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Golang implementation of a Limit Order Book (LOB) for high frequency trading in crypto exchanges

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alexey-ernest/go-hft-orderbook

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go-hft-orderbook

Golang implementation of a Limit Order Book (LOB) for high frequency trading in crypto exchanges. Inspired by this article.

Operations

  • Add – O(log M) for the first order at a limit, O(1) for all others
  • Cancel – O(1)
  • GetBestBid/Offer – O(1)
  • GetVolumeAtLimit – O(1)

Performance

  • Random generated insertion with limited number of price levels (10K levels) on average MacBook Pro: ~200ns/op or ~5M op/s

TODO

  • Object pool (Done)
  • Real data for benchmarks

Radicle URN

rad:git:hwd1yregaqj5mrp5dgc3gyuu6exszg84zr71su8j1f7t6oe9czxee1zzyzr

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Golang implementation of a Limit Order Book (LOB) for high frequency trading in crypto exchanges

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