calebeverett / orderbook

Port of www.quantcup.org (implementing a fast stock exchange matching engine) from C to Rust

Rust Order Book

rust-quantcup (renamed orderbook for brevity) is a reimplementation of Quantcup.org's matching engine and order book in Rust. It attempts to make use of Rust language features at the implementation level as well as the project level (using cargo test and cargo bench for testing and scoring the matching engine).

engine.rs provides a baseline naive implementation of the machine engine akin to that of the original C quantcup code. The goal would be to optimize this matching engine.

The baseline quantcup code from Quantcup.org is also provide (though it has been modified to use C++ instead of C).

While there is no official leaderboard or competition like the original QuantCup, a way to participate here would be to fork the repo, edit engine.rs and try to get the best bench score possible.

Modification

engine.rs should be the main location for modification and optimization.

Testing

To test your matching engine simply run:

cd source
cargo test

This will run the unit tests in src/engine/test.rs.

Scoring

To score your program go into the source directory like before and run

cargo bench

This will benchmark your code using the score_feed.csv as the order flow and the matching engine implemented in engine.rs.

Contribution

PRs are welcome either adding additional novel matching engines to the examples or improving the base running/scoring code itself.