limit-order-book

An in-memory limit order book with a single entry point: place_order. The function attempts to match the incoming order against the opposite side and then adds any remaining quantity to the book.

Example:

An incoming sell order should be attempted to match/trade with the best existing buy orders on the book, a best buy order would be the one with the highest price (willing to pay the most ), a best selling order on the sell side is the one that is willing to sell for the least price:

• Price–time priority. Fill the oldest orders at the best price level first.
• Trade price = resting (book) order’s price.
• Partial fills allowed. Remove fully filled resting orders; decrease quantity otherwise.
• Remainder: if the incoming order still has quantity, add it to the book at its limit price with newest time priority.
• No cancels, no expiries, no self-match prevention (keep it simple).

API

Implement in Rust or Go:

• place_order(side, price, quantity) -> trades
  • side: Buy or Sell
  • price: integer
  • quantity: integer
  • returns: list of trades (buy_order_id, sell_order_id, price, quantity) in match order
• best_bid() -> Option<(price, tatal_quantity)> total_quantity being the sum of all orders quantities at that price .
• best_ask() -> Option<(price, tatal_quantity)>

OrderBook trait has two implementations (as attempt to experiment with performance):

• module hp_ob -- with VecDeque to store resting orders (Optimal for the most part and doesn't limit how many resting orders)
• module fcb_ob -- with custom FastCircularBuffer to store resting orders

cargo build

cargo test

cargo bench

Usage:

// Create in-memory limit order book
let mut book = LimitOrderBook::new();

// Add sell order
// Results in empty trades as there is currently nothing in the book
let _trades = book.place_order(Side::Sell, 105, 100); 

// Add buy order
// Results in one trade and sell trade still in the book, 
// but now with quantity 93
let trades = book.place_order(Side::Buy, 250, 7);

assert_eq!(None, book.best_bid()); // Above order fullfilled and never made it into book
assert_eq!(Some((105, 93)), book.best_ask());