A lightweight and high-performance order-book designed to process level 2 and trades data.
Ran a couple of benchmarks showcasing real case scenarios against a naive Vec implementation.
The benchmarks are run with 300,000 events of level 2 orderbook data . This data is split in 2 chunks:
- First 200,000 events are used to warm up.
- Last 100,000 for the actual benchmark.
The scenarios are tested are:
- Process event and stream best bid and ask
- Process event and stream top5 bids and asks
Here are the results:
| bench | iterations | time | ns/iter |
|---|---|---|---|
| ninjabook_bbo | 100,000 | 3.9380 ms | 39.38 ns |
| naive_bbo | 100,000 | 263.77 ms | 2,637.7 ns |
| ninjabook_top5 | 100,000 | 12.310 ms | 123.1 ns |
| naive_top5 | 100,000 | 275.40 ms | 2,754.7 ns |
To add a better version, create a new file, implementing the same methods as orderbook.rs (including tests) and adding to the benchmark optimal_vs_naive. Only order books with better performance than orderbook.rs will be considered. Lastly, add performance logs to the Pull Request, can just copy paste what cargo bench outputs.
Any issues and tests are also welcomed. Feel free to reach out at https://twitter.com/ninjaquant_ if you have any questions.
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