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Assumptions

Some assumptions as below, based on common knowledge and ease of understanding

  • Order ID, Prices, Volume are integer values
  • Order can be Partially filled, with remaining amount reflected in the order book
  • Market order is IOC, will be rejected if no match found

Simple design

Limit Order Book uses sparse arrays to store the prices to take the advantage of prices for an instrument being usually close to each other There is one array for bids and other for asks just to maintain simplicity The interface that covers all the service methods MatchingEngine with below methods:

- void sendOrder(Order order)
- OrderBookSnapshot getOrderBook(String pair)
- List<Trade> getTradeHistory()
- Order getOrder(int id)

SimpleMatchingEngine provides the implementation for MatchingEngine

For each market instrument, a Thread is assigned and started to partition the executions of different instruments

  • BTCUSD -> Thread1(SmartOrderRouter1) -> LimitOrderBook1(BTCUSD)
  • ETHUSD -> Thread2(SmartOrderRouter2) -> LimitOrderBook2(ETHUSD)

SimpleMatchingEngine.sendOrder() dispatches the Order to SmartOrderRouter via a BlockingQueue which can potentially be replaced with a RingBuffer

SmartOrderRouter based on OrderType [MARKET|LIMIT] routes the order to LimitOrderBook for execution

OrderBookSnapshot provides the current snapshot of the order book with the all available levels

TradeBook maintains list of trades(Filled/Rejected)

OrderHistory maintains the historical Map of order-id -> order for all incoming orders

Test

SimpleMatchingEngineTest covers the tests scenarios