This is a C++ implementation of the Alpha Engine outlined in:
The Alpha Engine: Designing an Automated Trading Algorithm Golub, Anton and Glattfelder, James B. and Olsen, Richard B. High Performance Computing in Finance Chapman & Hall/CRC Series in Mathematical Finance 2017
The code produced by the authors could be found here: https://github.com/AntonVonGolub/Code
Vladimir Petrov provides an adaptation of the Alpha Engine using limit orders: https://github.com/VladUZH/AlphaEngine
The algorithm in this repository introduces a number of changes yet follows the objective of using limit orders rather than market orders for trading