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danielktaylor / PyLimitBook

Python implementation of fast limit-order book.
MIT License
303 stars 69 forks source link

Order matching #2

Closed brdsio closed 8 years ago

brdsio commented 8 years ago

Hi Daniel, In your opinion, what is the best architecture to implement order matching? Thx

danielktaylor commented 8 years ago

Hi Flavio,

I haven't kept up much on the state of the art in exchange-side matching, there is a naive implementation in the backtester: https://github.com/danielktaylor/PyStrategies/tree/master/backtest/TradingFramework4j

I've watched some of the talks by these guys, and it might be useful for you:

https://lmax-exchange.github.io/disruptor/

brdsio commented 8 years ago

Thank you