cdrn / limit-orderbook-sim Goto Github PK

This is a typescript implementation of a fast limit orderbook exchange primarily in memory. It's inspired by this venerable post which is a great resource for understanding the data structures required to complete standard limit order operations in O(1) time.

It's hard to find a way to disregard speed and safety in one language. This is a good example of how to do it.

As the post explains, there are a couple of operations required for a limit orderbook:

Add – O(log M) for the first order at a limit, O(1) for all others Cancel – O(1) Execute – O(1) GetVolumeAtLimit – O(1) GetBestBid/Offer – O(1)

Let's go through them one by one:

Traverse the buy tree/sell tree (binary search) to find the correct place to insert the order. The closer the order is to the buy/ask, the more shallow the traversal will be. Alternatively, traverse from the lowestSell or highest buy. Worst case: O(n). Insert a new tail order encapsulated by said limit. O(1).

Lookup order ID in keyed map. Pop order from parentLimit.

Whenever the limits lowestBuy and highestSell match, execute. Pop orders off the linked list. O(1).

Find the limit by traversing the buy tree/sell tree. O(n).

O(1), stored at the top level.

Pending benchmarks