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Simple order matching engine

Basic implementation of the order book and order matching engine done in TypeScript.

Features:

  • market orders
  • limit orders
  • market/limit stop orders when price is higher/lower than condition
it('stop loss', () => {
    matchingEngine.match(new Order(OrderType.LIMIT, OrderSide.BUY, 10, 4));
    matchingEngine.match(new Order(OrderType.LIMIT, OrderSide.BUY, 10, 6));

    // place order & add stop loss
    expect(matchingEngine.stopOrders.length).toBe(0);
    matchingEngine.match(new Order(OrderType.LIMIT, OrderSide.BUY, 5, 6));
    matchingEngine.addStopOrder(new StopOrder(new Order(OrderType.MARKET, OrderSide.SELL, 5), 5, StopOrderCondition.LESS_THAN));
    expect(matchingEngine.stopOrders.length).toBe(1);

    // wild seller appears
    matchingEngine.match(new Order(OrderType.MARKET, OrderSide.SELL, 16));

    expect(matchingEngine.stopOrders.length).toBe(0);
    expect(matchingEngine.orderBook.bids[0].quantity).toBe(4);
});