⚡ Limit Order Book Matching Engine

A high-performance limit order book simulator written in modern C++.
Implements millisecond-precision event handling, O(log n) inserts/cancels, and realistic market mechanics.
Designed for quantitative trading, backtesting, and microstructure analysis.

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🧠 Overview

This engine maintains separate bid/ask trees using std::map (red–black trees) for price levels
and std::list for FIFO queues within each level, guaranteeing deterministic ordering and
accurate time priority. The simulator supports LIMIT, MARKET, and CANCEL orders with
complete trade and depth-of-book CSV logging.

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⚙️ Build

mkdir build && cd build
cmake -DCMAKE_BUILD_TYPE=Release ..
cmake --build . -j

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▶️ Run Demo

./orderbook_cli
# writes trades.csv and depth.csv in the working directory

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🧪 Run Tests

ctest --output-on-failure

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🔥 Benchmark

./bench
# prints throughput and writes bench_depth.csv

Benchmark results (Release, Apple M3 Pro):
≈ 50 000 orders / second with >1 million total messages processed.

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🧩 Design Notes

• Price maps
  • Bids: std::map<Price, PriceLevel, Desc> (descending order).
  • Asks: std::map<Price, PriceLevel> (ascending order).
• FIFO Queues
  • std::list<Order> per price level for strict time priority.
  • O(1) cancels via id → iterator hash map.
• Integer arithmetic
  • All prices/quantities in integer ticks for exactness
    (price = 1000 ⇒ 100.0 if tick = 0.1).
• Execution rules
  • Market orders cross only; limit orders cross then rest remainder.
• Outputs
  • trades.csv — execution log.
  • depth.csv — level 2 snapshot for each event.

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📦 Repository Structure

src/
 ├── orderbook.hpp / orderbook.cpp   # Core matching logic
 ├── types.hpp                       # Price, Qty, Order structs
 ├── cli.cpp                         # Demo executable
 ├── bench.cpp                       # Benchmark tool
 └── tests/                          # GoogleTest unit tests

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🧰 Technologies

Stack	Purpose
C++17 / STL	core data structures
CMake	build system
GoogleTest	unit testing
CSV I/O	data logging for analysis

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🧑‍💻 Author

Alberto Rescigno
Durham University — MSci Computer Science & Mathematics
GitHub • LinkedIn

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⚡ “Precision and determinism are the true benchmarks of a matching engine.”

LOB-engine