Limit Order Book Trading Engine
Project description
OrderBook
=========
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:
* bintrees
Key Functions
=============
process_order
cancel_order
modify_order
get_volume_at_price
get_best_bid
get_best_ask
Data Structure
==============
Orders are sent to the order book using the process_order function. The Order is created using a quote.
```python
# For a limit order
quote = {'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}
```
=========
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:
* bintrees
Key Functions
=============
process_order
cancel_order
modify_order
get_volume_at_price
get_best_bid
get_best_ask
Data Structure
==============
Orders are sent to the order book using the process_order function. The Order is created using a quote.
```python
# For a limit order
quote = {'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}
```
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