Order Book (C++)

A limit order book and matching engine implemented in C++20.

The order book maintains buy and sell orders, matches compatible orders using price-time priority, and generates trades when orders cross.

Features

• Buy and sell order books
• Price-time priority matching
• FIFO ordering within each price level
• Full and partial fills
• Add, cancel, and modify operations
• Multiple matches from a single order
• Aggregated price-level information
• Thread-safe order book operations
• Good-for-Day order expiry

Order Types

• GoodTillCancel — remains in the book until filled or cancelled.
• FillAndKill — immediately fills as much as possible and cancels the remaining quantity.
• FillOrKill — executes only if the entire quantity can be filled immediately.
• GoodForDay — remains active until the end of the trading day.
• Market — executes against available liquidity without requiring a limit price.

Matching

The book maintains separate price levels for bids and asks.

• Bids are ordered from highest to lowest price.
• Asks are ordered from lowest to highest price.
• Orders at the same price are stored in FIFO order.
• Orders match while the best bid price is greater than or equal to the best ask price.
• A single order can match against multiple resting orders and price levels.

Each successful match produces a Trade containing the bid and ask trade information.

Core Data Structures

bids_   -> map<Price, OrderPointers>
asks_   -> map<Price, OrderPointers>

orders_ -> unordered_map<OrderId, OrderEntry>
data_   -> unordered_map<Price, LevelData>

Each price level contains a list of orders in arrival order.

orders_ maps an order ID to the order and its position within its price level, allowing orders to be located directly for cancellation.

data_ maintains aggregated quantity and order-count information for price levels.

Public API

Trades AddOrder(OrderPointer order);
void CancelOrder(OrderId orderId);
Trades ModifyOrder(OrderModify order);

std::size_t Size() const;
OrderbookLevelInfos GetOrderInfos() const;

Build

Requires a C++20-compatible compiler.

Build the project:

make

Build and run:

make run

Remove the generated executable:

make clean

Tests

main.cpp contains tests for:

• Adding orders
• Cancelling orders
• Non-crossing orders
• Exact matches
• Partial fills
• Multiple matches
• Duplicate order IDs
• Aggregated price-level information

Run them with:

make run