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A very light matching engine in Python.

License: MIT License

Python 95.11% Makefile 4.89%

orderbook trading matching-engine order hft-trading

lightmatchingengine's Introduction

LightMatchingEngine

A light matching engine written in Python.

The engine is a trivial object to support

Add order - Returns the order and filled trades
Cancel order - Returns the original order

The objective is to provide a easy interface for users on the standard price-time priority matching algorithm among different instruments.

Installation

The package can be installed by:

pip install lightmatchingengine

Usage

Create a matching engine instance.

from lightmatchingengine.lightmatchingengine import LightMatchingEngine, Side

lme = LightMatchingEngine()

Place an order.

order, trades = lme.add_order("EUR/USD", 1.10, 1000, Side.BUY)

Cancel an order.

del_order = lme.cancel_order(order.order_id, order.instmt)

Fill an order.

buy_order, trades = lme.add_order("EUR/USD", 1.10, 1000, Side.BUY)
print("Number of trades = %d" % len(trades))                # Number of trades = 0
print("Buy order quantity = %d" % buy_order.qty)            # Buy order quantity = 1000
print("Buy order filled = %d" % buy_order.cum_qty)          # Buy order filled = 0
print("Buy order leaves = %d" % buy_order.leaves_qty)       # Buy order leaves = 1000

sell_order, trades = lme.add_order("EUR/USD", 1.10, 1000, Side.SELL)
print("Number of trades = %d" % len(trades))                # Number of trades = 2
print("Buy order quantity = %d" % buy_order.qty)            # Buy order quantity = 1000
print("Buy order filled = %d" % buy_order.cum_qty)          # Buy order filled = 1000
print("Buy order leaves = %d" % buy_order.leaves_qty)       # Buy order leaves = 0
print("Trade price = %.2f" % trades[0].trade_price)         # Trade price = 1.10
print("Trade quantity = %d" % trades[0].trade_qty)          # Trade quantity = 1000
print("Trade side = %d" % trades[0].trade_side)             # Trade side = 2

Failing to delete an order returns a None value.

del_order = lme.cancel_order(9999, order.instmt)
print("Is order deleted = %d" % (del_order is not None))    # Is order deleted = 0

Supported version

Python 2.x and 3.x are both supported.

Order

The order object contains the following information:

Exchange order ID (order_id)
Instrument name (instmt)
Price (price)
Quantity (qty)
Side (Buy/Sell) (side)
Cumulated filled quantity (cum_qty)
Leaves quantity (leaves_qty)

Trade

The trade object contains the following information:

Trade ID (trade_id)
Instrument name (instmt)
Exchange order ID (order_id)
Trade price (trade_price)
Trade quantity (trade_qty)
Trade side (trade_side)

Performance

To run the performance test, run the commands

pip install lightmatchingengine[performance]
python tests/performance/performance_test.py --freq 20

It returns the latency in nanosecond like below

	add	cancel	add (trade > 0)	add (trade > 2.0)
count	100	61	27	6
mean	107.954	50.3532	164.412	205.437
std	58.1438	16.3396	36.412	24.176
min	17.1661	11.4441	74.1482	183.105
25%	81.3007	51.9753	141.382	188.47
50%	92.5064	58.4126	152.349	200.748
75%	140.19	59.3662	190.496	211.239
max	445.604	71.0487	248.909	248.909

Contact

For any inquiries, please feel free to contact me by gavincyi at gmail dot com.

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lightmatchingengine's Issues

No possibility of viewing the state of the book + doesn't seem to consume orders

See attached code. I wrote some simple code that displays the prices and quantities currently available on the book. When I submit a new order that should consume the other side (I buy 500 at the price of the ask), it doesn't seem to do so, although the resulting trade execution is properly recorded. That is, when I view the book after that, I still have 1500 offered on the ask, even though in theory I should have only 1000 left.

testBook.TXT

Assigning price to the trade

Support more order types

Hi,
I've been using the project and have found it to be a valuable tool for learning & even real projects. However, I noticed that the current version does not support most order types such as:

Stop-Limit Order
Stop Market order
Trailing Stop Order
Post Only Order
Limit TP/SL Order (Strategy Order)

I believe that incorporating these order types would significantly increase the usefulness of the project.
Are there any plans to add these features?

Any material on simulating the order matching

Hi, thanks for sharing this cool Repo, I found it quite useful in practice.

I would like to ask that whether there is any good material on introducing the order matching algorithms publicly available? I find details lying behind a matching engine quite complex, and I want to have a better understanding on order matching to facilitate my research.

Looking forward to your reply, thanks !

Bid orders with leaves_qty < 1e-09 not removed from book, results in unexpected behavior

In some unexpected cases LightMatchingEngine gives the following error:

"Match quantity must be larger than zero"

The problem occurs sometimes due to float arithmetic with small quantities.
Because of this the leaves_qty of an order can become smaller than the 1e-9 threshold.
As the checking code in lightmatchingengine.pyx is different for bids than for asks, trying to clear the order with a leaves_qty < 1e-9 is impossible.

To fix this, the leaves_qty and match_qty bid side code in lightmatchingengine.pyx should be made consistent with the ask side code.

110    assert match_qty > 0, "Match quantity must be larger than zero"

Should become

110    assert match_qty >= 1e-9, "Match quantity must be larger than zero"

And

144    if order.leaves_qty > 0.0:

Should become

144    if order.leaves_qty >= 1e-9:

Cancellation does not validate the side

Either remove the side or validate the side

how to settle accounts for buyers and sellers after matchmaking

Why is there no user ID, how to settle accounts for buyers and sellers after matchmaking?

[Question] How to persist the Orderbook state between the API requests?

Totally new to Python, but having read the code I've got the impression it's just the simple matching engine which can be run by long-running process which keeps the order book in-memory and reads the orders from the queue. Is there any way to persist its state in-memory between subsequent API requests? Thanks