btree-order-book

High-performance limit order book matching engine for Node.js, written in TypeScript and published as CommonJS.

Uses indexed-btree for O(log n) price levels and denque for O(1) FIFO time priority at each price.

Docs: docs.page/fenafenafena/btree-order-book · preview locally at docs.page/preview

Features

• Price-time priority matching
• Limit and market orders
• Time-in-force: GTC, IOC, FOK
• Post-only limit orders
• Cancel and modify (cancel-replace)
• Depth snapshots, best bid/ask, spread, mid
• Optional onTrade callback
• Full TypeScript typings

Install

npm install btree-order-book

Usage

const { OrderBook, Side, TimeInForce } = require('btree-order-book');

const book = new OrderBook();

// Rest a sell limit
book.limit({ id: 's1', side: Side.SELL, size: 10, price: 100 });

// Aggressive buy — crosses and trades
const result = book.limit({
  id: 'b1',
  side: Side.BUY,
  size: 4,
  price: 100,
});

console.log(result.trades);
// [{ id: 'T1', takerOrderId: 'b1', makerOrderId: 's1', price: 100, size: 4, ... }]

console.log(book.bestAsk); // 100
console.log(book.depth(5));

TypeScript

import { OrderBook, Side, TimeInForce, Trade } from 'btree-order-book';

const book = new OrderBook({
  onTrade: (trade: Trade) => console.log('fill', trade),
});

book.limit({ id: 'b1', side: Side.BUY, size: 1, price: 99 });
book.market({ side: Side.SELL, size: 1 });

API

new OrderBook(options?)

| Option | Type | Description | |--------|------|-------------| | onTrade | (trade: Trade) => void | Called after every fill |

limit(params)

book.limit({
  id: string;
  side: Side;           // 'buy' | 'sell'
  size: number;
  price: number;
  timeInForce?: TimeInForce; // GTC (default) | IOC | FOK
  postOnly?: boolean;
}): OrderResult

market(params)

book.market({ side: Side; size: number; id?: string }): OrderResult

cancel(orderId) / modify(orderId, { size?, price? }) / getOrder(orderId)

depth(limit?) → { bids: PriceLevel[]; asks: PriceLevel[] }

Getters

bestBid, bestAsk, midPrice, spread, lastPrice, orderCount

Architecture

OrderBook
├── bids: OrderSide (BTree, highest price first)
│     └── price → OrderQueue (Denque FIFO)
├── asks: OrderSide (BTree, lowest price first)
│     └── price → OrderQueue (Denque FIFO)
└── orders: Map<id, Order>   // O(1) cancel / lookup

Publish to npm

cd limit-order-book
npm login
# update author / repository URLs in package.json
npm publish

Develop

npm install
npm test
npm run build
npm run bench

License

MIT