Orderbook-cpp

A C++ order book that speaks ITCH 5.0 over MoldUDP64.

This is a golden model — a software reference for logic that is eventually meant to be implemented in RTL. The style reflects that constraint, not a design preference.

Architecture

• Flat structs, free functions — no classes, no inheritance, no virtual dispatch.
• No dynamic allocation — fixed-size arrays, sized at compile time (32 orders/side).
• ITCH 5.0 parsing — Add, Delete, Replace, Execute, decoded from raw big-endian bytes.
• MoldUDP64 de-framing — unpacks a packet into its constituent ITCH messages before dispatch.
• Bounded book with eviction — when a side is full, an incoming Add evicts the worst resting order only if it's more competitive; otherwise it's discarded. Ties are broken FCFS (existing order keeps its place).
• Warnings-as-errors — every target builds with /W4 /WX (MSVC) or -Wall -Wextra -Werror.

Components

File	Purpose
src/main.cpp	Reads a MoldUDP64 binary file, de-frames it, dispatches each ITCH message against the order book
src/itchparser.cpp	ITCH 5.0 message parsers
src/moldudp64.cpp	MoldUDP64 packet de-framing
src/orderbook.cpp	Order book state and mutation logic (Add/Cancel/Replace/Execute, eviction, discard)
src/trace.cpp	Per-message trace logging (trace.txt) — book state after every mutation
test/gen_test.cpp	Generates stress_test.mold, a 42-message deterministic MoldUDP64 feed exercising eviction, discard, tie-break, cancel, replace, and independent bid/ask sides

Building

cmake --preset x64-debug
cmake --build --preset x64-debug

Run against a MoldUDP64 binary file:

./Orderbook-cpp.exe path/to/feed.mold

Generate and run the stress test feed:

./gen_test.exe                        # produces stress_test.mold
./Orderbook-cpp.exe stress_test.mold  # -> trace.txt

License

MIT

Author

Devanandan J