leonguyensg / order-matcher

simple matching engine supports limit, market, stop-loss, iceberg, IOC, FOK, GTD orders

order-matcher

Order Matching Engine / Trading Engine

• Built with .Net Core, can run on linux and windows
• Support multiple order types
  • Limit
  • Market
  • Stop Loss / Stop Limit
  • Immediate or Cancel(IOC)
  • Fill or kill(FOK)
  • Good till Date(GTD)
  • Iceberg

Supports integer & real numbers/decimal for price and quantity

Hand written serializer faster than any serializer. x15 times faster than JSON, x5 times faster than messagepack

Documentation

home

1. Terminology

2. Order

3. Frequently Asked Questions(FAQ)

Code

class Program
{
	static void Main(string[] args)
	{
		//create instance of matching engine.
		MatchingEngine matchingEngine = new MatchingEngine(0, 1, new MyTradeListener(), new TimeProvider());

		Order order1 = new Order { IsBuy = true, OrderId = 1, Quantity = 1000, Price = 10 };
		//push new order engine.
		matchingEngine.AddOrder(order1);

		//cancel existing orders
		matchingEngine.CancelOrder(1);//pass orderId to cancel
	}
}



//create a listener to receive events from matching engine. pass it to constructore of MatchingEngine
class MyTradeListener : ITradeListener
{
    public void OnCancel(ulong orderId, Quantity remainingQuantity, Quantity remainingOrderAmount, CancelReason cancelReason)
    {
        Console.WriteLine($"Order Cancelled.... orderId : {orderId}, remainingQuantity : {remainingQuantity}, cancelReason : {cancelReason}");
    }

    public void OnOrderTriggered(ulong orderId)
    {
        Console.WriteLine($"Stop Order Triggered.... orderId : {orderId}");
    }

    public void OnTrade(ulong incomingOrderId, ulong restingOrderId, Price matchPrice, Quantity matchQuantiy, bool incomingOrderCompleted)
    {
        Console.WriteLine($"Order matched.... incomingOrderId : {incomingOrderId}, restingOrderId : {restingOrderId}, executedQuantity : {matchQuantiy}, exetedPrice : {matchPrice}");
    }
}