Order Book Simulator

An equity order matching engine and market data system built in Python, designed to simulate real-world US stock exchange trading mechanics. Processes limit orders with price-time priority, executes trades, and provides market data updates in real-time.

Components

Order Book Services

The order book services handle order processing, matching, and market data dissemination. We expose the services via a FastAPI gateway service which enables the user to interact with the services via REST API calls.

The system consists of four main services:

• Gateway Service: REST API service that handles incoming orders and market data requests
• Matching Engine: Processes orders and executes trades using price-time priority
• Market Data Service: Manages market data dissemination and analytics
• Database: Stores order and trade history

Market Simulator

The market simulator is a tool that allows you to simulate market activity to demonstrate how the order book services work. We use the simulator to generate orders for the order book services to process.

You can find the MarketSimulator class in src/order_book_simulator/simulator/market_simulator.py. We've also provided an example script in examples/market_simulator_usage.py that shows how to use the MarketSimulator class to simulate market activity.

Technology Stack

• FastAPI: REST API framework for the gateway service
• Polars: Data processing and analysis
• SQLAlchemy: ORM for the database
• Pydantic: Data modelling and validation
• Kafka: Message broker for order flow and market data
• PostgreSQL: Persistent storage for orders and trades
• Redis: Caching for real-time market data
• Docker: Containerisation and deployment

Installing Dependencies

Run the following command from the project root directory:

uv sync --all-extras --dev

Usage

Running the Order Book Services

Use Docker Compose to build and run the services locally:

docker compose up --build

From there, you can interact with the FastAPI service at: http://localhost:8000/docs

Resetting the Order Book Services

To reset the order book services, you can stop the services and remove the containers, images, and volumes:

docker compose down -v

Running the Market Simulator Example

To run the market simulator, you can use the following command:

uv run python examples/market_simulator_usage.py