Multithreaded Limit Order Book Engine

A high-performance, multithreaded limit order book engine written in Python. This project simulates an exchange-style matching engine that supports concurrent order placement, cancellation, and modification, while maintaining a thread-safe internal state and market depth representation.

Example Visualization

Features

• Thread-safe design with concurrent order handling using threading and ThreadPoolExecutor
• FIFO-based limit order matching with bid/ask book structure
• Support for FillOrKill, FillAndKill, and GoodTillCancel order types
• Good-for-Day (GFD) order pruning based on market close (4:00 PM)
• Order modification and cancellation support
• Level 2 market data tracking: price levels and quantities

Technologies

• Python 3.10+
• threading, concurrent.futures
• dataclasses for order modeling
• logging for debug and runtime tracking
• Type hints for maintainability

Installation

git clone https://github.com/DForDespair/OrderBook.git
cd orderbook

Future Work

This project is still evolving. Here are some planned enhancements:

• Client-Server Architecture: Implement a socket-based or RESTful API server so that external clients can connect and place trades in real time.

• Order Book Visualization: Create a web-based or terminal-based dashboard to visualize the order book, price levels, and recent trades.

• Multi-Product Support: Extend the engine to support multiple trading products (e.g., BTC/USD, ETH/USD) with isolated order books.

• Extensive Testing: Build a full suite of unit, integration, and performance tests to ensure correctness and robustness under load.

• Data Persistence: Save and reload order and trade data using formats such as SQLite, CSV, or JSON for historical analysis and replay.

• Trade Replay and Streaming: Add functionality to stream trades live or replay historical sessions for testing or analysis.

• User Simulation: Implement multi-user environments with account-based order tracking and simulated trading competition.