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.
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 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:
To run the C++ unit-test suite, run:
To run the Python unit-test suite, run:
python -m unittest discover .
To run the C++ benchmark code, run: