Limit Order Book Python Packages

hftbacktest

Free, open source, a high frequency trading and market making backtesting and trading bot, which accounts for limit orders, queue positions, and latencies, utilizing full tick data for trades and order books(Level-2 and Level-3), with real-world crypto trading examples for Binance and Bybit

bourse

Rust Market Simulation Library with a Python API

cleolob

Research-grade limit order book and market microstructure laboratory for simulation, historical L2 validation, execution algorithms, reinforcement learning, and quantitative research.

ordersim

Inspectable execution simulator for order-book replay and latency-aware fill simulation

obook

A fast, embeddable limit-order-book & matching engine in Go — plus a microstructure research harness and a WASM-powered animated explainer. MIT.

meatpy

MeatPy

pyorderbook

Python Limit Order Book written in Rust

limit-order-book

A C++ and Python implementation of the limit order book.

crobat

Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.