A simple market simulator project with the following features
- Accept an order
- Accept orders from a file
- match an order using FIFO matcher or Pro-rata matcher (https://corporatefinanceinstitute.com/resources/career-map/sell-side/capital-markets/matching-orders/)
Module matching_engine is the back end engine that has all the matching functionalities with a CLI.
The matching engine exposes the API required to create an order book and to match the order book to produce executions or Fills. A typical use case will be to create the order book fro a file containing orders, one order per line as given below and then use the matching engine to run the matching algorithm as so. Please refer to the CLI section for the order format.
The api is published at https://crates.io/crates/matching_engine
The codebase also contains a CLI interface which can be executed as follows
execute cargo run -- -h or
matching_engine -h for complete usage help
Examples:
For the order file below
id1 IBM 300 602.5 Buy id2 IBM 300 602.5 Sell id3 IBM 100 602.5 Buy id4 IBM 100 602.5 Sell id5 IBM 300 602 Buy id6 IBM 300 601.9 Buy id4 IBM 100 602.1 Sell
executing cargo run -- prorata_test_data/orders.txt will produce the following output
if we executed the command using ProrataMatcher as such
executing cargo run -- prorata_test_data/orders.txt PRO will produce the following output