CoreEngine

A low-latency limit order matching engine written in C++17. Maintains bid/ask price levels in AVL-balanced binary search trees for O(log n) insertion and O(1) matching against the best price, and supports limit, stop, and stop-limit tickets.

Structure

• Ledger — the order book itself: bid/ask trees, stop trees, and the matching logic (Ledger.hpp / Ledger.cpp).
• PriceLevel — a single price level in the book, holding a FIFO queue of tickets at that price (PriceLevel.hpp / PriceLevel.cpp).
• Ticket — a single resting order (Ticket.hpp / Ticket.cpp).
• TicketFeed — replays newline-delimited ticket commands from a file into a Ledger.
• TicketGenerator — generates random tickets for load testing.

Building

cmake -S . -B build
cmake --build build

This builds the CoreEngine executable and the CoreEngineTests GoogleTest suite (fetched automatically via CMake FetchContent).

Running

./build/CoreEngine

Reads initialOrders.txt to seed the book, then replays Orders.txt while timing the run.

Testing

ctest --test-dir build

Ticket file format

Each line is one command:

L <ticketId> <isBuySide 0|1> <quantity> <price>   add limit ticket
C <ticketId>                                      cancel limit ticket
M <ticketId> <newQuantity> <newPrice>              modify limit ticket