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Trading Engine Model

This is a simple toy trading engine. Orders stream in on STDIN and fulfilled trades stream out on STDOUT. The engine supports arbitrary commodities.

Note: Times are always in ISO-8601 UTC (eg "2013-12-01T03:15:13Z")

Order Format

Orders are tab-delimted lines consisting of the following fields:

  1. Order time.
  2. Order Type. Currently supported orders are BUY and SELL
  3. Symbol. A string consisting of any characters except newline and tab.
  4. Price. A string matching the following regex: \d+\.\d+
  5. Quantity. A string matching the regex \d+

Result Format

Results are tab-delimited lines consisting of the following fields:

  1. Commodity
  2. Price
  3. Buy order time
  4. Sell order time

Data Structure

  • hash of order books, one per commodity
  • order book is a pair of rb tree maps, one for buy and one for sell

Algorithm

  1. Parse order
  2. Insert order into appropriate order book
  3. Check order book for a match at the top
  4. If there is a match, remove top orders from both buy and sell and print trade

License

MIT

About

A toy trading engine that only supports BUY and SELL limit orders

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