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A fast limit order book implementation in Go, inspired by voyager's winning 2011 QuantCup entry. (Also see kmanley/orderbook, the Python version).

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A fast limit order book implementation in Go.

Inspired by voyager's winning entry in the 2011 quantcup.org competition

go test -bench=BenchmarkOrderBook
PASS
BenchmarkOrderBook	0 trade executions
63 trade executions
7426 trade executions
741709 trade executions
3704291 trade executions
5000000	       639 ns/op

Find the Python version here: https://github.com/kmanley/orderbook

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A fast limit order book implementation in Go, inspired by voyager's winning 2011 QuantCup entry. (Also see kmanley/orderbook, the Python version).

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