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‎.gitignore

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#OS junk files
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[Tt]humbs.db
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*.DS_Store
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#Visual Studio files
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*.[Oo]bj
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*.user
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*.aps
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*.pch
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*.vspscc
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*.vssscc
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*_i.c
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*_p.c
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*.ncb
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*.suo
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*.tlb
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*.tlh
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*.bak
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*.[Cc]ache
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*.ilk
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*.log
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*.lib
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*.sbr
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*.sdf
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*.opensdf
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*.unsuccessfulbuild
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ipch/
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obj/
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[Bb]in
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[Dd]ebug*/
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[Rr]elease*/
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Ankh.NoLoad
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#MonoDevelop
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*.pidb
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*.userprefs
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#Tooling
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_ReSharper*/
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*.resharper
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[Tt]est[Rr]esult*
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*.sass-cache
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#Project files
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[Bb]uild/
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#Subversion files
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.svn
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# Office Temp Files
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~$*
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#NuGet
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packages/
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#ncrunch
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*ncrunch*
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*crunch*.local.xml
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# visual studio database projects
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*.dbmdl
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#Test files
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*.testsettings

‎Exchange.sln

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Microsoft Visual Studio Solution File, Format Version 12.00
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# Visual Studio 2012
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Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Exchange", "Exchange\Exchange.csproj", "{6D9C405F-3E1C-4D85-9373-2ABE44343FD7}"
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EndProject
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Global
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GlobalSection(SolutionConfigurationPlatforms) = preSolution
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Debug|Any CPU = Debug|Any CPU
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Release|Any CPU = Release|Any CPU
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EndGlobalSection
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GlobalSection(ProjectConfigurationPlatforms) = postSolution
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{6D9C405F-3E1C-4D85-9373-2ABE44343FD7}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
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{6D9C405F-3E1C-4D85-9373-2ABE44343FD7}.Debug|Any CPU.Build.0 = Debug|Any CPU
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{6D9C405F-3E1C-4D85-9373-2ABE44343FD7}.Release|Any CPU.ActiveCfg = Release|Any CPU
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{6D9C405F-3E1C-4D85-9373-2ABE44343FD7}.Release|Any CPU.Build.0 = Release|Any CPU
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EndGlobalSection
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GlobalSection(SolutionProperties) = preSolution
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HideSolutionNode = FALSE
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EndGlobalSection
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EndGlobal

‎Exchange/App.config

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<?xml version="1.0" encoding="utf-8" ?>
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<configuration>
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<startup>
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<supportedRuntime version="v4.0" sku=".NETFramework,Version=v4.5" />
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</startup>
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</configuration>

‎Exchange/ByLimit.cs

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namespace Exchange {
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using System.Collections.Generic;
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public class ByLimit : IComparer<Order> {
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public int Compare(Order x, Order y) {
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if (x.id == y.id)
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return 0;
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if (x.limit > y.limit)
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return 1;
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else if (x.limit == y.limit) {
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if (x.ticks > y.ticks)
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return 1;
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else
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return -1;
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}
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else
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return -1;
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}
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}
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}

‎Exchange/Exchange.csproj

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<?xml version="1.0" encoding="utf-8"?>
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<Project ToolsVersion="4.0" DefaultTargets="Build" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
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<Import Project="$(MSBuildExtensionsPath)\$(MSBuildToolsVersion)\Microsoft.Common.props" Condition="Exists('$(MSBuildExtensionsPath)\$(MSBuildToolsVersion)\Microsoft.Common.props')" />
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<PropertyGroup>
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<Configuration Condition=" '$(Configuration)' == '' ">Debug</Configuration>
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<Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
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<ProjectGuid>{6D9C405F-3E1C-4D85-9373-2ABE44343FD7}</ProjectGuid>
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<OutputType>Exe</OutputType>
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<AppDesignerFolder>Properties</AppDesignerFolder>
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<RootNamespace>Exchange</RootNamespace>
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<AssemblyName>Exchange</AssemblyName>
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<TargetFrameworkVersion>v4.5</TargetFrameworkVersion>
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<FileAlignment>512</FileAlignment>
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</PropertyGroup>
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<PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Debug|AnyCPU' ">
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<PlatformTarget>AnyCPU</PlatformTarget>
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<DebugSymbols>true</DebugSymbols>
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<DebugType>full</DebugType>
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<Optimize>false</Optimize>
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<OutputPath>bin\Debug\</OutputPath>
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<DefineConstants>DEBUG;TRACE</DefineConstants>
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<ErrorReport>prompt</ErrorReport>
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<WarningLevel>4</WarningLevel>
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</PropertyGroup>
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<PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Release|AnyCPU' ">
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<PlatformTarget>AnyCPU</PlatformTarget>
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<DebugType>pdbonly</DebugType>
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<Optimize>true</Optimize>
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<OutputPath>bin\Release\</OutputPath>
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<DefineConstants>TRACE</DefineConstants>
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<ErrorReport>prompt</ErrorReport>
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<WarningLevel>4</WarningLevel>
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</PropertyGroup>
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<ItemGroup>
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<Reference Include="System" />
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<Reference Include="System.Core" />
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<Reference Include="System.Xml.Linq" />
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<Reference Include="System.Data.DataSetExtensions" />
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<Reference Include="Microsoft.CSharp" />
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<Reference Include="System.Data" />
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<Reference Include="System.Xml" />
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</ItemGroup>
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<ItemGroup>
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<Compile Include="ByLimit.cs" />
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<Compile Include="Order.cs" />
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<Compile Include="OrderBook.cs" />
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<Compile Include="Program.cs" />
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<Compile Include="Properties\AssemblyInfo.cs" />
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</ItemGroup>
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<ItemGroup>
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<None Include="App.config" />
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</ItemGroup>
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<Import Project="$(MSBuildToolsPath)\Microsoft.CSharp.targets" />
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<!-- To modify your build process, add your task inside one of the targets below and uncomment it.
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Other similar extension points exist, see Microsoft.Common.targets.
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<Target Name="BeforeBuild">
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</Target>
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<Target Name="AfterBuild">
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</Target>
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-->
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</Project>

‎Exchange/Order.cs

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namespace Exchange {
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using System;
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public class Order : IComparable {
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private static uint _count = 0;
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public readonly uint id;
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public readonly Type type;
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public uint amount;
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public readonly decimal limit;
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public readonly long ticks;
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public readonly DateTime created;
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public Order(Type type, uint amount, decimal limit, long ticks) {
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id = _count++;
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this.type = type;
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this.amount = amount;
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this.limit = limit;
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this.ticks = ticks;
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this.created = DateTime.Now;
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}
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public bool Match(Order order) {
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if (type == Type.Buy)
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return limit >= order.limit;
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else
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return limit <= order.limit;
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}
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public int CompareTo(object obj) {
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if (obj == null)
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return 1;
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Order ordobj = obj as Order;
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if (ordobj.id == this.id)
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return 0;
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else
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return 1;
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}
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public enum Type : byte {
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Buy = 0,
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Sell = 1
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}
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}
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}

‎Exchange/OrderBook.cs

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namespace Exchange {
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using System;
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using System.Collections.Generic;
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using System.Diagnostics;
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public class OrderBook {
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private SortedSet<Order> buys;
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private SortedSet<Order> sells;
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private Stopwatch watch;
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private static int _trades = 0;
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public int trades { get { return _trades; } }
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public OrderBook() {
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buys = new SortedSet<Order>(new ByLimit());
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sells = new SortedSet<Order>(new ByLimit());
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watch = new Stopwatch();
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watch.Start();
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}
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public void SubmitOrder(Order.Type type, uint amount, decimal limit) {
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if (type == Order.Type.Buy)
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buys.Add(new Order(type, amount, limit, watch.ElapsedTicks));
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else
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sells.Add(new Order(type, amount, limit, watch.ElapsedTicks));
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while (buys.Count > 0 && sells.Count > 0 && sells.Min.Match(buys.Max))
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ExecuteTrade(buys.Max, sells.Min);
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}
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public void ExecuteTrade(Order buy, Order sell) {
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_trades++;
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if (buy.amount == sell.amount) {
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sells.Remove(sell);
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buys.Remove(buy);
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}
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else if (buy.amount > sell.amount) {
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buy.amount -= sell.amount;
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sells.Remove(sell);
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}
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else if (buy.amount < sell.amount) {
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sell.amount -= buy.amount;
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buys.Remove(buy);
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}
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}
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public void PrintOrderBooks() {
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Console.WriteLine(String.Format("|{0,5}|{1,6}|{2,6}|{3,6}|{4,20}|", "type", "id", "limit", "amt", "ticks"));
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foreach (var i in buys) {
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Console.WriteLine(String.Format("|{0,5}|{1,6}|{2,6}|{3,6}|{4,20}|", "BUY", i.id, i.limit, i.amount, i.ticks));
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}
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foreach (var i in sells) {
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Console.WriteLine(String.Format("|{0,5}|{1,6}|{2,6}|{3,6}|{4,20}|", "SELL", i.id, i.limit, i.amount, i.ticks));
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}
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}
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}
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}

‎Exchange/Program.cs

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namespace Exchange {
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using System;
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class Program {
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static void Main(string[] args) {
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OrderBook book = new OrderBook();
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book.SubmitOrder(Order.Type.Buy, 10, 11.12m);
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book.SubmitOrder(Order.Type.Buy, 10, 11.00m);
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book.SubmitOrder(Order.Type.Buy, 20, 10.50m);
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book.SubmitOrder(Order.Type.Buy, 1, 11.20m);
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book.SubmitOrder(Order.Type.Buy, 7, 11.15m);
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book.SubmitOrder(Order.Type.Buy, 100, 10.05m);
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book.SubmitOrder(Order.Type.Buy, 2, 11.10m);
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book.SubmitOrder(Order.Type.Sell, 10, 11.24m);
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book.SubmitOrder(Order.Type.Sell, 10, 11.30m);
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book.SubmitOrder(Order.Type.Sell, 20, 11.50m);
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book.SubmitOrder(Order.Type.Sell, 1, 11.74m);
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book.SubmitOrder(Order.Type.Sell, 7, 11.60m);
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book.SubmitOrder(Order.Type.Sell, 100, 12.05m);
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book.SubmitOrder(Order.Type.Sell, 3, 11.10m);
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bool exit = false;
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Random rnd = new Random();
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DateTime now = DateTime.Now.AddSeconds(10);
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while (!exit) {
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int rndl = rnd.Next(1120, 1125);
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int rnda = rnd.Next(1, 5);
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byte rndt = rnd.Next(0, 100) < 50 ? (byte)0 : (byte)1;
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Order.Type t = (Order.Type)rndt;
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uint a = (uint)rnda;
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decimal l = (decimal)rndl / 100m;
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book.SubmitOrder(t, a, l);
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//Thread.Sleep(1);
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//Console.Clear();
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//book.PrintOrderBooks();
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if (DateTime.Now == now)
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exit = true;
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}
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Console.WriteLine(book.trades);
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Console.ReadLine();
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}
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}
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}

‎Exchange/Properties/AssemblyInfo.cs

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using System.Reflection;
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using System.Runtime.CompilerServices;
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using System.Runtime.InteropServices;
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// General Information about an assembly is controlled through the following
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// set of attributes. Change these attribute values to modify the information
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// associated with an assembly.
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[assembly: AssemblyTitle("Exchange")]
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[assembly: AssemblyDescription("")]
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[assembly: AssemblyConfiguration("")]
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[assembly: AssemblyCompany("Microsoft")]
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[assembly: AssemblyProduct("Exchange")]
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[assembly: AssemblyCopyright("Copyright © Microsoft 2013")]
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[assembly: AssemblyTrademark("")]
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[assembly: AssemblyCulture("")]
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// Setting ComVisible to false makes the types in this assembly not visible
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// to COM components. If you need to access a type in this assembly from
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// COM, set the ComVisible attribute to true on that type.
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[assembly: ComVisible(false)]
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// The following GUID is for the ID of the typelib if this project is exposed to COM
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[assembly: Guid("f16e2b95-3b7e-4875-af85-7067c4e7cf8b")]
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// Version information for an assembly consists of the following four values:
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//
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// Major Version
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// Minor Version
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// Build Number
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// Revision
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//
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// You can specify all the values or you can default the Build and Revision Numbers
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// by using the '*' as shown below:
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// [assembly: AssemblyVersion("1.0.*")]
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[assembly: AssemblyVersion("1.0.0.0")]
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[assembly: AssemblyFileVersion("1.0.0.0")]

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