order-matcher

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simple, fast and feature rich order matching engine supports limit, market, stop-loss, iceberg, IOC, FOK, GTD orders

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- - dotnetcore.yml
- - AssemblyAttributes.cs
  - Book.cs
  - Constant.cs
  - CurrentOrders.cs
  - Fee.cs
  - GlobalUsing.cs
  - GoodTillDateOrders.cs
  - IFeeProvider.cs
  - IPriceLevel.cs
  - ITimeProvider.cs
  - ITradeListener.cs
  - MatchingEngine.cs
  - OrderIdTracker.cs
  - OrderMatcher.csproj
  - OrderSequenceComparer.cs
  - PriceComparerAscending.cs
  - PriceComparerDescending.cs
  - PriceLevel.cs
  - PriceLevelComparerAscending.cs
  - PriceLevelComparerDescending.cs
  - QuantityTrackingPriceLevel.cs
  - Side.cs
  - TimeProvider.cs
- - BookRequestDeserializeBenchmark.cs
  - BookRequestSerializeBenchmark.cs
  - CancelRequestDeserializeBenchmark.cs
  - CancelRequestSerializeBenchmark.cs
  - FillDeserializeBenchmark.cs
  - FillSerializeBenchmark.cs
  - GlobalUsing.cs
  - LoadRunner.cs
  - MatchingEngineBenchmark.cs
  - OrderBookDeserializeBenchmark.cs
  - OrderBookSerializeBenchmark.cs
  - OrderCancelledDeserializeBenchmark.cs
  - OrderCancelledSerializeBenchmark.cs
  - OrderDeserializeBenchmark.cs
  - OrderMatcher.Performance.csproj
  - OrderSequenceComparerBenchmark.cs
  - OrderSerializeBenchmark.cs
  - OrderTriggerDeserializeBenchmark.cs
  - OrderTriggerSerializeBenchmark.cs
  - PriceLevelBenchmark.cs
  - Program.cs
  - SpanBenchmark.cs
- - AssertExtension.cs
  - BookRequestSerializerTests.cs
  - BookSerializerTests.cs
  - BookTests.cs
  - CancelledOrderSerializerTests.cs
  - CancelRequestSerializerTests.cs
  - DecrementQuantitySerializerTests.cs
  - FillSerializerTests.cs
  - GlobalUsing.cs
  - GoodTillDateOrdersTests.cs
  - MatchingEngineBookOrCancelOrderTests.cs
  - MatchingEngineCommonTests.cs
  - MatchingEngineFillOrKillOrderTests.cs
  - MatchingEngineGoodTillDateFillOrKillOrderTests.cs
  - MatchingEngineGoodTillDateOrderTests.cs
  - MatchingEngineIcebergFillOrKillOrderTests.cs
  - MatchingEngineIcebergOrderTests.cs
  - MatchingEngineImmediateOrCancelGoodTillDateOrderTests.cs
  - MatchingEngineImmediateOrCancelIcebergOrderTests.cs
  - MatchingEngineImmediateOrCancelOrderTests.cs
  - MatchingEngineLimitGoodTillDateBookOrCancelOrderTests.cs
  - MatchingEngineLimitIcebergBookOrCancelOrderTests.cs
  - MatchingEngineLimitIcebergGoodTillDateOrderTests.cs
  - MatchingEngineLimitOrderTests.cs
  - MatchingEngineMarketBookOrCancelOrderTests.cs
  - MatchingEngineMarketFillOrKillOrderTests.cs
  - MatchingEngineMarketGoodTillDateOrderTests.cs
  - MatchingEngineMarketIcebergOrderTests.cs
  - MatchingEngineMarketImmediateOrCancelOrderTests.cs
  - MatchingEngineMarketOrderTests.cs
  - MatchingEngineOrderAmountBookOrCancelOrderTests.cs
  - MatchingEngineOrderAmountFillOrKillOrderTests.cs
  - MatchingEngineOrderAmountGoodTillDateOrderTests.cs
  - MatchingEngineOrderAmountIcebergOrderTests.cs
  - MatchingEngineOrderAmountImmediateOrCancelOrderTests.cs
  - MatchingEngineOrderAmountTests.cs
  - MatchingEngineResultSerializerTests.cs
  - MatchingEngineSelfMatchIcebergOrderTests.cs
  - MatchingEngineSelfMatchTests.cs
  - MatchingEngineStopBookOrCancelOrderTests.cs
  - MatchingEngineStopFillOrKillOrderTests.cs
  - MatchingEngineStopImmediateOrCancelOrderTests.cs
  - MatchingEngineStopLimitGoodTillDateOrderTests.cs
  - MatchingEngineStopLimitIcebergOrderTests.cs
  - MatchingEngineStopLimitOrderTests.cs
  - MatchingEngineStopMarketGoodTillDateOrderTests.cs
  - MatchingEngineStopMarketIcebergOrderTests.cs
  - MatchingEngineStopMarketOrderAmountTests.cs
  - MatchingEngineStopMarketOrderTests.cs
  - OrderAcceptSerializerTests.cs
  - OrderIdTrackerTests.cs
  - OrderMatcher.Tests.csproj
  - OrderSequenceComparerTests.cs
  - OrderSerializerTests.cs
  - OrderTests.cs
  - PriceComparerAscendingTests.cs
  - PriceComparerDescendingTests.cs
  - PriceLevelTests.cs
  - PriceTests.cs
  - QuantityTests.cs
  - QuantityTrackingPriceLevelTests.cs
  - SelfMatchSerializerTests.cs
  - SerializerTests.cs
  - TriggerSerializerTests.cs
  - UserIdTests.cs
- - Amount.cs
  - BookDepth.cs
  - BookRequest.cs
  - CancelledOrder.cs
  - CancelReason.cs
  - CancelRequest.cs
  - Constant.cs
  - DecrementQuantity.cs
  - Fill.cs
  - GlobalUsing.cs
  - MatchingEngineResult.cs
  - Message.cs
  - MessageType.cs
  - Order.cs
  - OrderAccept.cs
  - OrderCondition.cs
  - OrderId.cs
  - OrderMatcher.Types.csproj
  - OrderMatcherException.cs
  - OrderMatchingResult.cs
  - OrderTrigger.cs
  - Price.cs
  - Quantity.cs
  - SelfMatch.cs
  - SelfMatchAction.cs
  - UserId.cs
- OrderMatcher.sln
.gitignore
CODE_OF_CONDUCT.md
LICENSE
README.md

// repository documentation

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# order-matcher

![](https://github.com/ArjunVachhani/order-matcher/workflows/.NET%20Core/badge.svg?branch=master)

order-matcher is a simple and fast library to build crypto-currency exchange, stock exchange or commodity exchange. order-matcher matches buy and sell orders using price-time priority algorithm. order-matcher supports multiple order types and able to excecute upto 1 million messages per seconds.

- Support multiple order types
	 - Limit 
	 - Market  
	 - Stop Loss
  	 - Stop Limit
  - Supports multiple options on order
	 - Book or Cancel
	 - Immediate or Cancel(IOC) 
	 - Fill or kill(FOK)
	 - Iceberg
	 - Good till Date(GTD) 
  	 - Self Trade Prevention 	
       
**1 Million orders per seconds on AWS c6a.xlarge instance**

**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**

## Documentation
[home](https://github.com/ArjunVachhani/order-matcher/wiki)

[1. Terminology](https://github.com/ArjunVachhani/order-matcher/wiki/1.-Terminology)

[2. Order](https://github.com/ArjunVachhani/order-matcher/wiki/2.-Order)

[3. Frequently Asked Questions(FAQ)](https://github.com/ArjunVachhani/order-matcher/wiki/FAQ----Frequently-Asked-Questions)

## Project Development Status : Actively maintained.

## Community
Questions and pull requests are welcomed.

## Are you building spot crypto exchange?
Chat with me on telegram at [https://t.me/Arjun_Vachhani](https://t.me/Arjun_Vachhani), I may be able to help you.

## Code
```csharp

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, UserId userId)
    {
        Console.WriteLine($"Order Accepted.... orderId : {orderId}");
    }

public void OnCancel(OrderId orderId, UserId userId, Quantity remainingQuantity, Amount cost, Amount fee, CancelReason cancelReason)
    {
        Console.WriteLine($"Order Cancelled.... orderId : {orderId}, remainingQuantity : {remainingQuantity}, cancelReason : {cancelReason}");
    }

public void OnOrderTriggered(OrderId orderId, UserId userId)
    {
        Console.WriteLine($"Stop Order Triggered.... orderId : {orderId}");
    }

public void OnTrade(OrderId incomingOrderId, OrderId restingOrderId, UserId incomingUserId, UserId restingUserId, bool incomingOrderSide, Price matchPrice, Quantity matchQuantiy, Quantity? askRemainingQuantity, Amount? askFee, Amount? bidCost, Amount? 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
        };
    }
}
```

order-matcher

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