A high-performance order matching engine written in Go.

• Limit and market order support
• Time-in-force: GTC (default), IOC (Immediate-or-Cancel), FOK (Fill-or-Kill)
• Stop orders: Stop-Market and Stop-Limit with automatic trigger on last trade price
• Price-time priority matching (FIFO)
• Exact decimal arithmetic via shopspring/decimal
• Efficient price-level order book with O(log p) insertion (p = distinct price levels)
• Duplicate order ID detection
• Internal order ID generation (atomic counter, monotonically increasing)
• Self-trade prevention (4 modes: CancelResting, CancelIncoming, CancelBoth, Decrement)
• Thread-safe design with snapshot-based order book reads
• Bounded trade log with configurable size and trade callback
• Symbol validation and normalization

┌─────────────┐     ┌──────────────┐     ┌─────────────┐
│  Order Input │────▶│ Match Engine │────▶│   Trades    │
└─────────────┘     └──────┬───────┘     └─────────────┘
                           │
                    ┌──────┴───────┐
                    │  Order Book  │
                    ├──────────────┤
                    │  Bids (Buy)  │
                    │  Asks (Sell) │
                    └──────────────┘

• Go 1.21+

go build ./...

go test ./... -v

go run cmd/example/main.go

.
├── pkg/
│   ├── engine/       # Core matching engine
│   ├── orderbook/    # Order book implementation
│   └── model/        # Order, Trade, and other models
├── cmd/
│   └── example/      # Example usage
├── go.mod
└── README.md

The engine uses a price-time priority algorithm:

1. Buy orders are sorted by price descending, then by time ascending
2. Sell orders are sorted by price ascending, then by time ascending
3. A match occurs when the best bid price >= best ask price
4. Partial fills are supported — remaining quantity stays in the book

MIT License