Orderbook

Implementation

A limit order book implementation in modern C++ that supports GoodTillCancelled (GTC) and FillAndKill (FAK) orders. Maintains price-time priority matching with efficient order management.

Architecture

The order book uses separate maps for bid and ask sides, with price-time priority enforced through ordered containers. Core features include:

• Order matching with price-time priority
• Support for GTC and FAK orders
• Order modification and cancellation
• Market depth tracking

Implementation Details

Key components:

• std::map with custom comparators for bid/ask price ordering
• std::list for order queues ensuring iterator stability
• std::shared_ptr for automated memory management
• Price level aggregation for market data

Data Structures

• Bids: std::map<Price, OrderPointers, std::greater<Price>>
• Asks: std::map<Price, OrderPointers, std::less<Price>>
• Order tracking: std::unordered_map<OrderId, OrderEntry>

Features

• Order lifecycle management (add/modify/cancel)
• Immediate-or-cancel behavior for FAK orders
• Level-based market data access
• Automatic order queue cleanup

Usage Example

OrderPointer order = std::make_shared<Order>(
    OrderType::GoodTillCancelled,
    orderId,
    Side::Buy,
    price,
    quantity
);
orderbook.AddOrder(order);

Requirements

• C++17 or later compiler
• Standard Template Library

The implementation focuses on clean code structure while maintaining efficient order processing through careful container selection and memory management.