High-Performance Orderbook in Rust

Overview

This repository contains a high-performance orderbook implementation written in Rust, capable of processing up to 1 000_000 orders per second (Macbook Air 2014 with 4go of memory 1600 Mhz DDR3, Intel HD Graphics 5000 1536 Mo). The orderbook is designed to efficiently handle a large number of buy and sell orders for a given financial instrument, ensuring low latency and high throughput.

Features

• High-speed processing: The orderbook can handle up to 1,000,000 orders per second.
• Limit order and Market Order available.
• Concurrency : wrap the orderbooks_manager around a RwLock to use it in concurency setup.
• Order Matching: Matches buy and sell orders based on price.
• Order Cancellation : Supports the cancellation of orders before they are matched.
• Order Update: Supports the update of orders before they are matched (amend quantity and price).
• Message Queue: Each state produce a message that you can listen an react to.
• Orderbook summary: Support orderbook summary generation for displaying an UI orderbook (Price levels)

the repo use ulid to generate IDs, please add it into your project if you intend to use this orderbook implementation

use orderbook::OrderbooksManager;
use orderbook::OrderType;
use orderbook::OrderSide;
use orderbook::Order;
use ulid::Ulid;

let mut orderbooks_manager = OrderbooksManager::new();
let symbol: u128 = Ulid::new().into();
orderbooks_manager.new_orderbook(symbol);

let order1 = Order::new(
    Ulid::new().into(),
    symbol,
    OrderSide::Buy,
    1.0,
    Some(1.0),
    OrderType::Limit,
);

let _ = orderbooks_manager.add_order(order1.clone());

```