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