Booklet

Monorepo of a super light order-book I built in <1 week as a hands-on tutorial of what makes up an orderbook.

The goals is to create the simplest PoC that provides a starting point for developing a scalable orderbook back-end.

What it can handle on your laptop

• ~500 req/sec
• up to 1GB live order-book size
• up to 100 clients per sec (mostly a max-file system constraint)
• Simple orderbook terminal visualizer

All the things it doesn't do:

• No connection to ETH and/or L2 JSON RPC
• No load balancer / Docker containers / middleware
• Nothing other than simple limit-orders

Components

Matching Engine: Python (majority of matching / sorting done via Redis) Orderbook: Redis Server: NodeJS Websocket Visualizer: Simple terminal script

Running Locally

Running bare-bones locally consists of three steps:

1. Redis Server: redis-server path-to/booklet/matching_engine/redis.conf, use redis-cli --stat to monitor
2. Engine: cd matching_engine -> source venv/bin/activate -> python3 server.py
3. Websocket Server: cd websocket -> node server.js
4. Booklet Visualizer: cd matching_engine -> source venv/bin/activate -> cd test -> python3 terminalBooklet.py
5. Mock Clients: load testing, simulations and latency mock clients can be found in websocket/test

Note: on MacOS there are many system controls preventing large number of socket connections from being open: https://k6.io/docs/misc/fine-tuning-os/ https://socket.io/docs/v4/performance-tuning/