liquibook

Open source limit order book matching engine from OCI

Features

• Low-level components for order matching and aggregate depth tracking
• Memory-efficiency: minimal copying of data to internal structures
• Speed: between 1.2 million and 1.5 million inserts per second. See full performance history.

Flexibility

• Works with or without aggregate depth tracking
• Optional aggregate depth tracking to any number of levels (static) or BBO only
• Works with smart or regular pointers

Works with Your Design

• Preserves your order model, requiring only trivial interface
• Preserves your identifiers for securities, accounts, exchanges, orders, fills
• Use your threading system (or be single-threaded)
• Use your synchronization method

Build Dependencies

• MPC for cross-platform builds
• BOOST for unit testing only

Build Instructions

Linux

Make sure the $BOOST_ROOT environment variable is set, then open a shell

$ cd liquibook
$ . env.sh
$ mwc.pl -type make liquibook.mwc
$ make depend
$ make all

Windows

Make sure the %(BOOST_ROOT) environment variable is set, then open the Visual Studio Command Prompt of choice (this example is for Visual Studio 2010):

> cd \liquibook
> winenv.bat
> mwc.pl -type vc10 liquibook.mwc

Then in the same window, start Visual Studio from the command line, opening liquibook.sln (This example is the Visual Studio 2010 Express Edition):

> "%VS100COMNTOOLS%\..\IDE\VCExpress.exe" liquibook.sln

See other build notes.