LOB-Core | High-Performance Matching Engine in C++20

A Limit Order Book is the core matching engine behind every stock exchange — it pairs buyers and sellers in real time based on price and arrival order. This implementation prioritizes the two operations that matter most in HFT: fast insertions and near-instant cancellations.

A fast, memory-efficient Limit Order Book (LOB) implementation designed for high-frequency trading (HFT) scenarios. This project focuses on minimizing latency in order cancellation and providing trading analytics.

🚀 Key Technical Features

• Price-Time Priority: Orders are matched based on the best available price and the sequence in which they were received.
• $O(1)$ Cancellation (Lazy Deletion): Implements an optimized cancellation pattern using std::unordered_set. By marking orders as canceled rather than removing them from the middle of a heap, the engine maintains constant-time cancellation complexity.
• Efficient Matching Logic: Uses custom-comparatored std::priority_queue (Max-Heap for Bids, Min-Heap for Asks) to achieve $O(\log n)$ insertion and $O(1)$ access to the best prices.
• VWAP Analytics: Calculation of the Volume Weighted Average Price to provide session performance benchmarks.

📊 Performance Metrics

The engine is designed to handle aggressive "market sweeps" and partial fills efficiently. Every trade is recorded in a dedicated audit trail, allowing for detailed session summaries:

• Total Traded Volume
• Trade Count
• VWAP Calculation: $$VWAP = \frac{\sum (Price \times Quantity)}{\sum Quantity}$$

🛠 Tech Stack & Concepts

• Language: Modern C++20 (using concepts like enum class and std::unordered_set::contains).

• Data Structures: Heaps (Priority Queues), Hash Sets, Vectors.

• Design Patterns: Lazy Deletion, Decoupled Header/Implementation.

• Build System: CMake.

  📟 Sample Output

--- Phase 1: Building Liquidity ---
[ENTRY] ID:101 BUY  50 @ 100.5
[ENTRY] ID:102 BUY  30 @ 100.4
[ENTRY] ID:103 SELL 40 @ 101.2
[ENTRY] ID:104 SELL 25 @ 101.5
--- Phase 2: Testing Cancel (ID 103: SELL 40 @ 101.2) ---
[SYSTEM] Order 103 Canceled.
--- Phase 3: Aggressive BUY (Should skip canceled 103) ---
[ENTRY] ID:105 BUY  40 @ 102
   >>> [TRADE] Executed 25 units @ 101.5
--- Phase 4: Final Liquidity Check ---
Best Bid: 102.000000
Best Ask: No asks remaining
========================================
       TRADING SESSION SUMMARY
========================================
Total Trades Executed: 1
Total Volume Traded:   25 units
VWAP (Average Price):  101.5
Closing Price:         101.5
========================================

📂 Project Structure

• include/: Header files with Doxygen-style documentation (@brief, @param).
• src/: Core implementation of the matching engine and execution logic.
• main.cpp: Stress-testing suite including order injection and cancellation tests.

⚙️ Build and Run

To build the project, ensure you have a C++20 compatible compiler and CMake installed:

mkdir build && cd build
cmake ..
make
./LOB_Core