Python-based Labs (/python_labs)

limit_order_book.py

Single-venue limit order book with price–time priority.

Features implemented:

• Limit orders (buy/sell) with FIFO matching at each price
• Market orders that sweep the book and never rest
• Partial fills and automatic removal of filled orders
• Order cancellation by ID
• Order quantity modification (decrease-only)
• Best bid and best ask access
• Trade tape recording executed trades
• L2 depth aggregation (price levels)
• Sweep VWAP calculation from current book
• VWMA (volume-weighted moving average) over last N trades
• Deterministic ordering using timestamps

---

multi_venue_book.py

Multi-venue order book aggregation built on top of single-venue books.

Features implemented:

• Multiple exchange support (e.g. Binance, Crypto.com)
• Per-venue best bid / best ask
• Per-venue liquidity statistics
• NBBO (National Best Bid and Offer) across venues
• Smart order routing with cross-venue sweep VWAP
• Per-venue fill attribution
• Consolidated L2 depth across all venues

These components model realistic multi-exchange market data and routing behavior used in electronic trading systems. :contentReference[oaicite:0]{index=0}