/orderbook

A fast limit order book implementation in Python, inspired by voyager's winning 2011 QuantCup entry. (Also see kmanley/gorderbook, the Go version)

Primary LanguagePython

A fast limit order book implementation in Python.

Inspired by voyager's winning entry in the 2011 quantcup.org competition

See the Go version here: https://github.com/kmanley/gorderbook