CLOB-Based Perpetual Futures DEX

High-performance Central Limit Order Book (CLOB) implementation in Rust, designed for perpetual futures DEX infrastructure.

Architecture

This is a CLOB-based perpetual futures DEX where all trading occurs through a central limit order book with transparent price discovery and fair order matching. Unlike AMM-based DEXs, this provides:

• Full order book depth visibility
• Transparent price discovery through limit orders
• No slippage beyond the order book spread
• Fair price-time priority matching
• No MEV from sandwich attacks

Quick Start

# Run CLOB TUI visualization
cargo run --bin imlob

# Run perpetual futures DEX demo
cargo run --bin perps_demo

# Run simple CLOB demo
cargo run --bin demo

# Run benchmarks
cargo bench

Core CLOB Engine

Features

• Central Limit Order Book with full depth transparency
• Price-time priority (FIFO) matching algorithm
• Partial fill support for large orders
• Sub-microsecond execution latency
• No off-chain order flow or dark pools

API

place_order(side: Side, price: Decimal, quantity: Decimal, id: u64) -> Result<Vec<Trade>>
best_buy() -> Option<(Decimal, Decimal)>
best_sell() -> Option<(Decimal, Decimal)>

Performance

• 7M+ orders/second throughput (with Decimal precision)
• 11M+ matches/second matching
• 181M+ queries/second for best price lookups
• Sub-microsecond execution latency

CLOB Visualization (TUI)

• Real-time order book depth with buy/sell walls
• Price-level aggregation with volume bars
• Live price chart tracking mid-market
• Trade execution feed
• Latency metrics (execution & data feed)
• Market scenarios simulation

Controls

• Space - Pause/Resume
• +/- - Adjust speed
• Q - Quit

Perpetual Futures DEX Layer

Built on top of the CLOB engine, the perpetual futures layer adds derivatives trading capabilities while maintaining the transparent, fair matching of the underlying order book.

Key Components

CLOB Integration

• All orders go through the central limit order book
• No synthetic liquidity or virtual AMM
• Real order depth from actual limit orders
• Transparent price discovery

Funding Rate Mechanism

• Calculated from order book premium vs oracle price
• Periodic payments between longs and shorts
• Anchors perpetual price to spot market
• Based on actual CLOB trading activity

Mark Price

• Derived from CLOB fair price and oracle
• Prevents manipulation and cascade liquidations
• Formula: Index Price + EMA(CLOB_Fair_Price - Index Price)
• Used for PnL and liquidations

Oracle Integration

• External spot price feeds
• Index price with confidence intervals
• Provides reference for funding rates
• Independent from CLOB trading

Leverage Trading

• Up to 100x leverage
• Initial margin: 1%
• Maintenance margin: 0.5%
• Automatic liquidation when margin depleted
• Liquidations executed through CLOB

Position Management

• Long/short position tracking
• Real-time PnL calculation
• Margin ratio monitoring
• Health indicators
• All trades matched through CLOB

Fee Structure

• Maker rebate: -0.01% (incentivizes liquidity)
• Taker fee: 0.05%
• Liquidation penalty: 0.3%
• Fees encourage CLOB liquidity provision

Insurance Fund

• Backstop for underwater positions
• Funded by liquidation fees
• Protects against socialized losses
• Maintains CLOB integrity

Data Structures

Position {
    trader_id: u64,
    side: PositionSide,
    size: u64,
    entry_price: f64,      // CLOB execution price
    margin: u64,
    leverage: f64,
    unrealized_pnl: f64,   // Based on mark price
    liquidation_price: f64,
}

FundingRate {
    rate: f64,
    premium_index: f64,    // CLOB price vs Oracle
    long_open_interest: u64,
    short_open_interest: u64,
}

MarkPrice {
    price: f64,
    fair_price: f64,       // From CLOB mid-market
    index_price: f64,      // From oracle
    funding_basis: f64,    // EMA of premium
}

Technical Implementation

CLOB Data Structure

• BTreeMap for O(log n) price level operations
• VecDeque for O(1) FIFO order matching at each level
• Custom BuyPrice wrapper for bid-side ordering
• Efficient order cancellation and modification

Optimizations

• Inline hints for hot paths
• Zero-copy matching engine
• Lock-free price updates
• Pre-allocated order pools

Testing

cargo test

Comprehensive test coverage:

• CLOB matching logic
• Price-time priority enforcement
• Partial fill scenarios
• Cross-spread matching
• Liquidation triggers
• Funding rate calculations

Use Cases

• Decentralized Perpetual Futures Exchange
• On-chain CLOB DEX
• High-frequency trading systems
• Market making on DEX
• Transparent price discovery
• Fair order matching without MEV
• Trading simulations and backtesting

Dependencies

• rust_decimal - High-precision decimal arithmetic for financial calculations
• ratatui - Terminal UI for CLOB visualization
• crossterm - Cross-platform terminal control
• rand - Market simulation
• thiserror - Error handling

License

MIT