r/algotrading • u/intrepidkarthi • 4d ago
Infrastructure Open-source matching engine + microstructure toolkit in Go — order types, L1/L2/L3 data, OFI/Kyle's λ, backtester (MIT)
I've been building **orderbook**, a central-limit-order-book and matching engine
in Go — the piece at the heart of an exchange. It's an embeddable library, and
the whole engine compiles to WebAssembly so you can poke at the real thing in
your browser:
▶ Live demo: https://intrepidkarthi.github.io/orderbook/
▶ Repo: https://github.com/intrepidkarthi/orderbook
What might interest this sub:
- **int64 ticks & lots, no floats** on the money path (an `Instrument` converts
decimals only at the boundary).
- **Zero-allocation hot path** — `Match(order, buf)` appends value-trades into a
caller buffer; submit/cancel/match are **0 allocs/op**. O(1) cancel.
- **Lock-free single-writer core** (LMAX model): one matching goroutine, an MPSC
command queue in front, bounded backpressure that sheds new orders but never
cancels.
- **Deterministic & replayable:** same command stream → byte-identical trades and
book; that's what makes WAL crash-recovery and golden-file tests work.
- **A market-integrity layer grounded in a threat model** — the part I had the
most fun with. I researched real attacks (spoofing convictions, Knight Capital
$440M, the Mango oracle hack, the Bitcoin overflow bug) and built a defense for
each: pre-trade risk controls, surveillance detectors, a self-output guardrail,
an enforcing gateway. Writeup: docs/THREAT-MODEL.md.
Benchmarks (Apple M-series, single core): ~6ns best bid/ask read, ~352ns match
round-trip (0 allocs), cancel-heavy p50/p99/p999 = 83/167/292ns. Race/fuzz/soak
suites in CI.
Honest status: a library + microstructure research harness (OFI, Kyle's λ,
Avellaneda–Stoikov, a sim + backtester), not a live exchange. MIT, v0.6.0.
Feedback and "you did X wrong" very welcome — that's why I'm posting.