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
3. Frequently Asked Questions(FAQ)
class Program
{
static void Main(string[] args)
{
//timeProvider will provide epoch
var timeProvider = new TimeProvider();
//create instance of matching engine.
MatchingEngine matchingEngine = new MatchingEngine(new MyTradeListener(), new MyFeeProvider(), new Quantity(0.0000_0001m), 8);
Order order1 = new Order { IsBuy = true, OrderId = 1, OpenQuantity = 0.01m, Price = 69_000 };
//push new order engine.
var addResult = matchingEngine.AddOrder(order1, timeProvider.GetSecondsFromEpoch());
if(addResult == OrderMatchingResult.OrderAccepted)
{
// matching engine has accepted order
}
//cancel existing orders
var cancelResult = matchingEngine.CancelOrder(1);//pass orderId to cancel
if (cancelResult == OrderMatchingResult.CancelAcepted)
{
// cancel request is accepted
}
}
}
//create a listener to receive events from matching engine. pass it to constructore of MatchingEngine
class MyTradeListener : ITradeListener
{
public void OnAccept(OrderId orderId)
{
Console.WriteLine($"Order Accepted.... orderId : {orderId}");
}
public void OnCancel(OrderId orderId, Quantity remainingQuantity, Quantity cost, Quantity fee, CancelReason cancelReason)
{
Console.WriteLine($"Order Cancelled.... orderId : {orderId}, remainingQuantity : {remainingQuantity}, cancelReason : {cancelReason}");
}
public void OnOrderTriggered(OrderId orderId)
{
Console.WriteLine($"Stop Order Triggered.... orderId : {orderId}");
}
public void OnTrade(OrderId incomingOrderId, OrderId restingOrderId, Price matchPrice, Quantity matchQuantiy, Quantity? askRemainingQuantity, Quantity? askFee, Quantity? bidCost, Quantity? bidFee)
{
if (bidCost.HasValue)
{
// buy order completed
}
if (askRemainingQuantity.HasValue)
{
// sell order completed
}
Console.WriteLine($"Order matched.... incomingOrderId : {incomingOrderId}, restingOrderId : {restingOrderId}, executedQuantity : {matchQuantiy}, exetedPrice : {matchPrice}");
}
}
class MyFeeProvider : IFeeProvider
{
public Fee GetFee(short feeId)
{
return new Fee
{
TakerFee = 0.5m, //0.5% taker fee
MakerFee = 0.1m, //0.1% maker fee
};
}
}