✨ Luminengine

A high-performance financial quantitative trading order book matching framework.

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📚 Directory

directory	role
core	Order book engine core code.
manager-desktop	Order Book Engine Desktop Manager.
emulator-desktop	Desktop order book engine simulator.
server	Engine service command line program.
terminal	Command line terminal visualizer
builder/rpc	RPC protocol file builder.

Supported Order Types

OrderType	progress
Limit Order	✅
Market Order	✅
GTC Order	✅
IOC Order	✅
FOK Order	✅
Stop Order	✅
Stop Limit Order	✅
Iceberg Order	✅
Day Order	✅

Order Types

Market Order

Market Order Buy Direction

$$\begin{aligned} &\text{Let } M_{\text{buy}} = \text{total market buy orders} \\\ &\text{Let } P_{\text{ask}} = [p_1, p_2, \dots, p_n] \text{sell ​​order prices in ascending order} \\\ &\text{Let } Q_{\text{ask}}(p_i) = \text{ in price } p_i \text{total sell orders} \\\ \\\ &\text{For } i = 1 \text{ to } n: \\\ &\quad \text{If } M_{\text{buy}} \leq 0: \text{ break} \\\ &\quad \text{MatchQty} = \min(M_{\text{buy}}, Q_{\text{ask}}(p_i)) \\\ &\quad \text{Execute trade at price } p_i \text{ with quantity MatchQty} \\\ &\quad M_{\text{buy}} = M_{\text{buy}} - \text{MatchQty} \\\ &\quad Q_{\text{ask}}(p_i) = Q_{\text{ask}}(p_i) - \text{MatchQty} \end{aligned}$$

Market Order Sell Direction

$$\begin{aligned} &\text{Let } M_{\text{sell}} = \text{total market sell orders} \\\ &\text{Let } P_{\text{bid}} = [p_1, p_2, \dots, p_n] \text{buy order prices in descending order} \\\ &\text{Let } Q_{\text{bid}}(p_i) = \text{in ptice} p_i \text{total buy orders} \\\ \\\ &\text{For } i = 1 \text{ to } n: \\\ &\quad \text{If } M_{\text{sell}} \leq 0: \text{ break} \\\ &\quad \text{MatchQty} = \min(M_{\text{sell}}, Q_{\text{bid}}(p_i)) \\\ &\quad \text{Execute trade at price } p_i \text{ with quantity MatchQty} \\\ &\quad M_{\text{sell}} = M_{\text{sell}} - \text{MatchQty} \\\ &\quad Q_{\text{bid}}(p_i) = Q_{\text{bid}}(p_i) - \text{MatchQty} \end{aligned}$$

Average transaction price calculation

$$\text{AvgPrice} = \frac{\sum_{i=1}^{k} (p_i \times q_i)}{\sum_{i=1}^{k} q_i}$$

Price Manager

Iceberg Manager

Resource

• RPC Proto File