Golang implementation of a Limit Order Book (LOB) for high frequency trading in crypto exchanges. Inspired by this article.
- Add – O(log M) for the first order at a limit, O(1) for all others
- Cancel – O(1)
- GetBestBid/Offer – O(1)
- GetVolumeAtLimit – O(1)
- Random generated insertion with limited number of price levels (10K levels) on average MacBook Pro: ~200ns/op or ~5M op/s
- Object pool (Done)
- Real data for benchmarks