obcore 0.1.1

A single threaded, zero dependency price-time priority limit orderbook implementation in Rust.
Documentation

obcore

A single threaded, zero dependency price-time priority orderbook implementation in Rust.

design

The orderbook separates state evaluation from state mutation:

  • eval: evaluates operations against current state, returns matches and instructions without modifying the book
  • apply: takes instructions from eval and commits them to the book

benchmark

Operation Benchmark Eval Apply Total*
Insert Empty book 22.0 ns 95.5 ns 117.5 ns (8.5 M/s)
Insert Depth 100 28.2 ns 82.6 ns 110.8 ns (9.0 M/s)
Insert Depth 1000 37.1 ns 57.6 ns 94.7 ns (10.6 M/s)
Cancel Single 23.2 ns 37.0 ns 60.2 ns (16.6 M/s)
Cancel Depth 100 24.5 ns 52.2 ns 76.7 ns (13.0 M/s)
Cancel Depth 1000 35.3 ns 63.0 ns 98.3 ns (10.2 M/s)
Match 1 level 184.4 ns 55.1 ns 239.5 ns (4.2 M/s)
Match 5 levels 138.8 ns 145.0 ns 283.8 ns (3.5 M/s)
Match 10 levels 274.5 ns 274.5 ns 549.0 ns (1.8 M/s)

Total = Eval + Apply. Measured on Apple Silicon M4 Max.

usage

Implement the OrderInterface trait for your order type:

use obcore::{OrderInterface, OrderBook, Op};

#[derive(Clone, Debug, PartialEq, Eq)]
struct MyOrder {
    id: u64,
    is_buy: bool,
    price: u64,
    quantity: u64,
    remaining: u64,
}

impl OrderInterface for MyOrder {
    type T = u64;  // Order ID type
    type N = u64;  // Quantity type

    fn id(&self) -> &u64 { &self.id }
    fn price(&self) -> u64 { self.price }
    fn is_buy(&self) -> bool { self.is_buy }
    fn quantity(&self) -> u64 { self.quantity }
    fn remaining(&self) -> u64 { self.remaining }
    fn fill(&mut self, quantity: u64) { self.remaining -= quantity; }
}

// Create orderbook and process orders
let mut ob = OrderBook::<MyOrder>::default();

// Evaluate result on insertion
let (matches, instructions) = ob.eval(vec![Op::Insert(order)]);

// Apply state changes
ob.apply(instructions);

license

Apache-2.0 or MIT