Incredibly fast matching engine for HFT written in Golang

• supports MARKET, LIMIT, STOP-LIMIT, OCO order types
• supports time-in-force (GTK, FOK, IOC) parameters for LIMIT orders
• does not use shopspring/decimal for higher performance
• uses lite decimal for price and quantity arguments
• well tested code

It is very important! Each SYMBOL is combination of BASE and QUOTE currencies. For example, BTC/USD where BTC is BASE currency, USD is QUOTE currency.

Each order MUST HAVE quantity parameter but pay attention: for MARKET BUY orders you have pass QUOTE quantity.

Examples for BTC/USD symbol:

• for MARKET SELL order 10 BTC, you have to pass quantity=10
• for MARKET BUY order 10 BTC, you have to pass maximum quantity of USD for attempt to buy 10 BTC

This may seem inconvenient, but it is a precautionary measure for double spending: when a user places a MARKET BUY in asynchronous way, you will be able to freeze the correct quantity on his balance.

go get github.com/gonevo/matchingo

Matchingo works with fpdecimal values, so feel free to use:

• matchingo.FromInt(number int)
• matchingo.FromFloat(number float64)

• matchingo.NewMarketOrder(orderID string, side Side, quantity fpdecimal.Decimal)
• matchingo.NewLimitOrder(orderID string, side Side, quantity, price fpdecimal.Decimal, tif TIF, oco string)
• matchingo.NewStopOrder(orderID string, side Side, quantity, price, stop fpdecimal.Decimal, oco string)

oco parameter is ID of another order from OCO orders set

• matchingo.Process(order *Order) (done *Done, err Error)

Process() returns Done instance which contains:

• Order: processed order
• Trades: slice of orders from the order book which are participants for this trade
  • OrderID: participant-order ID
  • Price: concrete trade price, string
  • Quantity: concrete trade quantity, string
  • Role: TAKER or MAKER, string
  • IsQuote: true for QUOTE quantity orders
• Canceled: slice of order IDs which was cancelled for this processing (IOC, OCO), can be empty
• Activated: slice of order IDs which was activated for this processing (STOP orders), can be empty
• Left: fpdecimal.Decimal value of left quantity for this processing, can be fpdecimal.Zero
• Processed: fpdecimal.Decimal value of processed quantity for this processing, can be fpdecimal.Zero
• Stored: boolean, true if order or its part was appended to stop book or order book

For example:

{
  "order": {
    "orderID": "order2",
    "role": "TAKER",
    "price": "10.00000",
    "isQuote": false,
    "quantity": "9.00000"
  },
  "trades": [
    {
      "orderID": "order2",
      "role": "TAKER",
      "price": "10.00000",
      "isQuote": false,
      "quantity": "9.00000"
    },
    {
      "orderID": "order1",
      "role": "MAKER",
      "price": "10.00000",
      "isQuote": false,
      "quantity": "9.00000"
    }
  ],
  "canceled": [],
  "activated": [],
  "left": "0",
  "processed": "9.00000",
  "stored": false
}

You can search your order at any time using ID

• matchingo.GetOrder(id string) *Order

it returns an instance of Order or nil if Order not found

You can cancel your order at any time

• matchingo.CancelOrder(id string) *Order

it returns an instance of Order if it was canceled or nil if Order not found

You can see orderbook depth at any time

• matchingo.Depth() map[string]string
• matchingo.DepthJSON() string

For example:

{
   "ask": {
      "21.00000": "20.00000",
      "22.00000": "10.00000",
      "23.00000": "20.00000"
   },
   "bid": {
      "10.00000": "20.00000",
      "11.00000": "10.00000",
      "12.00000": "20.00000"
   }
}

where key is a price, value is a volume

package main

import (
	"fmt"

	"github.com/gonevo/matchingo"
)

func main() {
	orderBook := matchingo.NewOrderBook()
	matchingo.SetDecimalFraction(5) // default is 3

	done1, _ := orderBook.Process(matchingo.NewLimitOrder("order1", matchingo.Sell, matchingo.FromInt(10), matchingo.FromInt(10), "", ""))
	fmt.Println(done1)
	fmt.Println(orderBook)

	done2, _ := orderBook.Process(matchingo.NewLimitOrder("order2", matchingo.Buy, matchingo.FromInt(5), matchingo.FromInt(10), "", ""))
	fmt.Println(done2)
	fmt.Println(orderBook)

	done3, _ := orderBook.Process(matchingo.NewMarketOrder("order3", matchingo.Buy, matchingo.FromFloat(5)))
	fmt.Println(done3)
	fmt.Println(orderBook)
}

goos: linux
goarch: amd64
cpu: Intel(R) Core(TM) i7-8565U CPU @ 1.80GHz
BenchmarkLimitOrders-8 

Transactions per second (avg): 1139342.359570
 1000000              1755 ns/op            1011 B/op         14 allocs/op

matchingo is open-sourced software licensed under the MIT license.

Vano Devium

Made with ❤️ in Ukraine