https://github.com/resetius/orderbook

https://github.com/resetius/orderbook

Last synced: 17 days ago
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• Host: GitHub
• URL: https://github.com/resetius/orderbook
• Owner: resetius
• License: bsd-2-clause
• Created: 2024-04-21T12:20:52.000Z (8 months ago)
• Default Branch: master
• Last Pushed: 2024-04-21T14:24:50.000Z (8 months ago)
• Last Synced: 2024-10-16T15:43:47.300Z (2 months ago)
• Language: C++
• Size: 9.77 KB
• Stars: 0
• Watchers: 1
• Forks: 0
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

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README

        
# Orderbook Implementations

This project includes two implementations of an orderbook: one using `priority_queue` and another using `multiset`. The corresponding classes are `ExchangePq` for the `priority_queue` implementation, and `ExchangeMultiset` for the `multiset` implementation.

## Features

- **ExchangePq**: Implements the orderbook using `std::priority_queue`. This implementation is optimized for operations that frequently access the top element but might be slower for mid-container operations.

  

- **ExchangeMultiset**: Utilizes `std::multiset` to manage the orderbook, providing efficient handling and flexibility for insertion and deletion across the entire data structure.

## Usage

See `exchange_test.cpp` for examples and test cases illustrating how to use both implementations.

### Adding Orders

To add a bid or ask order to the orderbook, use the `add` method:

```cpp

exchangePq.add(orderId, orderSide, orderPrice, orderQuantity);

exchangeMultiset.add(orderId, orderSide, orderPrice, orderQuantity);

```

### Removing Orders

To remove an order from the orderbook, use the `erase` method:

```cpp

exchangePq.erase(orderId);

exchangeMultiset.erase(orderId);

```

## Building

The project is set up to use `cmake` for building. Follow these steps to compile:

1. Create a build directory:

   ```bash

   mkdir build

   cd build

   ```

2. Run CMake and make:

   ```bash

   cmake ..

   make

   ```

3. Run the tests (optional):

   ```bash

   ./exchange_test

   ```

For more information on how to set up and run the tests, refer to the documentation in `exchange_test.cpp`.