Awesome Open Source
Awesome Open Source

Build Status

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



Alternative Project Comparisons
Related Awesome Lists
Top Programming Languages

Get A Weekly Email With Trending Projects For These Topics
No Spam. Unsubscribe easily at any time.
Golang (172,072
Cryptography (11,432
Cryptocurrency (8,176
Trading (5,890
Orderbook (368
Hft (59