Simple limit order matching system written in C++.
At the moment, the basic functionality works. There are obvious improvements to be made with respect to choosing optimal data structures - hence performance right now is pitiful. However, it was a good refresher on C++. To add:
- Faster data structures (priority queue?).
- ID field for orders
- Trade should display the IDs of both orders.
- Cancel orders by providing an ID.
- Better error handling,
- Documentation for code.
- More flexible I/O options.
- FIFO and Pro-Rata options choice.