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.