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A Limit Order Book (LOB) implementation

Project description

Limit Order Book (LOB)

build-status PackageVersion PythonVersion Stable Format License

This is an implementation of the limit order book structure and matching algorithm for C++ (and Python through ctypes) for market data streaming.

Limit order book

Usage

C++

Simply add include/*.hpp to your C++ project either by copying directly or using git submodules.

Python

The preferred Python installation of limit-order-book is from pip:

pip install limit-order-book

Windows

You'll need to install the Visual-Studio 17.0 tools for Windows installation. The Visual Studio Community package provides these tools for free.

Testing

To run all the unit-test suites, run:

make test

C++

To run the C++ unit-test suite, run:

scons test

Python

To run the Python unit-test suite, run:

python -m unittest discover .

Benchmarking

C++

To run the C++ benchmark code, run:

scons benchmark

Project details


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Files for limit-order-book, version 1.0.1
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