CLOB-Matching-Engine

A reference implementation in Java of a central limit order book - matching engine that is low latency and low gc

Assumptions in this implementation of this CLOB-Matching Engine:

• Simple interactive command line interface to manually place orders and see execution reports
• Price time priority (order of arrival) order matching
• Each limit order book handles one specific instrument (ccypair)
• Tick value = $0.01
• For each instrument, its prices move within a minimum and maximum pre-configured values
• No auto adjust of min and max price
• Uncrossed orders are appended to the resting orders list of the respective price levels
• If an order is partially crossed, the order will be appended to the respective level with the unfilled quantity (FAS)

1. Build

   • cd matching-engine
   • mvn clean install package

2. Run the app against external properties file

   • cd matching-engine

   • java -DconfigFile=./external_config.properties -jar ./target/matching-engine-0.0.1-SNAPSHOT.jar

     InstrumentConfig{name='USDCAD', minPrice=2.8, maxPrice=3.1}
     InstrumentConfig{name='EURUSD', minPrice=1.7, maxPrice=2.1}
     InstrumentConfig{name='GBPEUR', minPrice=1.05, maxPrice=2.2}

     Place your order

     Input Command: AbcCapital OFFER 10 USDCAD @ $2.99
     Input Command: SuperInvestment BID 5 USDCAD @ $2.98
     Input Command: Display USDCAD
     5 $2.98 | $2.99 10
     Input Command: OneBank BID 10 USDCAD @ $2.97
     Input Command: TravelExchanger OFFER 7 USDCAD @ $2.97
     SuperInvestment bought 5 USDCAD from TravelExchanger @ $2.98
     OneBank bought 2 USDCAD from TravelExchanger @ $2.97
     Input Command: Display USDCAD
     8 $2.97 | $2.99 10
     Input Command: AbcCapital BID 1 GBPEUR @ $1.1
     Input Command: AbcCapital BID 2 GBPEUR @ $1.2
     Input Command: AbcCapital BID 2 GBPEUR @ $1.3
     Input Command: AbcCapital BID 5 GBPEUR @ $1.3
     Input Command: AbcCapital OFFER 2 GBPEUR @ $1.5
     Input Command: AbcCapital OFFER 17 GBPEUR @ $1.5
     Input Command: AbcCapital OFFER 16 GBPEUR @ $1.6
     Input Command: Display GBPEUR
     7 $1.30 | $1.50 19
     Input Command: OneBank OFFER 11 GBPEUR @ $1.15
     AbcCapital bought 2 GBPEUR from OneBank @ $1.30
     AbcCapital bought 5 GBPEUR from OneBank @ $1.30
     AbcCapital bought 2 GBPEUR from OneBank @ $1.20
     Input Command: Display GBPEUR
     1 $1.10 | $1.15 2
     Input Command: exit
     Shutting down