order-matching-engine
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ridulfo
400k orders per second at a 2.5 μs (avg.) latency order matching engine in python
Hello I need an open source maching engine that can process sales orders that are placed in the database through the app, that is, I can finally create something like...
Hi, thank you for developing and sharing this matching engine. I tested your engine and noticed that it does not add up the volumes in the order book for orders...
https://github.com/nicoloridulfo/Order-Matching-Engine/blob/2a064fb801867a3ace269e5902053ed726c331b1/OrderMatchingEngine/Orderbook.py#L43-L59 These lines could be made into a generator to increase readability.
By using a sorted dictionary the same sorted quality would exist, but with the added benefit of being able to cancel an order in O(log(n)) (sortedcontainers have that time complexity...