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Match orderbook logic for orders inserted into orderbook #10
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In order book trading systems, this is very common trading logic. |
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Is there any orderbook matching logic included?
if I add an ask at price = 100.0 (volume = 5.0) and a bid at price 101.0 (volume = 9.0) then I'd expect that these offers would "cross" and the orderbook would have remaining 1 bid order at price = 101.0 with volume = 4.0 along with one trade which is a sell at price = 100.0 for volume = 5.0
Can you please comment on whether "matching" an orderbook is part of the scope of this project?
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