pymatch

A lightweight pure-python centralized exchange matching engine

Getting Started

Docker (preferred)

Start a matching engine instance in a Docker container named pymatch by running the following commands:

docker build -f tools/docker/Dockerfile . -t pymatch

Launch another terminal window and submit orders to the matching engine with the following command:

echo $'B,1234567890,32503,1234567890\nB,1138,31502,7500' | docker run -i pymatch

Observe trade and book messages as they occur...

Local Testing

First, you will need to install the conda package manager.

Next, create an isolated conda environment and then run the installation commands:

conda create --name pymatch python=3.7 --yes && conda activate pymatch
pip install pip==22.0.3 --upgrade

pip install -e .[tests]

Run the testcases:

pytest pymatch/tests/

See the pymatch/tests/lse/test_lse_orderbook.py::test_profile_orderbook testcase for submitting orders to the matching engine within python.

echo $'B,1234567890,32503,1234567890\nB,1138,31502,7500' | python -m pymatch.main

The output to stdout:

██████╗ ██╗   ██╗███╗   ███╗ █████╗ ████████╗ ██████╗██╗  ██╗
██╔══██╗╚██╗ ██╔╝████╗ ████║██╔══██╗╚══██╔══╝██╔════╝██║  ██║
██████╔╝ ╚████╔╝ ██╔████╔██║███████║   ██║   ██║     ███████║
██╔═══╝   ╚██╔╝  ██║╚██╔╝██║██╔══██║   ██║   ██║     ██╔══██║
██║        ██║   ██║ ╚═╝ ██║██║  ██║   ██║   ╚██████╗██║  ██║
╚═╝        ╚═╝   ╚═╝     ╚═╝╚═╝  ╚═╝   ╚═╝    ╚═════╝╚═╝  ╚═╝

[WARNING] - Printing orderbook output to stdout. This will severly degrade performance! Set the `ENABLE_PROFILING=1` flag to enable profiling...
[INFO] - Expecting input from stdin...
+-----------------------------------------------------------------+
| BUY                            | SELL                           |
| Id       | Volume      | Price | Price | Volume      | Id       |
+----------+-------------+-------+-------+-------------+----------+
|1234567890|1,234,567,890| 32,503|       |             |          |
|      1138|        7,500| 31,502|       |             |          |

Performance

Please note, performance is severely degraded if displaying messages to stdout is also enabled.

To profile the performance of the orderbook set the set the environment variable to ENABLE_PROFILING=1.

head pymatch/tests/lse/test_data/profile.txt

cat pymatch/tests/lse/test_data/profile.txt | ENABLE_PROFILING=1 python -m pymatch.main