philipperemy/order-book-matching-engine

Order Book Matching Engine for Stock Exchanges (1us latency for matching)

Order Book Matching Engine (Low Latency)

Latency to match an order with a thick order book: ~1us.

No dependencies required (except Java).

Example

OrderBookEngine engine = new OrderBookEngine();
// Bid
// <99.95, 100>
//<99.90, 50>
//<99.85,50>
engine.onOrder(99.95, 100, OrderBookEngine.Side.BUY);
engine.onOrder(99.90, 50, OrderBookEngine.Side.BUY);
engine.onOrder(99.85, 50, OrderBookEngine.Side.BUY);

// Ask
// <100.00, 1000>
// <100.05, 50>
// <100.10, 90>
engine.onOrder(100.0, 1000, OrderBookEngine.Side.SELL);
engine.onOrder(100.05, 50, OrderBookEngine.Side.SELL);
engine.onOrder(100.10, 90, OrderBookEngine.Side.SELL);

engine.printOrderBook();

engine.onOrder(99.97, 1, OrderBookEngine.Side.BUY);
engine.onOrder(100.0, 1, OrderBookEngine.Side.BUY);

engine.printOrderBook();
System.out.println(engine.getBBO());

___ ORDER BOOK ___
Asks:
90 @ 100.1
50 @ 100.05
999 @ 100.0
Bids:
1 @ 99.97
100 @ 99.95
50 @ 99.9
50 @ 99.85
_________________
BBO{bid_price=99.97, bid_quantity=1.0, ask_price=100.0, ask_quantity=999.0}

order-book-matching-engine's Issues

Issue in buying and selling order

If there are 3 bid orders

<99.95, 100>
<99.90, 50>
<99.85,50>

and 3 ask orders

<100.00, 1000>
<100.05, 50>
<100.10, 90>

if a new bid(buy) order comes for <99.97, 1> then

for (double ask_price : ask_prices_list) {
	if (quantity > 0 && price >= ask_price) {

will be false since price(99.97) is not greater than ask_price(100.00) and the order is never executed.
This is a bug. i guess same issue with sell order as well

Improving for loop

In the receiveOrder function, you dont need to go over all the ask and bid orders right? Once the quantity is 0, you can exit the for loop.

Lets say there are 1million ask orders and a new bid order comes for just 1 quantity with sutiable price. Then even after satisfying the order, you will still iterate 1million - 1 times which is not needed