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liquibook

Open source limit order book matching engine from OCI

Features

  • Low-level components for order matching and aggregate depth tracking
  • Memory-efficiency: minimal copying of data to internal structures
  • Speed: between 2.0 million and 2.5 million inserts per second. See full performance history.

Flexibility

  • Optional aggregate depth tracking to any number of levels (static) or BBO only
  • Works with smart or regular pointers

Works with Your Design

  • Preserves your order model, requiring only trivial interface
  • Preserves your identifiers for securities, accounts, exchanges, orders, fills
  • Use your threading system (or be single-threaded)
  • Use your synchronization method

Minimal Example

  // Create type-specific order book
  book::OrderBook<MyOrder*> order_book;

  // Attach desired event handler(s)
  order_book.set_order_listener(&listener);

  // Create order - my Order class, not Liquibook's!
  MyOrder* order = new MyOrder();

  // Add the order to the order book
  order_book.add(order);

  // Trigger event handlers
  order_book.perform_callbacks();

Build Dependencies

  • MPC for cross-platform builds
  • Assertiv for unit testing
  • BOOST (optional) for shared pointer unit testing only

Submodule Note

Assertiv is included as a submodule. After cloning liquibook, you must:

> cd liquibook
> git submodule init
> git submodule update

Linux Build Notes

Make sure the $BOOST_ROOT and $MPC_ROOT environment variables are set, then open a shell

$ cd liquibook
$ . env.sh
$ mwc.pl -type make liquibook.mwc
$ make depend
$ make all

If you don't have readlink, set the $LIQUIBOOK_ROOT environment variable before running env.sh

Windows Build Notes

Make sure the %BOOST_ROOT% and %MPC_ROOT% environment variables are set, then open the Visual Studio Command Prompt of choice (this example is for Visual Studio 2010):

> cd liquibook
> winenv.bat
> mwc.pl -type vc10 liquibook.mwc

Then in the same window, start Visual Studio from the command line, opening liquibook.sln

> liquibook.sln

In some cases, you may need to provide the path to Visual Studio - This example is the Visual Studio 2010 Express Edition:

> "%VS100COMNTOOLS%\..\IDE\VCExpress.exe" liquibook.sln

NOTE: If using Visual Studio 2012, you will be asked to upgrade your project. This is because MPC does not yet support -type vc11.

See other build notes.