This is an exercise to implement an order book with continuous matching of limit orders with time priority.
This exercise requires git, Java 8 and gradle 2.3+. Use your favorite IDE or editor.
In an electronic exchange an order book is kept: All buy and sell orders are entered into this order book and the prices are set according to specific rules. Bids and asks are matched and trades occur.
This class keeps an order book, that can determine in real-time the current market price and combine matching orders to trades. Each order has a quantity and a price.
The trading rules: It is a match if a buy order exist at a higher price or equal to a sell order in the order book. The quantity of both orders is reduced as much as possible. When an order has a quantity of zero it is removed. An order can match several other orders if the quantity is large enough and the price is correct. The price of the trade is computed as the order that was in the order book first (the passive party).
The priority of the orders to match is based on the following:
- On the price that is best for the active order (the one just entered)
- On the time the order was entered (first come first served)
There is a skeleton class com.cinnober.exercise.ordermatcher.OrderMatcher which contains a few methods that need to be implemented. There are also a few JUnit test cases that currently fails. Implement the methods correctly and they will pass.
First: cd order-matcher-exercise
Compile: gradle assemble
Compile and run unit tests: gradle build
Run the application (through gradle): gradle run
Package the application: gradle installApp
Run the application (standalone): ./build/install/order-matcher-exercise/bin/order-matcher-exercise
If you want to edit java files from within eclipse, run gradle eclipse
and then from within eclipse File -> Import... -> General -> Existing projects into workspace -> Next.. Browse.. browse to where you cloned repo -> Ok.. -> Select All -> Import.
Install the Netbeans Gradle Plugin and just open the project (the cloned repo).
Open the files src/{main,test}/java/com/cinnober/exercise/ordermatcher/*.java.