orderbook

README

Orderbook in Go

• price-time priority
• Add/Delete order
• Aggregate price levels
• LIMIT order type
• MARKET order type

Documentation

Index

• func Less(a, b decimal.Decimal) bool
• type Order
  • func (o *Order) Clone() *Order
  • func (o *Order) String() string
• type OrderAction
• type OrderBook
  • func NewOrderBook(symbol string) *OrderBook
  • func (ob *OrderBook) Debug()
  • func (ob *OrderBook) Match(o *Order)
• type OrderQueue
  • func NewOrderQueue(price decimal.Decimal) *OrderQueue
  • func (oq *OrderQueue) Append(o *Order) *list.Element
  • func (oq *OrderQueue) Len() int
  • func (oq *OrderQueue) Remove(e *list.Element) *Order
  • func (oq *OrderQueue) Update(e *list.Element, o *Order) *list.Element
• type OrderSide
• type OrderSingleSide
  • func NewOrderSingleSide(side OrderSide) *OrderSingleSide
  • func (os *OrderSingleSide) Append(o *Order)
  • func (os *OrderSingleSide) Debug(prefix string)
  • func (os *OrderSingleSide) Match(o *Order) *Order
  • func (os *OrderSingleSide) Remove(o *Order) bool
• type OrderState
• type OrderType

Functions

func Less

func Less(a, b decimal.Decimal) bool

Types

type Order

type Order struct {
	Action OrderAction
	ID     uint64
	Side   OrderSide
	Price  decimal.Decimal // use decimal.Zero to indicate market order
	Qty    decimal.Decimal
}

func (*Order) Clone

func (o *Order) Clone() *Order

func (*Order) String

func (o *Order) String() string

type OrderAction

type OrderAction uint

const (
	ADD OrderAction = iota
	DEL
)

type OrderBook

type OrderBook struct {
	Symbol string
	Asks   *OrderSingleSide
	Bids   *OrderSingleSide
}

func NewOrderBook

func NewOrderBook(symbol string) *OrderBook

func (*OrderBook) Debug

func (ob *OrderBook) Debug()

func (*OrderBook) Match

func (ob *OrderBook) Match(o *Order)

type OrderQueue

type OrderQueue struct {
	Price  decimal.Decimal
	Volume decimal.Decimal
	Orders *list.List
}

func NewOrderQueue

func NewOrderQueue(price decimal.Decimal) *OrderQueue

func (*OrderQueue) Append

func (oq *OrderQueue) Append(o *Order) *list.Element

func (*OrderQueue) Len

func (oq *OrderQueue) Len() int

func (*OrderQueue) Remove

func (oq *OrderQueue) Remove(e *list.Element) *Order

func (*OrderQueue) Update

func (oq *OrderQueue) Update(e *list.Element, o *Order) *list.Element

type OrderSide

type OrderSide uint

const (
	BUY OrderSide = iota
	SELL
)

type OrderSingleSide

type OrderSingleSide struct {
	Side OrderSide
	// contains filtered or unexported fields
}

func NewOrderSingleSide

func NewOrderSingleSide(side OrderSide) *OrderSingleSide

func (*OrderSingleSide) Append

func (os *OrderSingleSide) Append(o *Order)

func (*OrderSingleSide) Debug

func (os *OrderSingleSide) Debug(prefix string)

func (*OrderSingleSide) Match

func (os *OrderSingleSide) Match(o *Order) *Order

func (*OrderSingleSide) Remove

func (os *OrderSingleSide) Remove(o *Order) bool

type OrderState

type OrderState uint

const (
	INIT OrderState = iota
	PARTIAL_MATCHED
	FINISHED
	CANCELLED
)

type OrderType

type OrderType uint

const (
	LIMIT OrderType = iota
	MARKET
)