Octomatch

Octomatch is minimal implementation of an order matching engine with support for Market and Limit order types. Matching is based on price-time priority.

The current implementation is single threaded and has no server or cli for issuing commands. A future iteration of this project will implement a web server alongside a REST API for clients to interact with.

Features

• Matching limit and market orders
• Event dispatching via log streams
• Support for multiple order books
• Best price matching based on price time priority

How to use

You can run the example provided in the bin/main.rs file. Feel free to tweak as you like

Initializing the engine

    // You can load as many books as you want. This example loads two books
    let mut engine = Engine::new(EngineConfig::build(vec![
        TradingPair::from(Asset::BTC, Asset::USDC),
        TradingPair::from(Asset::BTC, Asset::USDT),
    ]));

Dispatching requests

Place an order

    engine.dispatch(
        PlaceOrder::from(
                dec!(20.00),
                10,
                OrderSide::Bid,
                OrderType::Limit,
                TradingPair::from(Asset::BTC, Asset::USDC)
        )
    )

Cancel an order

    engine.dispatch(
        CancelOrder::from(
            Uuid::new_v4(), 
            TradingPair::from(Asset::BTC, Asset::USDC)
        )
    )

Order types

pub enum OrderType {
    Market,
    Limit,
    Stop,
}

If you prefer to view the documentation locally, simple run cargo doc --open in the root of the project in your terminal

Future additions

• Add multi-threaded support
• Implement a pro-rata matching algorithm
• Mount a HTTP server and expose a Rest api for issuing orders
• Web sockets for listening to events
• Make into a docker image
• Save periodic snapshots of the state of the order book to disk