High-Performance Limit Order Book (LOB)

A real-time BTC-USD Order Book matching engine built in C++17. This project simulates a low-latency trading environment by processing market data updates and executing market orders with price-time priority.

🚀 Features

• Price-Time Priority: Maintains a sorted L2 book using std::map with $O(\log N)$ discovery.
• Matching Engine: Supports aggressive market orders that cross the spread and match against existing liquidity.
• Multithreaded Design: Asynchronous market data feed simulation using std::thread and std::mutex.
• Analytics: Real-time trade logging to CSV and a Python-based visualizer for post-trade analysis.

🛠 Tech Stack

• C++17: Core engine logic.
• CMake: Build system.
• nlohmann/json: JSON parsing for simulated market data.
• Python (Pandas/Matplotlib): Data visualization.

📦 How to Build & Run

1. Prerequisites: Install nlohmann-json and cmake.
2. Build:

   mkdir build && cd build
   cmake ..
   make
   

3. Run:

   ./bin/lob_simulator --config=../data/configs/default-config.json

📜 License

This project is licensed under the terms of the MIT license.