Order Matching Engine

A C++ implementation of a high-performance order matching engine with price-time priority.

Project Structure

order-matching-engine/
├── src/
│   ├── order_book/
│   │   ├── order.hpp
│   │   ├── order_book.hpp
│   │   ├── order_generator.hpp
│   │   └── trade.hpp
│   └── main.cpp
├── build/              # Build output directory
├── CMakeLists.txt     # CMake build configuration
├── README.md          # Project documentation
└── .gitignore         # Git ignore file

Features

• Supports both limit and market orders
• Price-time priority matching algorithm
• Real-time order book management
• Order operations:
  • Add new orders
  • Modify existing orders
  • Cancel orders
• Trade execution and logging
• Random order generation for testing

Using Shell Script

For convenience, a shell script is provided to build and run the project:

# Make the script executable (first time only)
chmod +x build_and_run.sh

# Build and run the project
./build_and_run.sh

The build_and_run.sh script automates:

• Creating build directory if it doesn't exist
• Running CMake configuration
• Building the project
• Running the executable
• Displaying the output

Usage Example

// Initialize order book
OrderBook orderBook;

// Create and add orders
Order buyOrder(OrderSide::BUY, 100.5, 10);
Order sellOrder(OrderSide::SELL, 100.0, 5);

orderBook.addOrder(buyOrder);
orderBook.addOrder(sellOrder);

// View order book state
orderBook.printOrderBook();

// View executed trades
orderBook.printTrades();

Testing

The system includes an order generator for testing:

OrderGenerator generator(100.0);  // Base price of 100
Order randomOrder = generator.generateOrder();

License

This project is licensed under the MIT License.