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