OrderBook

A simple Exchange OrderBook application written in Elixir using GenServers.

Requisites

Elixir 1.11 (OTP 23.1)

Running

After cloning the repo, you can start the application running the iex inside the project folder:

iex -S mix

How to use

Starting

Every exchange is a running genserver. To get a new exchange you can run start_link function:

iex(1)> {:ok, exchange_pid} = OrderBook.Exchange.start_link()

Sending an instruction

Then you can send an instruction to that process:

iex(2)> OrderBook.Exchange.send_instruction(exchange_pid, %{
... instruction: :new,
... side: :bid,
... price_level_index: 1, 
... price: 50.0,
... quantity: 30
... })
:ok

An Instruction needs to match the following type:

%{
  instruction: :new | :update | :delete,
  side: :bid | :ask,
  price_level_index: integer(),
  price: float(),
  quantity: integer()
}

Constraints

If you send an invalid instruction (missing arguments or invalid types) you'll receive an Ecto.Changeset error
You can send a :delete instruction without a price/quantity
The :update instruction prints an error if you try to update an inexistent price level

Getting the order book

To get the current order book for a given price level depth you can use OrderBook.Exchange.order_book/2:

iex(3)> OrderBook.Exchange.order_book(exchange_pid, 2)
[
  %{ask_price: nil, ask_quantity: nil, bid_price: 50.0, bid_quantity: 30},
  %{ask_price: nil, ask_quantity: nil, bid_price: nil, bid_quantity: nil}
]

And that's it! You can spawn as many Exchange processes as you want and send all the instructions you want.

gchapim/order_book