A high-performance C++ limit order book and matching engine with real-time terminal dashboard, inspired by institutional trading systems.
- FIFO Limit Order Book with O(1) order cancellation
- Matching Engine supporting LIMIT, MARKET, IOC, and FOK orders
- Latency Instrumentation with nanosecond precision timing
- ~2.8M orders/second throughput on modern hardware
Real-time TUI with comprehensive HFT metrics:
| Panel | Metrics |
|---|---|
| Order Book | Live bid/ask depth with price levels |
| Depth Histogram | Visual order book imbalance |
| Trade Tape | Streaming executions with aggressor side |
| Latency | p50, p95, p99, p99.9 (nanoseconds) |
| Microstructure | Volatility, Order/Trade Imbalance, Mid Move |
| Market Maker | Inventory, P&L, Fair Value |
JSON config files for different market conditions:
config/default.json- Normal marketconfig/volatile.json- High volatilityconfig/flash_crash.json- Panic selling
- CMake 3.16+
- C++20 compiler (MSVC 2019+, GCC 10+, Clang 12+)
mkdir build && cd build
cmake .. -DCMAKE_BUILD_TYPE=Release
cmake --build . --config Release# Terminal dashboard (default config)
./hft-ui
# With custom scenario
./hft-ui --config ../config/volatile.json
# Override duration (seconds)
./hft-ui --config ../config/flash_crash.json -d 120
# Run benchmark
./bench_matching{
"duration": 60,
"symbol": "AAPL",
"participants": [
{
"type": "MarketMaker",
"id": "MM1",
"fairValue": 150.0,
"halfSpread": 0.03,
"quoteSize": 100,
"levels": 5
},
{
"type": "NoiseTrader",
"id": "NT1",
"orderRate": 5.0,
"marketOrderPct": 0.6
}
]
}hft-simulator/
├── include/ # Headers
│ ├── order_book.hpp # Limit order book (FIFO)
│ ├── matching_engine.hpp
│ ├── market_maker.hpp
│ ├── noise_trader.hpp
│ ├── config.hpp # JSON config loading
│ └── latency.hpp # Timer & histogram
├── src/
│ ├── ui_main.cpp # Terminal dashboard
│ └── main.cpp # CLI interface
├── config/ # Scenario configs
├── test/ # Unit tests
└── benchmark/ # Performance tests
Measured on Intel Core i7:
| Metric | Value |
|---|---|
| Throughput | ~2.8M orders/sec |
| Matching Latency (p50) | ~300 ns |
| Matching Latency (p99) | ~800 ns |
MIT