elixir-order-matching's Introduction

OrderMatchingEngine

Matching engine is the engine support set of limit order commands from input.json The commands will be triggered in order from first (top) to last(bottom) of the list.

Input Examples:

{
  "orders": [
    {"command": "sell", "price": 100.003, "amount": 2.4},
    {"command": "buy", "price": 90.394, "amount": 3.445}
  ]
}

Output of the matching engine is Order Book in output.json. The output has 2 attributes which are buy, sell attributes.

Buy section has Buy price, Buy volume.

Buy prices are ordered from high to low
Buy volume is accumulated of buy amount which lies in the same price.

Sell section: Sell section has Sell price, Sell volume

Sell prices are ordered from low to high
Sell volume is accumulated of sell amount which lies in the same price.

Output Examples:

{
  "sell": [
    {
      "volume": 2.4,
      "price": 100.003
    }
  ],
  "buy": [
    {
      "volume": 3.445,
      "price": 90.394
    }
  ]
}

Prerequisite

Elixir, you can look for installation of Elixir in this website.

## Setup ```shell mix deps.get ``` --- ## Testing ```shell mix test test/* ``` --- ## Command

To take input file(`input.json`) and build the book orders output file (`output.json`).

# build output.json file from input.json file
mix run -e "OrderMatchingEngine.build_order_book_from_order_request_file('input.json') |> OrderBookRepository.save"

Module Docs

You can generate docs via this command:

mix docs

TODO: task list

✅ Read Json File
✅ Build Model
✅ Parse Json to Model
✅ Build Buy Sell Section
✅ Write Section to Json File
✅ Matching Engine (Time Priority)
✅ Order Book (list of orders, A matching engine uses the book to determine which orders can be fulfilled i.e. what trades can be made.)
✅ Refactor Code
✅ Finishing Docs
✅ Read me

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