order-matching 0.3.1

Order Book Matching Engine

Order Book Matching Engine

Install

pip install order-matching

Usage

>>> import pandas as pd

>>> from order_matching.matching_engine import MatchingEngine
>>> from order_matching.order import LimitOrder
>>> from order_matching.side import Side
>>> from order_matching.orders import Orders

>>> matching_engine = MatchingEngine(seed=123)
>>> timestamp = pd.Timestamp("2023-01-01")
>>> transaction_timestamp = timestamp + pd.Timedelta(1, unit="D")
>>> buy_order = LimitOrder(side=Side.BUY, price=1.2, size=2.3, timestamp=timestamp, order_id="a", trader_id="x")
>>> sell_order = LimitOrder(side=Side.SELL, price=0.8, size=1.6, timestamp=timestamp, order_id="b", trader_id="y")
>>> executed_trades = matching_engine.match(orders=Orders([buy_order, sell_order]), timestamp=transaction_timestamp)

>>> print(executed_trades.trades)
[Trade(side=SELL, price=1.2, size=1.6, incoming_order_id='b', book_order_id='a', execution=LIMIT, trade_id='c4da537c-1651-4dae-8486-7db30d67b366', timestamp=Timestamp('2023-01-02 00:00:00'))]

Contribute

Create a virtual environment and activate it:

python -m venv venv
source venv/bin/activate

Install development dependencies:

pip install -e ".[dev]"

and use pre-commit to make sure that your code is formatted using black and isort automatically:

pre-commit install

Run tests:

pip install -e ".[test]"
pytest

Build and serve documentation website:

pip install -e ".[doc]"
mkdocs serve