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LightMatchingEngine

A light matching engine written in Python.

The engine is a trivial object to support

  • Add order - Returns the order and filled trades
  • Cancel order - Returns the original order

The objective is to provide a easy interface for users on the standard price-time priority matching algorithm among different instruments.

Installation

The package can be installed by:

pip install lightmatchingengine

Usage

Create a matching engine instance.

from lightmatchingengine.lightmatchingengine import LightMatchingEngine, Side

lme = LightMatchingEngine()

Place an order.

order, trades = lme.add_order("EUR/USD", 1.10, 1000, Side.BUY)

Cancel an order.

del_order = lme.cancel_order(order.order_id, order.instmt)

Fill an order.

buy_order, trades = lme.add_order("EUR/USD", 1.10, 1000, Side.BUY)
print("Number of trades = %d" % len(trades))                # Number of trades = 0
print("Buy order quantity = %d" % buy_order.qty)            # Buy order quantity = 1000
print("Buy order filled = %d" % buy_order.cum_qty)          # Buy order filled = 0
print("Buy order leaves = %d" % buy_order.leaves_qty)       # Buy order leaves = 1000

sell_order, trades = lme.add_order("EUR/USD", 1.10, 1000, Side.SELL)
print("Number of trades = %d" % len(trades))                # Number of trades = 2
print("Buy order quantity = %d" % buy_order.qty)            # Buy order quantity = 1000
print("Buy order filled = %d" % buy_order.cum_qty)          # Buy order filled = 1000
print("Buy order leaves = %d" % buy_order.leaves_qty)       # Buy order leaves = 0
print("Trade price = %.2f" % trades[0].trade_price)         # Trade price = 1.10
print("Trade quantity = %d" % trades[0].trade_qty)          # Trade quantity = 1000
print("Trade side = %d" % trades[0].trade_side)             # Trade side = 2

Failing to delete an order returns a None value.

del_order = lme.cancel_order(9999, order.instmt)
print("Is order deleted = %d" % (del_order is not None))    # Is order deleted = 0

Supported version

Python 2.x and 3.x are both supported.

Order

The order object contains the following information:

  • Exchange order ID (order_id)
  • Instrument name (instmt)
  • Price (price)
  • Quantity (qty)
  • Side (Buy/Sell) (side)
  • Cumulated filled quantity (cum_qty)
  • Leaves quantity (leaves_qty)

Trade

The trade object contains the following information:

  • Trade ID (trade_id)
  • Instrument name (instmt)
  • Exchange order ID (order_id)
  • Trade price (trade_price)
  • Trade quantity (trade_qty)
  • Trade side (trade_side)

Performance

To run the performance test, run the commands

pip install lightmatchingengine[performance]
python tests/performance/performance_test.py --freq 20

It returns the latency in nanosecond like below

add cancel add (trade > 0) add (trade > 2.0)
count 100 61 27 6
mean 107.954 50.3532 164.412 205.437
std 58.1438 16.3396 36.412 24.176
min 17.1661 11.4441 74.1482 183.105
25% 81.3007 51.9753 141.382 188.47
50% 92.5064 58.4126 152.349 200.748
75% 140.19 59.3662 190.496 211.239
max 445.604 71.0487 248.909 248.909

Contact

For any inquiries, please feel free to contact me by gavincyi at gmail dot com.