Order Book

This project implements an Order Book system for managing buy and sell orders in a financial market. The system supports different types of orders and provides functionalities to add, cancel, and match orders.

Key Components

Enums

• OrderType: Defines the type of order.

  • GoodTillCancelled
  • FillAndKill

• Side: Defines the side of the order.

  • Buy
  • Sell

Type Aliases

• Price: Represents the price of an order.
• Quantity: Represents the quantity of an order.
• OrderId: Represents the unique identifier for an order.

Structs

• LevelInfo: Contains information about a price level.

  • price_: The price at this level.
  • quantity_: The total quantity at this level.

• TradeInfo: Contains information about a trade.

  • orderId_: The ID of the order involved in the trade.
  • price_: The price at which the trade occurred.
  • quantity_: The quantity traded.

Classes

• OrderbookLevelInfos: Holds bid and ask level information.

  • GetBids(): Returns bid levels.
  • GetAsks(): Returns ask levels.

• Order: Represents an individual order.

  • GetOrderId(): Returns the order ID.
  • GetSide(): Returns the side of the order.
  • GetPrice(): Returns the price of the order.
  • GetOrderType(): Returns the type of the order.
  • GetInitialQuantity(): Returns the initial quantity of the order.
  • GetRemainingQuantity(): Returns the remaining quantity of the order.
  • GetFilledQuantity(): Returns the filled quantity of the order.
  • IsFilled(): Checks if the order is completely filled.
  • Fill(quantity): Fills the order with the specified quantity.

• OrderModify: Represents a modification to an order.

  • GetOrderId(): Returns the order ID.
  • GetSide(): Returns the side of the order.
  • GetPrice(): Returns the price of the order.
  • GetQuantity(): Returns the quantity of the order.
  • ToOrderPointer(type): Converts to an OrderPointer.

• Trade: Represents a trade between a bid and an ask order.

  • GetBidTrade(): Returns the bid trade information.
  • GetAskTrade(): Returns the ask trade information.

• Orderbook: Manages the collection of orders and handles matching.

  • AddOrder(order): Adds a new order to the order book.
  • CancelOrder(orderId): Cancels an existing order.
  • MatchOrder(order): Matches a modified order.
  • Size(): Returns the number of orders in the order book.
  • GetOrderInfos(): Returns the bid and ask level information.

Example Usage

int main(){
    Orderbook orderbook;
    const OrderId orderId = 1;
    orderbook.AddOrder(std::make_shared<Order>(OrderType::GoodTillCancelled, orderId, Side::Buy, 100, 10));
    orderbook.CancelOrder(orderId);
    std::cout << orderbook.Size() << std::endl;
    return 0;
}

This example demonstrates how to create an order book, add an order, cancel it, and print the size of the order book.

Dependencies

• C++ Standard Library: Includes headers such as <iostream>, <map>, <vector>, etc.

Compilation

To compile the project, use a C++ compiler that supports C++17 or later. For example, using g++:

g++ -std=c++17 -o orderbook orderbook1.cpp

License

This project is licensed under the MIT License.