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orderbook

package
v1.22.28 Latest Latest
Warning

This package is not in the latest version of its module.

 Go to latest Published: Dec 21, 2025 License: BSD-3-Clause Imports: 4 Imported by: 0

Documentation

Overview

Package orderbook implements a high-performance order book for the DEX VM.

Index

Constants

This section is empty.

Variables

View Source 
var (
	ErrInsufficientLiquidity = errors.New("insufficient liquidity")
	ErrOrderNotFound         = errors.New("order not found")
	ErrInvalidPrice          = errors.New("invalid price")
	ErrInvalidQuantity       = errors.New("invalid quantity")
	ErrOrderExpired          = errors.New("order expired")
	ErrSelfTrade             = errors.New("self-trade not allowed")
)

Functions

This section is empty.

Types

type Order 

type Order struct {
	ID          ids.ID      `json:"id"`
	Owner       ids.ShortID `json:"owner"`
	Symbol      string      `json:"symbol"`
	Side        Side        `json:"side"`
	Type        OrderType   `json:"type"`
	Price       uint64      `json:"price"`     // Price in quote asset (scaled by 1e18)
	Quantity    uint64      `json:"quantity"`  // Quantity in base asset (scaled by 1e18)
	FilledQty   uint64      `json:"filledQty"` // Already filled quantity
	StopPrice   uint64      `json:"stopPrice"` // For stop orders
	Status      OrderStatus `json:"status"`
	CreatedAt   int64       `json:"createdAt"`   // Unix timestamp in nanoseconds
	ExpiresAt   int64       `json:"expiresAt"`   // Unix timestamp in nanoseconds
	PostOnly    bool        `json:"postOnly"`    // Only add liquidity
	ReduceOnly  bool        `json:"reduceOnly"`  // Only reduce position
	TimeInForce string      `json:"timeInForce"` // GTC, IOC, FOK
}

Order represents a trading order in the orderbook.

func (*Order) IsActive 

func (o *Order) IsActive() bool

IsActive returns true if the order can still be filled.

func (*Order) RemainingQuantity 

func (o *Order) RemainingQuantity() uint64

RemainingQuantity returns the unfilled quantity.

type OrderStatus 

type OrderStatus uint8

OrderStatus represents the status of an order. 

const (
	StatusOpen OrderStatus = iota
	StatusPartiallyFilled
	StatusFilled
	StatusCancelled
	StatusExpired
)

func (OrderStatus) String 

func (s OrderStatus) String() string

type OrderType 

type OrderType uint8

OrderType represents the type of order. 

const (
	Limit OrderType = iota
	Market
	StopLoss
	TakeProfit
	StopLimit
)

func (OrderType) String 

func (t OrderType) String() string

type Orderbook 

type Orderbook struct {
	// contains filtered or unexported fields
}

Orderbook maintains the bid and ask sides for a trading pair.

func New 

func New(symbol string) *Orderbook

New creates a new orderbook for the given symbol.

func (*Orderbook) AddOrder 

func (ob *Orderbook) AddOrder(order *Order) ([]*Trade, error)

AddOrder adds a new order to the orderbook. Returns executed trades if the order is matched.

func (*Orderbook) CancelOrder 

func (ob *Orderbook) CancelOrder(orderID ids.ID) error

CancelOrder cancels an order by ID.

func (*Orderbook) GetBestAsk 

func (ob *Orderbook) GetBestAsk() uint64

GetBestAsk returns the best (lowest) ask price.

func (*Orderbook) GetBestBid 

func (ob *Orderbook) GetBestBid() uint64

GetBestBid returns the best (highest) bid price.

func (*Orderbook) GetDepth 

func (ob *Orderbook) GetDepth(maxLevels int) (bids, asks []*PriceLevel)

GetDepth returns the orderbook depth up to maxLevels.

func (*Orderbook) GetMidPrice 

func (ob *Orderbook) GetMidPrice() uint64

GetMidPrice returns the mid-market price.

func (*Orderbook) GetOrder 

func (ob *Orderbook) GetOrder(orderID ids.ID) (*Order, error)

GetOrder returns an order by ID.

func (*Orderbook) GetSpread 

func (ob *Orderbook) GetSpread() uint64

GetSpread returns the bid-ask spread.

func (*Orderbook) GetStats 

func (ob *Orderbook) GetStats() (totalVolume, tradeCount uint64, lastTradeTime int64)

GetStats returns orderbook statistics.

func (*Orderbook) Match 

func (ob *Orderbook) Match() []Trade

Match runs the matching engine and returns all trades from crossed orders. This is called per-block for deterministic matching. It processes all resting orders that can cross with each other.

func (*Orderbook) Symbol 

func (ob *Orderbook) Symbol() string

Symbol returns the trading pair symbol.

type PriceLevel 

type PriceLevel struct {
	Price    uint64   `json:"price"`
	Quantity uint64   `json:"quantity"`
	Orders   []*Order `json:"-"` // Orders at this level
}

PriceLevel represents a price level in the orderbook with aggregated quantity.

type Side 

type Side uint8

Side represents the order side (buy or sell). 

const (
	Buy Side = iota
	Sell
)

func (Side) String 

func (s Side) String() string

type Trade 

type Trade struct {
	ID          ids.ID      `json:"id"`
	Symbol      string      `json:"symbol"`
	MakerOrder  ids.ID      `json:"makerOrder"`
	TakerOrder  ids.ID      `json:"takerOrder"`
	Maker       ids.ShortID `json:"maker"`
	Taker       ids.ShortID `json:"taker"`
	Side        Side        `json:"side"`        // Taker's side
	Price       uint64      `json:"price"`       // Execution price
	Quantity    uint64      `json:"quantity"`    // Filled quantity
	MakerFee    uint64      `json:"makerFee"`    // Fee paid by maker
	TakerFee    uint64      `json:"takerFee"`    // Fee paid by taker
	Timestamp   int64       `json:"timestamp"`   // Execution timestamp
	BlockNumber uint64      `json:"blockNumber"` // Block where trade occurred
}

Trade represents a filled trade between two orders.

Source Files

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