High-performance Limit Order Book (LOB) and Market Impact simulator.
Project description
Limit-Engine 📉
High-Frequency Order Book & Microstructure Simulator
limit-engine is a matching engine implementation designed to simulate L2 market depth and analyze the impact of large institutional trades.
Key Features
- O(log N) Matching: Uses Priority Queues (Heaps) for high-performance order insertion and price-time priority.
- Slippage Analysis: Real-time calculation of transaction costs and market "sweep" impact.
- Impact Modeling: Implements the Square Root Law for estimating price decay on large block trades.
Usage
from limit_engine.nucleus.order_book import OrderBook
lb = OrderBook()
lb.add_limit_order("oid_1", "sell", 100.50, 500)
# Execute a market buy that hits the book
filled, avg_p, slippage = lb.execute_market_order("buy", 100)
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