OrderBook Simulator with Limit and Iceberg functionality
OrderBook Simulator with Limit and Iceberg functionality
Proof of concept of a Limit Order Book (LOB) where the bid and ask order books are implemented as separate trees. Inspired by the [Limit Book] blog post by Selph where limit levels are stored as nodes inside the trees and each node is a doubly-linked list of orders, sorted chronologically.
orderbook/src/
test/
python setup.py install
runner.py < data/ordersSimple.dat
python -m unittest test.testPriceTree
python -m unittest discover