Orderbook Data Structure

This project implements an orderbook data structure in C++. An orderbook is a critical component of financial markets, used to manage and match buy and sell orders efficiently.

Overview

The project consists of several key components:

• Orderbook: The main class representing the orderbook. It manages buy and sell orders and matches them based on price-time priority.

• Order: Represents an individual order with attributes such as order type, side (buy/sell), price, and quantity.

• Order Modify: Handles modifications to existing orders, such as price or quantity adjustments.

• Trade: Represents a trade executed between a buy and sell order.

• Google Tests: The project includes tests implemented using Google Test framework to ensure correctness and reliability.

Usage

To use the orderbook, you can create an instance of the Orderbook class and interact with it by adding, canceling, or modifying orders. Here's a simple example:

Orderbook orderbook;

// Add a buy order
const OrderId orderId = 1;
orderbook.addOrder(std::make_shared<Order>(OrderType::GoodTillCancel, orderId, Side::Buy, 100, 10));

// Check the size of the orderbook
std::cout << "Orderbook size: " << orderbook.Size() << std::endl;

// Cancel the order
orderbook.CancelOrder(orderId);

// Check the size again
std::cout << "Orderbook size after cancellation: " << orderbook.Size() << std::endl;

Order Types

The project supports various order types including:

• Good Till Cancel: The order remains active until filled, canceled, or expires.
• Fill and Kill: The order is filled as much as possible, and any remaining quantity is canceled immediately.
• Market Order: Filled at the best available price.
• Good For Day: Similar to Good Till Cancel, but automatically canceled at the end of the trading day.
• Fill or Kill: Must be filled immediately and entirely or canceled.

Dependencies

The project relies on standard C++ libraries and includes Google Test framework for testing purposes.

Testing

The project includes comprehensive unit tests implemented using Google Test framework to ensure correctness and reliability. To run the tests, you can run the following file:

test.cpp

Contributing

Contributions are welcome! Feel free to open issues or pull requests for any improvements or bug fixes.

License

This project is licensed under the MIT License - see the LICENSE file for details.

---

Feel free to customize this README further to provide more detailed information about your project's features, usage, or any other relevant details.