Limit Order Book & Matching Engine

This repository contains the C++ implementation of a high-performance Limit Order Book and its Matching Engine.

Overview

The Limit Order Book is designed using a combination of data structures to optimize order insertion, deletion, and matching:

Architecture

• Data Structures: Orders are stored in a doubly linked-list structure, where each list represents a price level. Price levels are managed using Red-Black Trees implemented via std::set in C++, ensuring efficient insertion and deletion operations.

• Order Format: Orders are added in the format ID, AgentID, Price, Volume, and deleted by their id ID.

Performance

To assess performance, the system was tested with 1,000,000 operations (place or delete orders), generated using a Python script. These operations were processed through a CSV parser and fed into the C++ program.

• High-Performance: The system achieved a peak performance of 270,000 operations per second. Operations include order insertions, trades, and order deletions.

Demo and Usage

For a demonstration, refer to the Python script used to generate the orders and the corresponding CSV file. This file serves as input to the C++ program, showcasing the handling of large-scale order operations efficiently.

References

1. How to Build a Fast Limit Order Book - Insights into designing performant limit order books.

---

This project demonstrates a robust implementation of a Limit Order Book and Matching Engine in C++, optimized for high-frequency trading environments.