https://github.com/timothewt/orderbook
High-performance C++ Implementation of a Limit Order Book and a Matching Engine
https://github.com/timothewt/orderbook
hft high-performance orderbook tick-data trading
Last synced: 3 months ago
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High-performance C++ Implementation of a Limit Order Book and a Matching Engine
- Host: GitHub
- URL: https://github.com/timothewt/orderbook
- Owner: timothewt
- License: mit
- Created: 2024-07-04T16:20:26.000Z (over 1 year ago)
- Default Branch: master
- Last Pushed: 2024-07-06T17:17:47.000Z (over 1 year ago)
- Last Synced: 2025-03-12T07:44:42.948Z (7 months ago)
- Topics: hft, high-performance, orderbook, tick-data, trading
- Language: C++
- Homepage:
- Size: 17 MB
- Stars: 5
- Watchers: 1
- Forks: 0
- Open Issues: 0
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Metadata Files:
- Readme: README.md
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README
# 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](demo/generate_orders.py) 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](https://web.archive.org/web/20110410160306/http://howtohft.wordpress.com:80/2011/02/15/how-to-build-a-fast-limit-order-book) - Insights into designing performant limit order books.
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This project demonstrates a robust implementation of a Limit Order Book and Matching Engine in C++, optimized for high-frequency trading environments.