Basic Order Book

A simple order matching engine implemented in Rust that simulates a financial trading system.

Overview

This project implements a basic order matching engine that processes buy and sell orders for financial instruments. It demonstrates core concepts of financial trading systems including:

• Order book management
• Price-time priority matching
• Bid-ask spread calculation
• Trade execution

Features

• Order Book: Maintains separate collections for buy and sell orders, sorted by price
• Price-Time Priority: Orders are matched based on best price first, then by time of arrival
• Partial Matching: Orders can be partially filled with the remainder staying in the book
• Random Order Generation: Simulates trading activity with randomly generated orders
• Real-time Display: Shows the current state of the order book after each transaction

Getting Started

Prerequisites

• Rust (latest stable version)
• Cargo (comes with Rust)

Installation

1. Clone the repository:

   git clone https://github.com/yourusername/basic-order-book.git
   cd basic-order-book
   

2. Build the project:

   cargo build
   

3. Run the simulation:

   cargo run
   

How It Works

The system consists of several key components:

1. Order: Represents a buy or sell request with a specific price and quantity
2. OrderBook: The central component that matches orders and maintains the state
3. Trade: Represents a completed transaction between a buy and sell order

When a new order is placed:

• For buy orders: The system tries to match with existing sell orders at the lowest available price
• For sell orders: The system tries to match with existing buy orders at the highest available price
• Any remaining quantity is added to the order book

Example Output

Simulating random trading for AAPL
=================================

Round 1
Placing Sell order: 20 shares of AAPL at $106
Order Book for AAPL
---------------------------
SELL ORDERS:
  106: 20 shares
---------------------------
BUY ORDERS:
---------------------------
Best ask: $106 (no bids)

Round 2
Placing Buy order: 8 shares of AAPL at $102
Order Book for AAPL
---------------------------
SELL ORDERS:
  106: 20 shares
---------------------------
BUY ORDERS:
  102: 8 shares
---------------------------
Current spread: $106 - $102 = $4