Skip to content

Various implementations of a limit order book for benchmarking.

License

Notifications You must be signed in to change notification settings

blaahhrrgg/limit-order-book

Folders and files

NameName
Last commit message
Last commit date

Latest commit

 

History

4 Commits
 
 
 
 
 
 
 
 
 
 
 
 

Repository files navigation

limit-order-book

This package contains various implementations of a limit order book for benchmarking and educational purposes.

The implementations are in Python for ease of prototyping, it would generally be advised that "production" implementations are in a different language.

A limit order book is a mechanism that trading venues use to record the interest and match buyers and sellers in a financial instrument in order to facilitate trade. See Gould et. al. (2013) for a comprehensive overview.

References