dmdv / orderbook-2

Efficient implementation of an exchange orderbook :bank: :zap: :book:

Orderbook

Purpose

This project is intended as a way to build and explore the dynamics of performant orderbooks through implementing various data structures.

Caveats

There are some architectural caveats (simplifications) that are made here to keep things nice. Some of them are:

• Concurrency is ignored here, operations on the order book are purely single-threaded and transactional.
• Orders are added and matched in continuous-time and are valid until cancelled.
• Prices are represented as integers for computational and educational simplicity.
• Market orders and advanced order type logic is ignored, every order must be submitted at a specific price.

Book operations

• Submit Order
• Cancel Order
• Get Top of Book