Trade Executor

This is a simple project for order maching engine.

Architecture

• Exchange API

  Implemented the simple Binance websocket api and mock api.

• Order Executor

  For every order book update, it is trying to match orders from the pool.

• Internal API

  It provides gRPC API and common CLIs.

CLIs

# serve the main service including gRPC server
trade-executor serve --cfg <config file path> 

# get the last order book for the specific symbol
trade-executor price --symbol <symbol name>

# apply order through the CLI
trade-executor order apply --symbol <symbol name> --type <order dir> --amount <order amount> --price <order price>

# get the executed resutl
trade-executor order result --id <order id>

Further

• Currently, the matching engine is processed when getting a new order book. It can be a bottleneck when getting massive orders. We can build it as an independent process separating from the order book stream.

• It supports only Limit Order right now, we can update it to provide more order kinds like Market Order, Stop Loss, Take Profit, and so on.

• We can implement FIX api or stream api using websocket instead of gRPC api.