feat: add benchmark

Author: andreafassina

README.md

@@ -12,13 +12,18 @@
 
 :star: Star me on GitHub — it motivates me a lot!
 
-Improved matching engine written in Javascript
+Ultra-fast matching engine written in Javascript
 
 ## Features
 
 - Standard price-time priority
 - Supports both market and limit orders
 - Supports order cancelling
+- **High performance (above 300k trades per second)**
+
+**Machine:** ASUS ExpertBook, 11th Gen Intel(R) Core(TM) i7-1165G7, 2.80Ghz, 16GB RAM, Node.js v18.4.0.
+
+<img src="https://user-images.githubusercontent.com/1219087/181792292-8619ee25-bf75-4871-a06c-bd6c82157f33.png" alt="hft-limit-order-book-benchmark" title="hft-limit-order-book benchmark" />
 
 ## Installation
 
@@ -196,6 +201,40 @@ quantityLeft - 4
 
 ```
 
+## Development
+
+### Build
+
+Build production (distribution) files in your dist folder:
+
+```sh
+npm run build
+```
+
+### Testing
+
+To run all the unit-test
+
+```sh
+npm run test
+```
+
+### Coverage
+
+Run testing coverage
+
+```sh
+npm run test:cov
+```
+
+### Benchmarking
+
+Before running benchmark, be sure to have builded the source code with 'npm run build'
+
+```sh
+npm run bench
+```
+
 ## Contributing
 
 I would greatly appreciate any contributions to make this project better. Please make sure to follow the below guidelines before getting your hands dirty.

benchmarks/benchmark_lob.js

@@ -0,0 +1,227 @@
+/* eslint-disable @typescript-eslint/no-var-requires */
+const bench = require('nanobench')
+const hft = require('../dist/cjs/index.js')
+const gaussian = require('gaussian')
+
+/* New Limits */
+function spamLimitOrders(book, count) {
+  for (let i = 0; i < count; i++) {
+    book.processLimitOrder('buy', i.toString(), 50, i)
+  }
+}
+
+bench('Spam 1 new Limits', function (b) {
+  const book = new hft.OrderBook()
+  b.start()
+  spamLimitOrders(book, 1)
+  b.end()
+})
+
+bench('Spam 10 new Limits', function (b) {
+  const book = new hft.OrderBook()
+  b.start()
+  spamLimitOrders(book, 10)
+  b.end()
+})
+
+bench('Spam 100 new Limits', function (b) {
+  const book = new hft.OrderBook()
+  b.start()
+  spamLimitOrders(book, 100)
+  b.end()
+})
+
+bench('Spam 1000 new Limits', function (b) {
+  const book = new hft.OrderBook()
+  b.start()
+  spamLimitOrders(book, 1000)
+  b.end()
+})
+
+bench('Spam 100000 new Limits', function (b) {
+  const book = new hft.OrderBook()
+  b.start()
+  spamLimitOrders(book, 100000)
+  b.end()
+})
+
+bench('Spam 300000 new Limits', function (b) {
+  const book = new hft.OrderBook()
+  b.start()
+  spamLimitOrders(book, 300000)
+  b.end()
+})
+
+/* New Orders */
+function spamOrders(book, count, variance = 5) {
+  for (let i = 0; i < count; i++) {
+    book.processLimitOrder('buy', i.toString(), 50, i % variance)
+  }
+}
+
+bench('Spam 1 new Orders', function (b) {
+  const book = new hft.OrderBook()
+  b.start()
+  spamOrders(book, 1)
+  b.end()
+})
+
+bench('Spam 10 new Orders', function (b) {
+  const book = new hft.OrderBook()
+  b.start()
+  spamOrders(book, 10)
+  b.end()
+})
+
+bench('Spam 100 new Orders', function (b) {
+  const book = new hft.OrderBook()
+  b.start()
+  spamOrders(book, 100)
+  b.end()
+})
+
+bench('Spam 1000 new Orders', function (b) {
+  const book = new hft.OrderBook()
+  b.start()
+  spamOrders(book, 1000)
+  b.end()
+})
+
+/* Random submission and cancellation */
+function spamOrdersRandomCancels(
+  book,
+  count,
+  mean = 500,
+  variance = 30,
+  cancel_every = 5
+) {
+  const price_distribution = gaussian(mean, variance)
+  book.processLimitOrder('buy', '0', 50, price_distribution.ppf(Math.random()))
+  for (let i = 1; i < count; i++) {
+    book.processLimitOrder(
+      'buy',
+      i.toString(),
+      50,
+      price_distribution.ppf(Math.random())
+    )
+    if (i % cancel_every == 0) book.cancelOrder((i - cancel_every).toString())
+  }
+}
+
+bench('Spam 10 orders and randomly cancel orders', function (b) {
+  const book = new hft.OrderBook()
+  b.start()
+  spamOrdersRandomCancels(book, 10)
+  b.end()
+})
+
+bench('Spam 100 orders and randomly cancel orders', function (b) {
+  const book = new hft.OrderBook()
+  b.start()
+  spamOrdersRandomCancels(book, 100)
+  b.end()
+})
+
+bench('Spam 1000 orders and randomly cancel orders', function (b) {
+  const book = new hft.OrderBook()
+  b.start()
+  spamOrdersRandomCancels(book, 1000)
+  b.end()
+})
+
+bench('Spam 10000 orders and randomly cancel orders', function (b) {
+  const book = new hft.OrderBook()
+  b.start()
+  spamOrdersRandomCancels(book, 10000)
+  b.end()
+})
+
+/* Random submission, cancellation, and market orders */
+function spamLimitRandomOrders(
+  book,
+  count,
+  price_mean = 500,
+  price_variance = 20,
+  quantity_mean = 100,
+  quantity_variance = 10,
+  order_every = 100
+) {
+  const price = gaussian(price_mean, price_variance)
+  const quantity = gaussian(quantity_mean, quantity_variance)
+  for (let i = 1; i < count; i++) {
+    const price_ = price.ppf(Math.random())
+    const quantity_ = quantity.ppf(Math.random())
+    book.processLimitOrder('buy', i.toString(), 100, price_)
+    if (i % order_every == 0)
+      // random submit a market order
+      book.processMarketOrder('sell', quantity_)
+  }
+}
+
+bench('Spam 1000 limit orders and occasional market orders', function (b) {
+  const book = new hft.OrderBook()
+  b.start()
+  spamLimitRandomOrders(book, 1000)
+  b.end()
+})
+
+bench('Spam 10000 limit orders and occasional market orders', function (b) {
+  const book = new hft.OrderBook()
+  b.start()
+  spamLimitRandomOrders(book, 10000)
+  b.end()
+})
+
+bench('Spam 100000 limit orders and occasional market orders', function (b) {
+  const book = new hft.OrderBook()
+  b.start()
+  spamLimitRandomOrders(book, 100000)
+  b.end()
+})
+
+function spamLimitManyMarketOrders(
+  book,
+  count,
+  price_mean = 500,
+  price_variance = 20,
+  quantity_mean = 50,
+  quantity_variance = 10
+) {
+  const price = gaussian(price_mean, price_variance)
+  const quantity = gaussian(quantity_mean, quantity_variance)
+
+  for (let i = 1; i < count; i++) {
+    const price_ = price.ppf(Math.random())
+    const quantity_ = quantity.ppf(Math.random())
+    book.processLimitOrder('buy', i.toString(), 100, price_)
+    book.processMarketOrder('sell', quantity_)
+  }
+}
+
+bench('Spam 10 limit orders and constant market orders', function (b) {
+  const book = new hft.OrderBook()
+  b.start()
+  spamLimitManyMarketOrders(book, 10)
+  b.end()
+})
+
+bench('Spam 100 limit orders and constant market orders', function (b) {
+  const book = new hft.OrderBook()
+  b.start()
+  spamLimitManyMarketOrders(book, 100)
+  b.end()
+})
+
+bench('Spam 1000 limit orders and constant market orders', function (b) {
+  const book = new hft.OrderBook()
+  b.start()
+  spamLimitManyMarketOrders(book, 1000)
+  b.end()
+})
+
+bench('Spam 10000 limit orders and constant market orders', function (b) {
+  const book = new hft.OrderBook()
+  b.start()
+  spamLimitManyMarketOrders(book, 10000)
+  b.end()
+})