gRPC Order Matching Engine

N. P. O'Donnell, 2020

Summary

Simple gRPC/protobuf based order matching engine, similar to those used in financial markets. Buyers and sellers submit limit orders and the engine matches buy orders with sell orders, giving the "taker" the best price available.

• Buyers and Sellers may:

  • Submit orders
  • Check pending orders
  • Cancel orders

• Anybody may:

  • Get a quote of current (latest) price of a market
  • Get a real-time stream of price bid/ask for a market (TBD)
  • Get a snapshot of the orderbook followed by a real-time stream of deltas (TBD)

All order matching happens in-memory and orders are stored in two TreeMap structures - one for pending buys and one pending sells. Each TreeMap stores the orders sorted by price - pending buys (bids) in in descending order and pending sells (asks) in ascending order.

Together, these two TreeMaps constitute what is known as the "Order Book".

When a new limit sell order comes in, its price is checked to see if it can be matched immediately. If there exists a set of pending buy orders such that their prices are all greater or equal to to the sell order's price, then the sell can be filled. If the summed value of these buy orders is greater or equal to the value of the sell, then the sell can be fully filled, otherwise it's a partial fill, and the highest buys are used and the order remains, where it waits to be fully filled. If the sell can not be matched immediately then it's placed in the order book and waits until when (and if) the price moves in its direction.

Buy orders happen the same way except in the opposite direction.

Pending buy or sell orders may be manually cancelled before they get filled but if the order is already partially filled, the filled portion remains filled and the remainder is cancelled. Market sells and buys are usually filled immediately, and take the best bids/asks currently available, which means they are subject to slippage, which means the taker (the person who submitted the market order), may get a worse price than they expected.

When a trader's order is submitted, they are returned an orderId which they can use to retrieve the order record in the future. If the order was fully filled immediately, they likely won't need to use the orderId, but if the trade was partially filled or not filled, they can use the orderId in the future to either check on the order or cancel it.

Building & Running

Build:

./gradlew build

Start server:

./gradlew runServer

Once the server is running you can submit commands by invoking the client.

Example Commands

Submit an order:

./gradlew runClient --args='-cid 1234 -sc SUBMIT_ORDER -t BTC_USD -d BUY -ot LIMIT -p 10000 -v 70'

Retrieve an order:

./gradlew runClient --args='-sc RETRIEVE_ORDER -oid 1'

Cancel an order:

./gradlew runClient --args='-sc CANCEL_ORDER -oid 1'

Get a price quote:

./gradlew runClient --args='-sc GET_QUOTE -t BTC_USD'