Implementing a limit order book matching engine

[femtotrader]

Hi,

Some years ago a contest called QuantCup was about implementing limit order book LOB matching engine (supporting limit and market orders).

Implementing this in Julia could be a very interesting project.

Here is some information for those who have an interest for such a project

https://en.wikipedia.org/wiki/Order_book_(trading)
https://en.wikipedia.org/wiki/Order_matching_system

https://money.stackexchange.com/questions/15156/how-do-exchanges-match-limit-orders/15161#15161

https://alexabosi.wordpress.com/2014/08/28/limit-order-book-implementation-for-low-latency-trading-in-c/

https://github.com/DrAshBooth/JavaLOB/tree/master/src/lob

https://www.elitetrader.com/et/threads/how-fast-is-your-limit-order-book-implementation.255567/

https://github.com/rhodey/limit-order-book

http://falconair.github.io/2015/01/05/financial-exchange.html Simulating a financial exchange in Scala (very good tuto)

Liquibook
https://objectcomputing.com/products/liquibook/
https://github.com/objectcomputing/liquibook

https://lobsterdata.com/LobsterReport.pdf

https://github.com/buttercoin/engine/blob/master/core/src/main/scala/TradeEngine.scala
https://github.com/buttercoin/engine/blob/master/core/src/main/scala/datastore/book.scala

Quantcup
http://web.archive.org/web/20110310171841/http://www.quantcup.org/home/spec
https://github.com/ajtulloch/quantcup-orderbook
https://github.com/rdingwall/go-quantcup
https://github.com/jordanbaucke/Limit-Order-Book
https://github.com/search?utf8=%E2%9C%93&q=quantcup&type=
https://www.google.fr/search?q=quantcup
https://github.com/sprw121/matching_engine
http://web.archive.org/web/20110312023826/http://www.quantcup.org/home/howtohft_howtobuildafastlimitorderbook

https://web.archive.org/web/20110314042933/http://howtohft.wordpress.com/

Orderbook simulation
https://quantivity.wordpress.com/2010/01/12/limit-book-simulation/

http://fixagora.sourceforge.net/
http://sourceforge.net/projects/fixagora/

Kind regards

PS : A basic implementation https://www.youtube.com/watch?v=7X37kr0IRTU
Order matching (allocation) algorithms

• FIFO / time priority
• Pro Rata

Github topic
https://github.com/topics/limit-order-book