This is a simple order-matching trading engine built in the Rust programming language. The engine supports the creation of multiple markets (trading pairs) and allows for the placement of buy and sell orders.
The trading engine consists of the following main components:
- OrderBook: Contains all the buy (Bid) and sell (Ask) orders in a market. Orders are divided into 'Bid' and 'Ask' orders, and are stored in separate
HashMapcollections, each associated with a specific price level. - Order: Represents a buy (Bid) or sell (Ask) order with a specific size (amount).
- Limit: Groups all orders at a particular price level. Includes functions to fill orders and compute the total volume of orders at that limit level.
- MatchingEngine: The core engine that executes trading operations. It maintains a collection of
OrderBooks, one for each trading pair. Supports functions like adding a new market (a new trading pair), and placing limit orders. - TradingPair: Represents a pair of currencies that can be traded. The 'base' is the currency being bought or sold, and the 'quote' is the currency used as a reference for price.
The engine operates by constantly checking for matchable orders (i.e., a sell order and a buy order at the same price). When a match is found, the orders are "filled" and removed from the OrderBook. The engine uses Limit Orders to ensure trades are only executed at the limit price or better.
To run the trading engine, clone the repository and use Rust's cargo run command:
$ git clone https://github.com/omerhalid/rust-trading-engine.git
$ cd rust-trading-engine
$ cargo run