limit-order-book

Public

High-performance limit order book engine with C++ core and Python SDK. Processes 20M+ msgs/sec with µs latency. Supports real crypto/equity data replay, spread/imbalance/impact analytics, and backtesting of VWAP, TWAP, POV, and market-making strategies with reproducible PnL and risk metrics.

algorithmic-trading algorithms backtesting cache-optimization concurrency cpp data-structures docker execution-strategies high-performance

Creat：2025-08-18T12:10:40

Update：2025-08-27T18:14:50

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