

type Trade struct {
	Buy    Order           `json:"buy"`
	Sell   Order           `json:"sell"`
	Amount decimal.Decimal `json:"amount"`
	Price  decimal.Decimal `json:"price"`
}

Trade is result of two matched orders.

func NewTrade

func NewTrade(buy, sell *Order, amount, price decimal.Decimal) *Trade

NewTrade creates new trade.