gavincyi / lightmatchingengine Goto Github PK

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?

Either remove the side or validate the side

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

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 !

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:

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

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