# ninjabook

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[![Rust][rust-badge]][rust-url]

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[crates-url]: https://crates.io/crates/ninjabook
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[pypi-url]: https://pypi.org/project/ninjabook
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[mit-url]: https://github.com/ninja-quant/ninjabook/blob/main/LICENSE
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[rust-url]: https://github.com/ninja-quant/ninjabook

A lightweight and high-performance order-book implemented in Rust, designed to process level 2 and trades data. 

Available in Python and Rust!

# Getting started

Find Python and Rust `hello_world` programs in the `examples` directory.

# Performance
Ran a couple of benchmarks showcasing real case scenarios against a naive `Vec` implementation and an orderbook with a fixed size of 500 levels.

The benchmarks are run with [300,000 events of level 2 orderbook data](https://github.com/ninja-quant/ninjabook/blob/main/data/norm_book_data_300k.csv) . This data is split in 2 chunks:
- First 200,000 events are used to warm up and verify all orderbook versions publish the same BBO and top5 levels.
- Last 100,000 for the actual benchmark.

The scenarios tested are:
- Process events and stream best bid and ask
- Process events and stream top5 bids and asks

Here are the results:
|bench| iterations | time | ns/iter |
|--|--|--|--|
| ninjabook_bbo | 100,000 | 5.0108 ms | 50.108 ns | 
| fixed_500_bbo | 100,000 | 49.018 ms | 490.18 ns | 
| naive_bbo | 100,000 | 90.552 ms | 905.52 ns | 
| ninjabook_top5 | 100,000 | 11.797 ms | 117.97 ns | 
| fixed_500_top5 | 100,000 | 54.693 ms | 546.93 ns | 
| naive_top5 | 100,000 | 95.644 ms | 956.44 ns | 

# Contributing
To add a better version, create a new file, implementing the same methods as `orderbook.rs` (including tests) and add the improved orderbook to the bench `optimal_vs_naive.rs`. Only order books with a 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, refactoring, docs and tests are also welcomed. Feel free to reach out [here](https://twitter.com/ninjaquant_) if you have any questions.

# Caveats
Just some cosmetic improvements need to be done. Refactor `Orderbook` core functions into a `Trait`, add docs and potentially more tests/bench/examples.