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Crypto-toolbox / HFT-Orderbook

Limit Order Book for high-frequency trading (HFT), as described by WK Selph, implemented in Python3 and C
MIT License
1.02k stars 258 forks source link

Is using lob.py enough? #18

Closed adacumos closed 6 years ago

adacumos commented 6 years ago

Thanks for your implementation on this one, I looking at integrating it on my python based trading algorithm and would like to ask if just by using lob.py will suffice to use your orderbook? Or do I have to compile C implementation keep it running on the background?

TIA

deepbrook commented 6 years ago

The C implementation is fully tested and working as expected - the python implementation, however, is not. I recommend using the C implementation.

adacumos commented 6 years ago

Have you got some samples in C on how to consume your orderbook implementation?

ghost commented 6 years ago

@cofibit I can help you offline. You have an email?

adacumos commented 6 years ago

@tcccapinfo cool e-mail me at arvindacumos@gmail.com thanks

wardbradt commented 6 years ago

@tcccapinfo I am also trying to understand how to use this.

If I have Limit *root as the root of the tree, and I want to add Order* order to the tree, how do I do so? I believe I have to use pushOrder(Limit *limit, Order *newOrder) but how do I get limit (the Limit where limitPrice == newOrder->limit)? Does it require an additional function to iterate through the tree and find limit? My email is wardbradt5@gmail.com if email is preferred.