PyLOB

What it is

An in-memory limit order book simulation for exploring automated trading strategies offline. Operating standard price-time priority, it handles market and limit orders with add, cancel and modify actions, matching trades at the resting order's price under a zero-latency assumption. Researchers working with Level 2 market data can attach an optional SQLite sink to record events, trades, balances and commissions for later querying, and orders report their own status via attributes like fulfilled and remaining. The chief simplification is zero latency—every trader reacts before the next quote arrives—so it models an idealized single-layer exchange rather than realistic market conditions.