This is an implementation of the limit order book with a price-time priority matching policy for reception of market data streams. There are APIs for C++, C, and Python.

Some small additions to be able to modify orders

• modify()
• get_quantity(order_id)
• get_price(order_id)
• get_side(order_id)
• expose reduce() to python

-- strcat32

Simply add include/*.hpp to your C++ project either by copying directly or using git submodules.

A C-level API is defined in include/lib_lob.hpp.

The preferred Python installation of limit-order-book is from pip:

pip install limit-order-book

You'll need to install the Visual-Studio 17.0 tools for Windows installation. The Visual Studio Community package provides these tools for free.

To run all the unit-test suites, run:

make test

To run the C++ unit-test suite, run:

scons test

To run the Python unit-test suite, run:

python -m unittest discover .

To run the C++ benchmark code, run:

scons benchmark