{"id":776,"date":"2024-08-01T18:35:14","date_gmt":"2024-08-01T10:35:14","guid":{"rendered":"https:\/\/blog.alltick.co\/?p=776"},"modified":"2025-04-23T16:23:53","modified_gmt":"2025-04-23T08:23:53","slug":"order-matching-engine","status":"publish","type":"post","link":"https:\/\/blog.alltick.co\/zh-CN\/order-matching-engine\/","title":{"rendered":"\u4e00\u6587\u8bfb\u61c2\u64ae\u5408\u5f15\u64ce"},"content":{"rendered":"\n<p>\u64ae\u5408\u5f15\u64ce\u662f\u4ea4\u6613\u7cfb\u7edf\u7684\u4e00\u4e2a\u5173\u952e\u6a21\u5757\uff0c\u5b83\u7531\u591a\u4e2a\u6838\u5fc3\u7ec4\u4ef6\u7ec4\u6210\uff0c\u5305\u62ec\u64ae\u5408\u7b97\u6cd5\u3001\u6570\u636e\u7ba1\u7406\u548c\u901a\u4fe1\u63a5\u53e3\u7b49\u3002\u64ae\u5408\u5f15\u64ce\u4e13\u95e8\u7528\u4e8e\u5339\u914d\u5e02\u573a\u53c2\u4e0e\u8005\u7684\u4e70\u5356\u8ba2\u5355\uff0c\u64ae\u5408\u53cc\u65b9\u5e76\u751f\u6210\u4ea4\u6613\u8ba2\u5355\u3002\u5b83\u662f\u5168\u7403\u5e02\u573a\u9ad8\u6548\u8fd0\u4f5c\u7684\u6838\u5fc3\uff0c\u6bcf\u5929\u6709\u5927\u91cf\u6d41\u52a8\u6027\u901a\u8fc7\u5e02\u573a\u8fdb\u884c\u4ea4\u6362\uff0c\u800c\u64ae\u5408\u5f15\u64ce\u5728\u5176\u4e2d\u53d1\u6325\u4e86\u51b3\u5b9a\u6027\u4f5c\u7528\u3002\u5176\u4ed6\u4ea4\u6613\u6a21\u5757\u53ef\u4ee5\u88ab\u89c6\u4e3a\u64ae\u5408\u5f15\u64ce\u7684\u8f85\u52a9\u7cfb\u7edf\uff0c\u56e0\u4e3a\u6ca1\u6709\u64ae\u5408\u5f15\u64ce\uff0c\u5c31\u65e0\u6cd5\u5b9e\u73b0\u771f\u6b63\u610f\u4e49\u4e0a\u7684\u5e02\u573a\u4ea4\u6613\u3002\u65e0\u8bba\u60a8\u7684\u4ea4\u6613\u5e73\u53f0\u4e13\u6ce8\u4e8e\u54ea\u79cd\u8d44\u4ea7\u7c7b\u522b\uff0c<strong>\u65e0\u8bba\u662f\u5916\u6c47\u3001\u8d35\u91d1\u5c5e\u3001\u80a1\u7968\u8fd8\u662f<a href=\"https:\/\/blog.alltick.co\/what-are-cfds\/\">CFD<\/a>\uff0c\u4f60\u90fd\u9700\u8981\u4e00\u4e2a\u64ae\u5408\u5f15\u64ce\u6765\u5904\u7406\u548c\u5339\u914d\u5e02\u573a\u8ba2\u5355<\/strong>\u3002<\/p>\n\n\n\n<p>\u64ae\u5408\u7684\u6982\u5ff5\u53ef\u4ee5\u8ffd\u6eaf\u523019\u4e16\u7eaa\uff0c\u5f53\u65f6\u80a1\u7968\u4ea4\u6613\u4e3b\u8981\u4f9d\u8d56\u4eba\u5de5\u558a\u4ef7\u6765\u5339\u914d\u8ba2\u5355\uff0c<strong>\u64ae\u5408\u4e3b\u8981\u9760\u543c<\/strong>\u3002\u6bd4\u5982\u7ebd\u7ea6\u8bc1\u5238\u4ea4\u6613\u6240\uff08NYSE\uff09\uff0c\u4ea4\u6613\u5458\u4f1a\u5728\u4ea4\u6613\u5927\u5385\u5927\u58f0\u558a\u51fa\u4e70\u5356\u610f\u5411\uff0c\u7b80\u5355\u66b4\u529b\uff0c\u8fd9\u88ab\u79f0\u4e3a\u201c<strong>\u516c\u5f00\u558a\u4ef7<\/strong>\u201d\u7cfb\u7edf\u3002\u540e\u6765\u968f\u7740\u7535\u5b50\u6280\u672f\u7684\u8fdb\u6b65\uff0c\u5e02\u573a\u9010\u6e10\u4ece\u4eba\u5de5\u64ae\u5408\u8f6c\u5411\u7535\u5b50\u64ae\u5408\u30021971\u5e74\uff0c\u7f8e\u56fd\u7eb3\u65af\u8fbe\u514b\u4ea4\u6613\u6240\u7b2c\u4e00\u4e2a\u63a8\u51fa\u4e86\u7535\u5b50\u64ae\u5408\u7cfb\u7edf\uff0c\u6240\u6709\u8ba2\u5355\u5747\u7531\u7535\u8111\u5339\u914d\uff0c\u8fd9\u4e2a\u53d8\u9769\u5927\u5927\u63d0\u9ad8\u4e86\u4ea4\u6613\u6548\u7387\uff0c\u5e76\u4e3a\u540e\u6765\u7684\u64ae\u5408\u5f15\u64ce\u53d1\u5c55\u5960\u5b9a\u4e86\u57fa\u7840\u3002<\/p>\n\n\n\n<p><strong>\u3010\u63a8\u8350\u9605\u8bfb\u3011<a href=\"https:\/\/blog.alltick.co\/what-is-tick-data\/\">\u4ec0\u4e48\u662fTick\u6570\u636e\uff1f<\/a><\/strong><\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>\u64ae\u5408\u8ba2\u5355\u7684\u5904\u7406\u6d41\u7a0b<\/strong><\/h2>\n\n\n\n<figure class=\"wp-block-table\"><table class=\"has-fixed-layout\"><tbody><tr><td><strong>\u6b65\u9aa4<\/strong><\/td><td><strong>\u5904\u7406\u5185\u5bb9<\/strong><\/td><\/tr><tr><td>1. \u8ba2\u5355\u63a5\u6536<\/td><td>\u5e02\u573a\u53c2\u4e0e\u8005\u901a\u8fc7\u4ea4\u6613\u5e73\u53f0\u63d0\u4ea4\u8ba2\u5355\uff0c\u53ef\u4ee5\u662f\u4e70\u5355\u6216\u5356\u5355\u3002\u901a\u5e38\u5305\u542b\u4ef7\u683c\u3001\u6570\u91cf\u4ee5\u53ca\u8ba2\u5355\u7c7b\u578b\uff08\u5e02\u4ef7\u5355\u6216\u9650\u4ef7\u5355\uff09\u7b49\u4fe1\u606f\u3002<\/td><\/tr><tr><td>2. \u8ba2\u5355\u6392\u961f<\/td><td>\u64ae\u5408\u5f15\u64ce\u5c06\u6536\u5230\u7684\u8ba2\u5355\u6309\u7167\u9884\u5b9a\u4e49\u7684\u89c4\u5219\u8fdb\u884c\u6392\u961f\u3002\u901a\u5e38\u60c5\u51b5\u4e0b\uff0c\u8ba2\u5355\u4f1a\u6839\u636e\u5148\u8fdb\u5148\u51fa\u539f\u5219\u6392\u5217\u3002<\/td><\/tr><tr><td>3. \u8ba2\u5355\u64ae\u5408<\/td><td>\u64ae\u5408\u5f15\u64ce\u5728\u8ba2\u5355\u7c3f\u4e2d\u67e5\u627e\u4e0e\u65b0\u8ba2\u5355\u5339\u914d\u7684\u5bf9\u624b\u76d8\u3002\u5982\u679c\u8ba2\u5355\u80fd\u591f\u5339\u914d\uff08\u5373\u4e70\u5355\u4ef7\u683c\u5927\u4e8e\u7b49\u4e8e\u5356\u5355\u4ef7\u683c\uff09\uff0c\u64ae\u5408\u5f15\u64ce\u5c06\u8fd9\u4e9b\u8ba2\u5355\u8fdb\u884c\u6210\u4ea4\u5904\u7406\u3002<\/td><\/tr><tr><td>4. \u6210\u4ea4\u786e\u8ba4\u4e0e\u901a\u77e5<\/td><td>\u4e00\u65e6\u8ba2\u5355\u5339\u914d\u6210\u529f\uff0c\u64ae\u5408\u5f15\u64ce\u4f1a\u786e\u8ba4\u6210\u4ea4\u5e76\u5c06\u4ea4\u6613\u7ed3\u679c\u901a\u77e5\u7ed9\u4e70\u5356\u53cc\u65b9\u53ca\u76f8\u5173\u7684\u6e05\u7b97\u7cfb\u7edf\u3002<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u8ba2\u5355\u7c3f\u7ba1\u7406<\/strong><\/h3>\n\n\n\n<p>\u8ba2\u5355\u7c3f\u662f\u64ae\u5408\u5f15\u64ce\u7684\u6838\u5fc3\u7ec4\u6210\u90e8\u5206\uff0c\u8bb0\u5f55\u4e86\u5f53\u524d\u5e02\u573a\u4e2d\u6240\u6709\u672a\u6210\u4ea4\u7684\u9650\u4ef7\u8ba2\u5355\u3002\u8ba2\u5355\u7c3f\u901a\u5e38\u5206\u4e3a\u4e70\u5355\u7c3f\u548c\u5356\u5355\u7c3f\uff0c\u6309\u7167\u4ef7\u683c\u548c\u65f6\u95f4\u4f18\u5148\u7ea7\u6392\u5e8f\u3002<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>\u4e70\u5355\u7c3f<\/strong>\uff1a\u6309\u7167\u51fa\u4ef7\u4ece\u9ad8\u5230\u4f4e\u6392\u5e8f\uff0c\u4f18\u5148\u5904\u7406\u51fa\u4ef7\u6700\u9ad8\u7684\u4e70\u5355\u3002<\/li>\n\n\n\n<li><strong>\u5356\u5355\u7c3f<\/strong>\uff1a\u4e0e\u4e70\u5355\u7c3f\u76f8\u53cd\uff0c\u6839\u636e\u51fa\u4ef7\u4ece\u4f4e\u5f80\u9ad8\u6392\uff0c\u51fa\u4ef7\u4f4e\u7684\u5356\u5355\u4f1a\u4f18\u5148\u88ab\u5904\u7406\u3002<\/li>\n<\/ul>\n\n\n\n<p>\u8ba2\u5355\u7c3f\u7684\u7ba1\u7406\u662f\u786e\u4fdd\u5e02\u573a\u6d41\u52a8\u6027\u548c\u4ef7\u683c\u53d1\u73b0\u8fc7\u7a0b\u7684\u5173\u952e\u56e0\u7d20\u3002\u64ae\u5408\u5f15\u64ce\u9700\u8981\u5b9e\u65f6\u66f4\u65b0\u8ba2\u5355\u7c3f\uff0c\u53cd\u6620\u5e02\u573a\u52a8\u6001\u53d8\u5316\u3002<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u5e02\u4ef7\u5355\u4e0e\u9650\u4ef7\u5355\u7684\u64ae\u5408\u673a\u5236<\/strong><\/h3>\n\n\n\n<p><strong>\u5e02\u4ef7\u5355\uff08Market Order\uff09<\/strong>\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>\u4ee5\u5e02\u573a\u5f53\u524d\u4ef7\u683c\u7acb\u5373\u6210\u4ea4\u7684\u8ba2\u5355\uff0c\u4e00\u822c\u4f1a\u4f18\u5148\u5339\u914d\u8ba2\u5355\u7c3f\u4e2d\u5f53\u524d\u6700\u4f18\u7684\u5bf9\u624b\u8ba2\u5355\u3002<\/li>\n\n\n\n<li>\u5e02\u4ef7\u5355\u5728\u64ae\u5408\u8fc7\u7a0b\u4e2d\u4e0d\u5173\u6ce8\u4ef7\u683c\uff0c\u53ea\u5173\u6ce8\u4ea4\u6613\u7684\u901f\u5ea6\u548c\u6210\u4ea4\u7684\u786e\u5b9a\u6027\uff0c\u5728\u6d41\u52a8\u6027\u4e0d\u8db3\u65f6\u53ef\u80fd\u4f1a\u5bfc\u81f4\u6ed1\u70b9\u3002<\/li>\n<\/ul>\n\n\n\n<p><\/p>\n\n\n\n<p><strong>\u9650\u4ef7\u5355\uff08Limit Order\uff09<\/strong>\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>\u4ee5\u6307\u5b9a\u4ef7\u683c\u6210\u4ea4\u7684\u8ba2\u5355\uff0c\u53ea\u6709\u5728\u5e02\u573a\u4ef7\u683c\u8fbe\u5230\u6216\u4f18\u4e8e\u5ba2\u6237\u6307\u5b9a\u4ef7\u683c\u65f6\u624d\u4f1a\u6210\u4ea4\u3002\u9650\u4ef7\u5355\u4f1a\u8fdb\u5165\u8ba2\u5355\u7c3f\uff0c\u5e76\u6309\u7167\u4ef7\u683c\u548c\u65f6\u95f4\u4f18\u5148\u7ea7\u6392\u961f\u3002<\/li>\n\n\n\n<li>\u9650\u4ef7\u5355\u5728\u64ae\u5408\u8fc7\u7a0b\u4e2d\u786e\u4fdd\u4e86\u4ef7\u683c\uff0c\u4f46\u4e0d\u4e00\u5b9a\u80fd\u591f\u6210\u4ea4\u3002<\/li>\n<\/ul>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>\u64ae\u5408\u7b97\u6cd5\u4ee3\u7801\u793a\u4f8b<\/strong><\/h2>\n\n\n\n<p>\u4e0b\u9762\u5c06\u4ecb\u7ecd\u4e09\u79cd\u4e3b\u6d41\u7684\u64ae\u5408\u7b97\u6cd5\uff0c\u5e76\u9644\u4e0a\u4ee3\u7801\u793a\u4f8b\uff0c\u5e0c\u671b\u5bf9\u5927\u5bb6\u6709\u5e2e\u52a9\u3002<\/p>\n\n\n\n<h4 class=\"wp-block-heading\"><strong>\u4ef7\u683c-\u65f6\u95f4\u4f18\u5148\u7b97\u6cd5<\/strong><\/h4>\n\n\n\n<p>\u4e5f\u88ab\u79f0\u4e3a\u201c\u5148\u8fdb\u5148\u51fa\u201d\uff08FIFO\uff09\uff0c\u662f\u6700\u5e38\u89c1\u7684\u64ae\u5408\u673a\u5236\u3002\u8ba2\u5355\u6839\u636e\u4ef7\u683c\u4f18\u5148\u7ea7\u548c\u65f6\u95f4\u4f18\u5148\u7ea7\u6392\u5e8f\u3002\u4ef7\u683c\u8f83\u9ad8\u7684\u4e70\u5355\u548c\u4ef7\u683c\u8f83\u4f4e\u7684\u5356\u5355\u4f18\u5148\u6210\u4ea4\uff1b\u5982\u679c\u4ef7\u683c\u76f8\u540c\uff0c\u5219\u8f83\u65e9\u63d0\u4ea4\u7684\u8ba2\u5355\u4f18\u5148\u6210\u4ea4\u3002<\/p>\n\n\n\n<pre class=\"EnlighterJSRAW\" data-enlighter-language=\"python\" data-enlighter-theme=\"\" data-enlighter-highlight=\"\" data-enlighter-linenumbers=\"\" data-enlighter-lineoffset=\"\" data-enlighter-title=\"\" data-enlighter-group=\"\">import heapq\n\nclass Order:\n    def __init__(self, order_id, order_type, price, quantity):\n        self.order_id = order_id\n        self.order_type = order_type  # 'buy' or 'sell'\n        self.price = price\n        self.quantity = quantity\n        self.timestamp = None\n\n    def __lt__(self, other):\n        if self.order_type == 'buy':\n            # For buy orders, higher prices have priority; if prices are equal, earlier orders have priority\n            return (self.price, -self.timestamp) > (other.price, -other.timestamp)\n        else:\n            # For sell orders, lower prices have priority; if prices are equal, earlier orders have priority\n            return (self.price, self.timestamp) &lt; (other.price, other.timestamp)\n\nclass OrderBook:\n    def __init__(self):\n        self.buy_orders = []  # Max-heap for buy orders (negative prices for max-heap)\n        self.sell_orders = []  # Min-heap for sell orders\n        self.timestamp_counter = 0\n\n    def add_order(self, order):\n        order.timestamp = self.timestamp_counter\n        self.timestamp_counter += 1\n\n        if order.order_type == 'buy':\n            heapq.heappush(self.buy_orders, order)\n        else:\n            heapq.heappush(self.sell_orders, order)\n\n    def match_orders(self):\n        matches = []\n\n        while self.buy_orders and self.sell_orders:\n            highest_buy_order = self.buy_orders[0]\n            lowest_sell_order = self.sell_orders[0]\n\n            if highest_buy_order.price >= lowest_sell_order.price:\n                quantity_to_trade = min(highest_buy_order.quantity, lowest_sell_order.quantity)\n                matches.append((highest_buy_order.order_id, lowest_sell_order.order_id, quantity_to_trade))\n\n                highest_buy_order.quantity -= quantity_to_trade\n                lowest_sell_order.quantity -= quantity_to_trade\n\n                if highest_buy_order.quantity == 0:\n                    heapq.heappop(self.buy_orders)\n                if lowest_sell_order.quantity == 0:\n                    heapq.heappop(self.sell_orders)\n            else:\n                break\n\n        return matches\n\n# Example usage\norder_book = OrderBook()\n\n# Add some buy and sell orders\norder_book.add_order(Order(1, 'buy', 101, 10))\norder_book.add_order(Order(2, 'buy', 102, 5))\norder_book.add_order(Order(3, 'sell', 100, 8))\norder_book.add_order(Order(4, 'sell', 99, 10))\n\n# Match orders\nmatches = order_book.match_orders()\n\nfor match in matches:\n    print(f\"Matched Buy Order {match[0]} with Sell Order {match[1]} for {match[2]} units\")\n<\/pre>\n\n\n\n<h4 class=\"wp-block-heading\"><strong>\u6bd4\u4f8b\u5206\u914d\u7b97\u6cd5<\/strong><\/h4>\n\n\n\n<p>\u5728\u6b64\u7b97\u6cd5\u4e2d\uff0c\u8ba2\u5355\u662f\u6839\u636e\u5176\u6570\u91cf\u5728\u540c\u4e00\u4ef7\u683c\u6c34\u5e73\u4e0a\u6309\u6bd4\u4f8b\u5339\u914d\u3002\u7b80\u5355\u6765\u8bf4\uff0c\u5927\u5355\u6bd4\u5c0f\u5355\u66f4\u5bb9\u6613\u6210\u4ea4\u3002\u8fd9\u79cd\u7b97\u6cd5\u5728\u671f\u8d27\u5e02\u573a\u6bd4\u8f83\u5e38\u89c1\u3002\u4e0a\u4ee3\u7801\uff1a<\/p>\n\n\n\n<pre class=\"EnlighterJSRAW\" data-enlighter-language=\"generic\" data-enlighter-theme=\"\" data-enlighter-highlight=\"\" data-enlighter-linenumbers=\"\" data-enlighter-lineoffset=\"\" data-enlighter-title=\"\" data-enlighter-group=\"\">import heapq\nfrom collections import defaultdict\n\nclass Order:\n    def __init__(self, order_id, order_type, price, quantity):\n        self.order_id = order_id\n        self.order_type = order_type  # 'buy' or 'sell'\n        self.price = price\n        self.quantity = quantity\n        self.timestamp = None\n\nclass OrderBook:\n    def __init__(self):\n        self.buy_orders = defaultdict(list)  # Buy orders grouped by price\n        self.sell_orders = defaultdict(list)  # Sell orders grouped by price\n        self.timestamp_counter = 0\n\n    def add_order(self, order):\n        order.timestamp = self.timestamp_counter\n        self.timestamp_counter += 1\n\n        if order.order_type == 'buy':\n            self.buy_orders[order.price].append(order)\n        else:\n            self.sell_orders[order.price].append(order)\n\n    def match_orders(self):\n        matches = []\n\n        # Sort buy and sell prices\n        buy_prices = sorted(self.buy_orders.keys(), reverse=True)\n        sell_prices = sorted(self.sell_orders.keys())\n\n        while buy_prices and sell_prices:\n            highest_buy_price = buy_prices[0]\n            lowest_sell_price = sell_prices[0]\n\n            if highest_buy_price >= lowest_sell_price:\n                buy_orders_at_price = self.buy_orders[highest_buy_price]\n                sell_orders_at_price = self.sell_orders[lowest_sell_price]\n\n                # Calculate total buy and sell quantities at this price\n                total_buy_quantity = sum(order.quantity for order in buy_orders_at_price)\n                total_sell_quantity = sum(order.quantity for order in sell_orders_at_price)\n\n                # Determine the amount to trade based on the smaller side\n                quantity_to_trade = min(total_buy_quantity, total_sell_quantity)\n\n                # Pro-rata allocation for buy and sell orders\n                for order in buy_orders_at_price:\n                    proportion = order.quantity \/ total_buy_quantity\n                    traded_quantity = quantity_to_trade * proportion\n                    matches.append((order.order_id, lowest_sell_price, traded_quantity))\n                    order.quantity -= traded_quantity\n\n                for order in sell_orders_at_price:\n                    proportion = order.quantity \/ total_sell_quantity\n                    traded_quantity = quantity_to_trade * proportion\n                    matches.append((order.order_id, highest_buy_price, traded_quantity))\n                    order.quantity -= traded_quantity\n\n                # Remove fully matched orders\n                self.buy_orders[highest_buy_price] = [o for o in buy_orders_at_price if o.quantity > 0]\n                self.sell_orders[lowest_sell_price] = [o for o in sell_orders_at_price if o.quantity > 0]\n\n                if not self.buy_orders[highest_buy_price]:\n                    del self.buy_orders[highest_buy_price]\n                    buy_prices.pop(0)\n\n                if not self.sell_orders[lowest_sell_price]:\n                    del self.sell_orders[lowest_sell_price]\n                    sell_prices.pop(0)\n            else:\n                break\n\n        return matches\n\n# Example usage\norder_book = OrderBook()\n\n# Add some buy and sell orders\norder_book.add_order(Order(1, 'buy', 100, 10))\norder_book.add_order(Order(2, 'buy', 100, 20))\norder_book.add_order(Order(3, 'sell', 100, 15))\norder_book.add_order(Order(4, 'sell', 100, 5))\n\n# Match orders\nmatches = order_book.match_orders()\n\nfor match in matches:\n    print(f\"Order {match[0]} matched at price {match[1]} for {match[2]:.2f} units\")\n<\/pre>\n\n\n\n<h4 class=\"wp-block-heading\"><strong>\u6df7\u5408\u4f18\u5148\u7b97\u6cd5<\/strong><\/h4>\n\n\n\n<p>\u8fd9\u79cd\u7b97\u6cd5\u7ed3\u5408\u4e86\u524d\u9762\u4e24\u79cd\u7684\u5143\u7d20\uff0c\u4ee5\u5b9e\u73b0\u5e73\u8861\u7684\u64ae\u5408\u6548\u679c\u3002\u5b83\u53ef\u4ee5\u6839\u636e\u5e02\u573a\u9700\u6c42\u52a8\u6001\u8c03\u6574\u4e0d\u540c\u4f18\u5148\u7ea7\u4e4b\u95f4\u7684\u6743\u91cd\uff0c\u7075\u6d3b\u6027\u8f83\u9ad8\u3002<\/p>\n\n\n\n<pre class=\"EnlighterJSRAW\" data-enlighter-language=\"generic\" data-enlighter-theme=\"\" data-enlighter-highlight=\"\" data-enlighter-linenumbers=\"\" data-enlighter-lineoffset=\"\" data-enlighter-title=\"\" data-enlighter-group=\"\">import heapq\nfrom collections import defaultdict\n\nclass Order:\n    def __init__(self, order_id, order_type, price, quantity):\n        self.order_id = order_id\n        self.order_type = order_type  # 'buy' or 'sell'\n        self.price = price\n        self.quantity = quantity\n        self.timestamp = None\n\n    def __lt__(self, other):\n        return self.timestamp &lt; other.timestamp\n\nclass OrderBook:\n    def __init__(self):\n        self.buy_orders = defaultdict(list)  # Buy orders grouped by price\n        self.sell_orders = defaultdict(list)  # Sell orders grouped by price\n        self.timestamp_counter = 0\n\n    def add_order(self, order):\n        order.timestamp = self.timestamp_counter\n        self.timestamp_counter += 1\n\n        if order.order_type == 'buy':\n            heapq.heappush(self.buy_orders[order.price], order)\n        else:\n            heapq.heappush(self.sell_orders[order.price], order)\n\n    def match_orders(self):\n        matches = []\n\n        # Sort buy and sell prices\n        buy_prices = sorted(self.buy_orders.keys(), reverse=True)\n        sell_prices = sorted(self.sell_orders.keys())\n\n        while buy_prices and sell_prices:\n            highest_buy_price = buy_prices[0]\n            lowest_sell_price = sell_prices[0]\n\n            if highest_buy_price >= lowest_sell_price:\n                buy_orders_at_price = self.buy_orders[highest_buy_price]\n                sell_orders_at_price = self.sell_orders[lowest_sell_price]\n\n                # Calculate total buy and sell quantities at this price\n                total_buy_quantity = sum(order.quantity for order in buy_orders_at_price)\n                total_sell_quantity = sum(order.quantity for order in sell_orders_at_price)\n\n                # Determine the amount to trade based on the smaller side\n                quantity_to_trade = min(total_buy_quantity, total_sell_quantity)\n\n                # Priority based matching and then pro-rata allocation\n                while quantity_to_trade > 0 and buy_orders_at_price and sell_orders_at_price:\n                    buy_order = buy_orders_at_price[0]\n                    sell_order = sell_orders_at_price[0]\n\n                    if buy_order.quantity &lt;= sell_order.quantity:\n                        matches.append((buy_order.order_id, sell_order.order_id, buy_order.quantity))\n                        sell_order.quantity -= buy_order.quantity\n                        quantity_to_trade -= buy_order.quantity\n                        heapq.heappop(buy_orders_at_price)\n                        if sell_order.quantity == 0:\n                            heapq.heappop(sell_orders_at_price)\n                    else:\n                        matches.append((buy_order.order_id, sell_order.order_id, sell_order.quantity))\n                        buy_order.quantity -= sell_order.quantity\n                        quantity_to_trade -= sell_order.quantity\n                        heapq.heappop(sell_orders_at_price)\n                        if buy_order.quantity == 0:\n                            heapq.heappop(buy_orders_at_price)\n\n                # Remove empty price levels\n                if not buy_orders_at_price:\n                    del self.buy_orders[highest_buy_price]\n                    buy_prices.pop(0)\n\n                if not sell_orders_at_price:\n                    del self.sell_orders[lowest_sell_price]\n                    sell_prices.pop(0)\n\n            else:\n                break\n\n        return matches\n\n# Example usage\norder_book = OrderBook()\n\n# Add some buy and sell orders\norder_book.add_order(Order(1, 'buy', 100, 15))\norder_book.add_order(Order(2, 'buy', 100, 25))\norder_book.add_order(Order(3, 'sell', 100, 30))\norder_book.add_order(Order(4, 'sell', 100, 10))\n\n# Match orders\nmatches = order_book.match_orders()\n\nfor match in matches:\n    print(f\"Buy Order {match[0]} matched with Sell Order {match[1]} for {match[2]:.2f} units\")\n<\/pre>\n","protected":false},"excerpt":{"rendered":"<p>\u64ae\u5408\u5f15\u64ce\u662f\u4ea4\u6613\u7cfb\u7edf\u7684\u4e00\u4e2a\u5173\u952e\u6a21\u5757\uff0c\u5b83\u7531\u591a\u4e2a\u6838\u5fc3\u7ec4\u4ef6\u7ec4\u6210\uff0c\u5305\u62ec\u64ae\u5408\u7b97\u6cd5\u3001\u6570\u636e\u7ba1\u7406\u548c\u901a\u4fe1\u63a5\u53e3\u7b49\u3002\u64ae\u5408\u5f15\u64ce\u4e13\u95e8\u7528\u4e8e\u5339&#8230;<\/p>\n","protected":false},"author":1,"featured_media":784,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[8],"tags":[],"class_list":["post-776","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-tick-data-wiki"],"acf":[],"_links":{"self":[{"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/posts\/776","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/comments?post=776"}],"version-history":[{"count":12,"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/posts\/776\/revisions"}],"predecessor-version":[{"id":802,"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/posts\/776\/revisions\/802"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/media\/784"}],"wp:attachment":[{"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/media?parent=776"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/categories?post=776"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/tags?post=776"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}