Crate bourse_book

source ·
Expand description

Simulated order book

Simulated order book designed for market simulations. Acts as matching engine, but also data structure tracking simulated orders and historical data.

§Examples

§Initialisation and Updating an Order Book

use bourse_book;
use bourse_book::{types, OrderBook};

let mut book: OrderBook = OrderBook::new(0, 1, true);

// Create a new order
let order_id = book.create_order(
    types::Side::Bid, 50, 101, Some(50)
).unwrap();

// Place the order on the market
book.place_order(order_id);

// Get the current touch prices
let (bid, ask) = book.bid_ask();

// Set the time of the orderbook
book.set_time(1000);

// Cancel the order
book.cancel_order(order_id);

OrderBook also implements functionality to modify orders and retrieve market data. See OrderBook for full details of the API.

§Order & Trade Histories

OrderBook tracks any orders created and any trades executed over the course of the order books existence. These can be retrieved using:

// Get references to all the orders created
let order_history: Vec<&Order> = book.get_orders();
// Get a reference to trade records
let trade_history: &Vec<Trade> = book.get_trades();

§Persisting State

OrderBook implements serde::Serialize and serde::Deserialize traits to allow the state of the order book to be persisted, this can be done manually, for example:

let state = serde_json::to_string(&book).unwrap();
let book = serde_json::from_str::<OrderBook>(state.as_str()).unwrap();

or the methods OrderBook::save_json and OrderBook::load_json can be used to save/load the OrderBook state to/from a JSON file:

book.save_json("foo.json", true);
let loaded_book: OrderBook = OrderBook::load_json("foo.json").unwrap();

§Notes

  • Orders are sorted by price-time priority. To reduce any ambiguity in ordering, the simulated time of the market should be updated in between placing orders on the market.
  • For accuracy prices are stored as unsigned integers (as opposed to a float type), hence prices from data should be scaled based on market tick-size
  • Simulated orders are intended to be owned by the order book, from which agents/users can retrieve order data. Creating an order with OrderBook::create_order initialises a new order entry, but does not immediately place the order on the market.

Modules§

  • types
    Type aliases and order data-structures

Structs§

  • OrderBook
    Order book with order and trade history

Enums§