Rust Orderbook

Project Description

rust-orderbook is a another one of my projects to help further of multiple concepts, including rust and implementing and order book. This project aims to provide myself a good foundation for building trading systems, financial simulations, or cryptocurrency exchanges.

Key Features

• Efficient limit order book implementation using a sparse vector data structure
• Support for multiple order types: Market, Limit, IOC (Immediate or Cancel), and FOK (Fill or Kill)
• Fast order matching algorithm with price-time priority
• Separate bid and ask books for optimized performance
• Quick order lookup and cancellation
• Depth view of the order book
• Best price and liquidity information
• Terminal User Interface (TUI) for interactive order placement and book visualization (limited functionality)
• Matching engine supporting multiple trading pairs

Project Structure

The project is organized into several modules:

• orderbook: Contains the core order book implementation
  • price_levels.rs: Implements the SparseVec data structure for efficient price level management
  • orders.rs: Defines order types, requests, and results
  • book.rs: Implements the main OrderBook and HalfBook structures
• engine.rs: Implements the MatchingEngine for managing multiple order books
• errors.rs: Defines custom error types for the project
• notifications.rs: Implements a notification system for order book events (in progress)
• tui.rs: Provides a Terminal User Interface for interacting with the order book
• main.rs: Entry point for the binary crate
• lib.rs: Exposes the library interface

Getting Started

To run the project:

1. Clone the repository
2. Navigate to the project directory
3. Run cargo run to start the TUI application

For development:

• Use just quick_dev to run the quick development example with auto-reloading

TODO List

• Implement OrderBook
• Implement a TUI to visually display and interact with the order book
• Tests for the order book functionality
• Add support for IOC and FOK order types
• Implement a matching engine for multiple trading pairs
• Add concurrency support for parallel order processing
• Implement persistence for order book state
• Expand the event system to emit notifications for significant events
• Implement time-based orders with a mechanism to expire old orders
• Create a market data feed
• Add a configuration system to allow easy adjustment of parameters
• Profile the code and optimize critical paths

License

This project is licensed under the MIT License - see the LICENSE file for details.