order-matching 0.3.12
Order Book Matching Engine
Requires Python: >=3.10

# Order Book Matching Engine

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[![pre-commit](https://img.shields.io/badge/pre--commit-enabled-brightgreen?logo=pre-commit)](https://github.com/pre-commit/pre-commit)
[![Ruff](https://img.shields.io/endpoint?url=https://raw.githubusercontent.com/astral-sh/ruff/main/assets/badge/v2.json)](https://github.com/astral-sh/ruff)

## Overview

This package is a simple order book matching engine implementation in Python. Its main features are:

- price-time priority
- limit and market orders
- order cancellation and expiration
- conversion into pandas DataFrame of orders, executed trades, order book summary

## Install

```shell
pip install order-matching
```

## Documentation

[order-book-matching-engine.readthedocs.io](https://order-book-matching-engine.readthedocs.io/)

## Usage

```python
>>> from datetime import datetime, timedelta
>>> from pprint import pp
>>> import pandas as pd

>>> from order_matching.matching_engine import MatchingEngine
>>> from order_matching.order import LimitOrder
>>> from order_matching.side import Side
>>> from order_matching.orders import Orders

>>> matching_engine = MatchingEngine(seed=123)
>>> timestamp = datetime(2023, 1, 1)
>>> transaction_timestamp = timestamp + timedelta(days=1)
>>> buy_order = LimitOrder(side=Side.BUY, price=1.2, size=2.3, timestamp=timestamp, order_id="a", trader_id="x")
>>> sell_order = LimitOrder(side=Side.SELL, price=0.8, size=1.6, timestamp=timestamp, order_id="b", trader_id="y")
>>> executed_trades = matching_engine.match(orders=Orders([buy_order, sell_order]), timestamp=transaction_timestamp)

>>> pp(executed_trades.trades)
[Trade(side=SELL,
       price=1.2,
       size=1.6,
       incoming_order_id='b',
       book_order_id='a',
       execution=LIMIT,
       trade_id='c4da537c-1651-4dae-8486-7db30d67b366',
       timestamp=datetime.datetime(2023, 1, 2, 0, 0))]


```

## Related Projects

- [bmoscon/orderbook](https://github.com/bmoscon/orderbook)
- [Kautenja/limit-order-book](https://github.com/Kautenja/limit-order-book)

## Contribute

Create a virtual environment and activate it:

```shell
python -m venv venv
source venv/bin/activate
```

Install development dependencies:

```shell
pip install -e .[dev]
```

and use pre-commit to make sure that your code is formatted using [black](https://github.com/PyCQA/isort) and [isort](https://pycqa.github.io/isort/index.html) automatically:

```shell
pre-commit install
```

Run tests:

```shell
pip install -e .[test]
pytest
```

Run benchmark and see the result either in the terminal or as a plot in `benchmark_history.svg`:

```shell
./benchmark.sh
```

Build and serve documentation website:

```shell
pip install -e .[doc]
mkdocs serve
```