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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



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


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

pip install limit-order-book


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


To run all the unit-test suites, run:

make test


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

scons test


To run the Python unit-test suite, run:

python -m unittest discover .



To run the C++ benchmark code, run:

scons benchmark

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