Order Book Simulator

A high-performance order book matching engine implementation in C++, designed to efficiently process and match buy/sell orders across multiple stock tickers.

Overview

This project implements a complete trading order book system with the following features:

• Multi-ticker order books: Maintains separate order books for each stock ticker
• Buy/Sell order matching: Implements price-time priority matching algorithm
• Order cancellation: Supports cancelling orders by order ID
• High-performance data structures: Uses AVL trees and object pools for efficient memory management
• Performance metrics: Tracks timing statistics for order insertion, matching, and cancellation

Project Structure

orderbook-simulator/
├── core_code/
│   ├── engine.h/cpp         
│   ├── orderbook.h/cpp       
│   ├── order.h               
│   └── pricelevel.h          
├── data_structures/
│   ├── avltree.h             
│   └── vector_object_pool.h  
├── data_handling/
│   ├── types.h               
│   ├── constants.h           
│   └── logger.h              
├── main.cpp                  
├── data.csv                  
└── README.md                 

Input Format

The program accepts a CSV file with the following format:

BUY,<TICKER>,<PRICE>,<QUANTITY>
SELL,<TICKER>,<PRICE>,<QUANTITY>
CANCEL,<TICKER>,<ORDER_ID>,

Example:

BUY,DIS,119.88,1814
SELL,PYPL,261.01,217
CANCEL,JPM,10,

Fields:

• Command: BUY, SELL, or CANCEL
• Ticker: Stock symbol (e.g., AAPL, GOOGL, MSFT)
• Price: Order price (for BUY/SELL only)
• Quantity: Number of shares (for BUY/SELL only)
• Order ID: Order identifier (for CANCEL only)

System Overview and Logic Flow

Building the Project

Prerequisites

• C++17 compatible compiler (GCC 7+, Clang 5+, or MSVC 2017+)
• Standard C++ library

Compilation

Compile with the following command:

g++ main.cpp core_code/engine.cpp core_code/orderbook.cpp \
    -Icore_code -Idata_handling -Idata_structures \
    -std=c++17 -O3 -march=native -o orderbook.exe

Running the Simulator

Execute the compiled binary with a CSV input file:

./orderbook.exe data.csv

The program will:

1. Read trading orders from the CSV file
2. Process each order (BUY/SELL/CANCEL) sequentially
3. Execute the matching algorithm after each operation
4. Display performance statistics at the end

Output

The program tracks and displays:

• Total insertion time (microseconds)
• Total matching time (microseconds)
• Total cancellation time (microseconds)
• Number of insertions and cancellations processed

Notes

• Results in terms of latency might differ in different Operation Systems due to the presence of different allocators and system timers.

License

MIT