Matcher

A trading order matching engine implemented in Rust.

Order Properties

• Side: Buy or Sell
• Price Limit: For buy orders - maximum price willing to pay; for sell orders - minimum price willing to accept
• Quantity: Number of units to trade
• User ID: Unique identifier for the order owner
• Order Type: Limit, Fill-or-Kill, or Immediate-or-Cancel

Order Types

Limit (Lim)

• Can be executed in full or in part
• Any unfilled portion is queued for later execution
• If no immediate execution is possible, the entire order is queued

Fill or Kill (Fok)

• Must be executed in full or not at all
• If there are sufficient matching orders in the book at acceptable prices, the order is executed
• Otherwise, it is canceled (not added to the queue)
• Cannot be partially executed

Immediate or Cancel (Ioc)

• Any part that can be immediately executed will be
• The rest is canceled (not queued)

Order Processing

• Orders are processed according to price-time priority (FIFO)
• For buy orders, lower prices have higher priority
• For sell orders, higher prices have higher priority
• Orders from the same user are not matched against each other
• Only Limit orders can become passive (queued) orders

Usage

The system accepts orders from a CSV file and outputs the results to stdout:

cargo run -- <input_csv_file>

An example CSV file is included in the repository:

cargo run -- example.csv

CSV Format

The input CSV file should have the following columns:

order_type,side,price,initial_qty,user_id
Lim,Buy,100,10,1
Lim,Sell,105,5,2
Fok,Buy,103,7,3

Output

The program outputs the status of each order as it's processed:

• Accepted: Order has been received by the system
• Queued: Order has been placed in the order book
• Canceled: Order has been removed without execution
• Executed: Order has been fully executed
• PartiallyExecuted: Order has been partially executed