narmafraz/bexchange

A simple limit order book implemented in Go

bexchange

The bexchange package is a simple limit order book implemented as a go exercise. Currently limit buys, sells, and order cancellation are all supported.

Example

package main

import (
    bx "github.com/bhomnick/bexchange"
)

func main() {
    actions := make(chan *bx.Action)
    done := make(chan bool)

    go bx.ConsoleActionHandler(actions, done)

    ob := bx.NewOrderBook(actions)
    ob.AddOrder(bx.NewOrder(1, false, 50, 50))
    ob.AddOrder(bx.NewOrder(2, false, 45, 25))
    ob.AddOrder(bx.NewOrder(3, false, 45, 25))
    ob.AddOrder(bx.NewOrder(4, true, 55, 75))
    ob.CancelOrder(1)
    ob.Done()

    <-done
}

As the order book receives commands it generates action messages that needed to be handled to ensure durability. Two channels are used in this example:

• The actions channel is written to by the order book and read by an action handler. For debugging purposes a ConsoleActionHandler is included that simply prints actions to the console as they arrive.
• When the Done command is issued the program should block on the action handler to finish processing outstanding actions. The done channel allows this syncrhonization.

Future features

• Serialize orderbook reads and writes to add consistency across trader clients
• Add a websocket layer and web interface