Manticore OrderBook

A high-performance, feature-rich limit order book implementation for financial trading applications.

Features

✅ Complete Order Book Implementation - Full-featured limit order book with best-in-class performance
✅ Multiple Order Types - Support for limit, market, FOK, IOC, post-only, and GTD orders
✅ Price Improvement - Optional price improvement for better execution
✅ Event-Driven Architecture - Real-time events for order added, cancelled, and trades executed
✅ High Performance - Optimized for high-throughput trading (17,000+ orders/second)
✅ Comprehensive API - Clean, intuitive interface with extensive documentation
✅ Production Ready - Extensively tested and benchmarked

Installation

# From PyPI
pip3 install manticore-orderbook

# From source
git clone https://github.com/manticoretechnologies/manticore-orderbook.git
cd manticore-orderbook
pip3 install -e .

Quick Start

from manticore_orderbook import OrderBook
from manticore_orderbook.enums import Side, EventType

# Create an order book for BTC/USD
orderbook = OrderBook("BTC", "USD")

# Register event handlers
def on_trade(event):
    print(f"Trade executed: {event.amount} @ {event.price}")

orderbook.event_manager.register(EventType.TRADE_EXECUTED, on_trade)

# Add orders
orderbook.add_order("bid1", Side.BUY, 10000.00, 1.0)
orderbook.add_order("ask1", Side.SELL, 10100.00, 0.5)

# Get a snapshot of the current order book state
snapshot = orderbook.get_snapshot()
print(f"Best bid: {snapshot['bids'][0]['price'] if snapshot['bids'] else 'None'}")
print(f"Best ask: {snapshot['asks'][0]['price'] if snapshot['asks'] else 'None'}")

# Add a matching order that will execute
orderbook.add_order("match1", Side.BUY, 10100.00, 0.2)

Advanced Usage

Different Order Types

from manticore_orderbook.strategies import (
    MarketOrderStrategy,
    FOKOrderStrategy,
    IOCOrderStrategy,
    PostOnlyOrderStrategy,
    GTDOrderStrategy
)
import datetime

# Market order
orderbook.add_order("market1", Side.BUY, None, 0.5, 
                   strategy=MarketOrderStrategy())

# Fill-or-Kill order
orderbook.add_order("fok1", Side.BUY, 10050.00, 2.0,
                   strategy=FOKOrderStrategy())

# Immediate-or-Cancel order
orderbook.add_order("ioc1", Side.SELL, 10100.00, 1.0,
                   strategy=IOCOrderStrategy())

# Post-Only order
orderbook.add_order("post1", Side.BUY, 9900.00, 3.0,
                   strategy=PostOnlyOrderStrategy())

# Good-Till-Date order
expiry = datetime.datetime.now() + datetime.timedelta(days=1)
orderbook.add_order("gtd1", Side.SELL, 10200.00, 0.75,
                   strategy=GTDOrderStrategy(expiry))

Price Improvement

# Create an order book with price improvement enabled
orderbook = OrderBook("ETH", "USD", enable_price_improvement=True)

# The order book will automatically match orders at the best available price,
# even if that's better than what the taker requested

Performance

Manticore OrderBook is designed for high-performance trading applications:

• Order Addition: ~15,000 orders/second
• Order Cancellation: ~14,000 cancels/second
• Order Matching: ~17,000 orders/second with multiple matches

Documentation

• User Guide - Comprehensive guide to using the library
• API Documentation - Detailed API reference
• Examples - Code examples demonstrating various features

Visualization

Manticore OrderBook includes a visualization server for real-time order book display:

python3 -m manticore_orderbook.visualizer

Development

Setup Development Environment

# Clone the repository
git clone https://github.com/manticoretechnologies/manticore-orderbook.git
cd manticore-orderbook

# Create and activate virtual environment
python3 -m venv venv
source venv/bin/activate

# Install development dependencies
pip3 install -e ".[dev]"

Running Tests

# Run all tests
python3 -m unittest discover

# Run specific test module
python3 -m unittest tests.test_orderbook

# Run benchmarks
python3 -m tests.benchmark.test_orderbook_benchmark

Contributing

Contributions are welcome! Please see our Contributing Guide for details on how to submit pull requests, report issues, and suggest features.

License

Manticore OrderBook is licensed under the MIT License. See the LICENSE file for details.

Contact

• Website: https://manticore.technology
• Email: dev@manticore.technology
• GitHub: https://github.com/manticoretechnologies