C++ Limit Order Book & Visualiser

A C++23 matching engine implementation featuring a real-time graphical visualiser built with Raylib.

Features 🛠

• Modern C++: Uses C++23 std::generator (coroutines), std::ranges, and std::format.
• Order Types: Supports GoodTillCancel, FillAndKill, FillOrKill, and Market orders.
• Matching Logic: Price-Time priority (FIFO) using std::map and std::list.
• Visualiser: Real-time histograms for market depth (Bids/Asks) and trade frequency.
• Analytics: Live median and quartile trade price calculation.

Technical Structure

• OrderBook: Manages two sorted maps (Bids descending, Asks ascending).
• Order Tracking: Uses an unordered_map<Uuid, list::iterator> for $O(1)$ cancellations.
• Coroutines: Uses std::generator to stream orders and trades without extra allocations.
• Quantity/Price: Dedicated classes using 64-bit integers to prevent floating-point errors.

Visualiser

The GUI (built with Raylib) displays:

1. Asks (Top): Volume distribution of sell orders.
2. Bids (Bottom): Volume distribution of buy orders.
3. Trades (Center): Histogram of execution prices.
4. Stats: Live quartile data overlay based on historical trade volume.

Building

Requirements:

• C++23 compatible compiler (GCC 13+, Clang 17+, MSVC 19.38+).
• Raylib 5.0+ installed on your system.

Commands:

mkdir build && cd build
cmake ..
cmake --build .