Liquibook is a blazing fast C++ limit order book matching engine that provides low-level components for order matching and aggregate depth tracking.
Liquibook is a framework which supports the implementation of a simple order book - the part of a matching engine focused on a single trading instrument.
Visit our Github for:
- It works with your design choices and any protocol
- Low-level components for order matching and aggregate depth tracking
- Memory-efficiency: minimal copying of data to internal structures
- Speed: between 2.0 million and 2.5 million inserts per second
Benefits of using Liquibook
- Liquibook is free open source software (FOSS), which means no vendor lock-in and maximum user control
- There are no license fees whatsoever, and the full source code is available at no cost
- Optional aggregate depth tracking to any number of levels (static) or BBO only
- Works with smart or regular pointers
- 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
Who Should be Using Liquibook?
Exchanges that might want to distribute this as tool to their partners for their certification process
- Traders starting to do exchange simulation -- they can also do backwards simulation of previous markets under certain conditions to review how strategies would have acted in the past
- Traders doing predictive modeling
- New smaller exchanges
- High-frequency traders who want to simulate trading at market speeds or faster