README.md

optimized-lob

This library contains an optimized implementation of a Limit Order Book (LOB). It keeps the aggregate quantities at each level.

Note: Will add the comments describing the project later on.

Usage

• Add the library to your project.
• Import the optimized_lob struct from optimized-lob.
• The orderbook_manager struct contains all the functions you need to manage the LOB. You can perform add, cancel, execute, delete, and replace operations on the LOB.
• There are individual wrapper structs as well that you might need to store price, quantity, order ID, book ID, etc.

Examples

A simple example demonstrating the use of library to add, delete, and replace orders.

extern crate optimized_lob;
use optimized_lob::{
    order::OrderId, orderbook_manager::OrderBookManager, quantity::Qty, utils::BookId,
};

fn test_lob() {
    let mut orderbook_manager = OrderBookManager::new();

    // Add an order
    orderbook_manager.add_order(
        OrderId(0), // Order ID
        BookId(0), // Book ID
        Qty(100), // Quantity
        600, // Price
        true, // Is Bid
    );
    
    // Replace an order
    orderbook_manager.replace_order(
        OrderId(0), // Order ID to replace
        OrderId(1), // New Order ID
        Qty(50), // New Quantity
        500, // New Price
    );
    
    // Remove an order
    orderbook_manager.remove_order(OrderId(1));
}

See Also:

• CppTrader matching engine implementation
• A StackOverflow answer along with his implementation of an optimized LOB.
• This blog post gives a good idea for the low-level design of the orderbook.