[Snapshot][MVP] Implementing a basic order book with in-memory data structures #5
Description
1. Overview
This document provides an overview of the first MVP implementation of a basic order book using in-memory data structures in Java. The system is designed to handle limit orders using a price-priority + FIFO (First-In-First-Out) matching algorithm.
For performance optimization, Java's PriorityQueue has been used to manage orders efficiently, ensuring fast retrieval of the best available prices.
2. Key Features
Price-First Matching + FIFO:
Orders are matched based on price priority, with older orders executed first if prices are equal.
Buy and Sell Order Processing:
- Buy orders (
matchBuyOrder()) execute when BUY Price >= SELL Price. - Sell orders (
matchSellOrder()) execute when BUY Price >= SELL Price.
Immediate Execution:
If the BUY and SELL prices match, the trade is executed instantly.
Unmatched Orders:
Orders that cannot be executed immediately are stored in the MatchingQueue.
3. Architecture
Data Structures:
Java's PriorityQueue is used to manage orders efficiently.
Matching Logic:
- Orders match if the BUY price is greater than or equal to the SELL price.
- If multiple orders have the same price, the earliest order (FIFO) is matched first.
- If no match is found, the order is added to the queue.
4. Future Improvements
- Implement order cancellation functionality.
- Add support for market orders.
- Optimize matching performance using multi-threading.
- Persist executed orders to a database for historical tracking.