A simple order book simulator.

Main

main.cpp is to demo the functionality.

Compile using g++ main.cpp orderbook.cpp -std=c++17 -o main

Run using ./main

Supports limit orders, market orders, IOC orders, and FOK orders.

• To place a limit order, create an Order with a price. Fills only at prices equal to or better than the limit price, and the remaining order rests on the book.
• To place a market order, create an Order with no price. Fills at any price and doesn't rest on the book.
• To place an IOC order, create an Order with a price, and type OrderType::IOC. Fills like limit orders, but if unfilled, gets discarded like market orders.
• To place a FOK order, create an Order with a price, and type OrderType::FOK. Fills like limit orders ONLY if we can fill the whole order. Otherwise, gets discarded completely.

Logs out a list of all trades that get executed.

It logs every executed trade, with the VWAP (Volume-Weighted Average Price) shown underneath.

Benchmarking

benchmark_mixed.cpp and benchmark_insert.cpp are used as benchmark harnesses, to demo speed.

Compile using g++ benchmark_mixed.cpp orderbook.cpp -O2 -std=c++17 -o benchmark_mixed

Run using ./benchmark_mixed

Compile using g++ benchmark_insert.cpp orderbook.cpp -O2 -std=c++17 -o benchmark_insert

Run using ./benchmark_insert

benchmark_insert measures purely the add_order method for inserting orders all on one side. Insertion is O(log n) in number of price levels in std::map. easured per-order latency rises from ~120ns to ~880ns as the book scales to 10M orders — steeper than log alone, as the node-based std::map/std::list lose cache locality at scale.

benchmark_mixes measures a random mixture of order inserts and matches, representing a more realistic workload.

Tests

Unit tests use doctest.

Compile using ​g++ tests.cpp orderbook.cpp -std=c++17 -o tests

Run using ​./tests