A fast orderbook in Go.
- Market orders
- Limit orders (GTC)
- Add, Cancel, Amend (quantity)
- Best price and depth of each side
- Last filled price
- Persistence / restore from snapshot
- Add more execution styles (FOK, IOC etc)
- Test and finish inbound messages
- Implement outbound messages
I'm not actively working on this but plan to pick it up again some time.