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github.com/Kautenja/limit-order-book @2.0.0
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279 symbols
956 edges
72 files
94 documented · 34%
● updated 6y ago1.1.4 · 2020-02-21★ 3111 open issues
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README
Limit Order Book
This is an implementation of the limit order book with a price-time priority matching policy for reception of market data streams. There are APIs for C++, C, and Python.
Usage
C++
Simply add include/*.hpp to your C++ project either by copying directly or using git submodules.
C
A C-level API is defined in include/lib_lob.hpp.
Python
The preferred Python installation of limit-order-book is from pip:
pip install limit-order-book
Usage Caveats
Windows
You'll need to install the Visual-Studio 17.0 tools for Windows installation. The Visual Studio Community package provides these tools for free.
Development
Testing
To run all the unit-test suites, run:
make test
C++
To run the C++ unit-test suite, run:
scons test
Python
To run the Python unit-test suite, run:
python -m unittest discover .
Benchmarking
C++
To run the C++ benchmark code, run:
scons benchmark
Core symbols most depended-on inside this repo
limit
called by 242
include/limit_tree.hpp
volume
called by 194
include/limit_order_book.hpp
t
called by 108
docs/jquery.js
cancel
called by 93
include/limit_tree.hpp
best_buy
called by 65
include/limit_order_book.hpp
volume_at
called by 57
include/limit_tree.hpp
best_sell
called by 57
include/limit_order_book.hpp
count_at
called by 43
include/limit_tree.hpp
Shape
Languages
TypeScript50%
C++27%
Python20%
C3%
Modules by API surface
docs/jquery.js124 symbols
limit_order_book/test/test_limit_order_book.py30 symbols
include/limit_order_book.hpp29 symbols
include/lib_lob.hpp25 symbols
limit_order_book/limit_order_book.py22 symbols
notes/engines/engine.c9 symbols
include/limit_tree.hpp9 symbols
docs/search/search.js9 symbols
include/structures.hpp6 symbols
docs/dynsections.js5 symbols
benchmark/benchmark_lob.cpp5 symbols
limit_order_book/library.py3 symbols
For agents
$ claude mcp add limit-order-book \
-- python -m otcore.mcp_server <graph>