Demystifying PyLimitBook: A Python’s Answer to Fast Limit-Order Books
Navigating Modern Trading with PyLimitBook: An In-Depth Exploration
5 min readNov 2, 2023
Limit order books are critical components in the world of trading, ensuring the orderly execution of buy and sell orders based on predefined price limits. Today, we’re diving deep into PyLimitBook, a Python implementation that offers a swift and robust solution for crafting limit-order books.
Introduction to Limit Order Books
A Limit Order Book is a record of outstanding limit orders, which are buy or sell orders of a specific quantity of an asset at a specified price. When traders decide they’re not interested in trading at the current market price, they use limit orders to specify the price at which they’re willing to buy or sell.
class Order:
def __init__(self, trader_id, timestamp, order_type, quantity, price):
self.trader_id = trader_id
self.timestamp = timestamp
self.order_type = order_type
self.quantity = quantity
self.price = priceWhy PyLimitBook?
- Speed: Python, by nature, isn’t the fastest language. However, PyLimitBook is designed for efficient operation, ensuring swift updates and order matching.
