A Limit Order Book (LOB) implementation
Project description
Limit Order Book (LOB)
This is an implementation of the limit order book structure and matching algorithm for C++ (and Python through ctypes) for market data streaming.
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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