This package contains various implementations of a limit order book for benchmarking and educational purposes.
The implementations are in Python for ease of prototyping, it would
generally be advised that "production" implementations are in a different
language.
A limit order book is a mechanism that trading venues use to record the interest and match buyers and sellers in a financial instrument in order to facilitate trade. See Gould et. al. (2013) for a comprehensive overview.
- Gould, M. D., Porter, M. A., Williams, S., McDonald, M., Fenn, D. J., & Howison, S. D. (2013). Limit order books. Quantitative Finance, 13(11), 1709-1742.
- How to build a fast limit order book
- What is an efficient data structure to model order book?
- AVL Tree
- Quant Cup 1's winning order book implementation by Voyager