( RU версия ниже )

Limit Order Book Matching Engine

A high-performance simulation of a stock exchange trading core, implementing a limit order book with price-time priority matching algorithm.

Features

• Multi-threaded Architecture: Three concurrent threads handling different responsibilities

  • Thread 1 (Producer): Generates or reads incoming orders
  • Thread 2 (Engine): Matches orders based on price-time priority
  • Thread 3 (Renderer): Real-time console visualization of the order book

• Price-Time Priority Matching: Orders are matched by best price first, then by arrival time (FIFO)

• Partial Fill Support: Orders can be partially filled if insufficient liquidity exists at a price level

• Thread-Safe Operations: All shared data structures use proper synchronization

• Real-Time Visualization: ASCII-based order book display updating every 500ms

Architecture

Core Components

• Order: Represents a buy/sell order with ID, side, price, quantity, and timestamp
• OrderBook: Maintains bid and ask levels with price-time priority
• MatchingEngine: Executes trades according to matching logic
• ThreadSafeQueue: Lock-based thread-safe queue for order flow
• OrderProducer: Generates random orders or reads from stdin
• EngineWorker: Consumes orders and executes matching
• ConsoleRenderer: Displays market depth in real-time

Data Structures

• Bids: std::map<double, PriceLevel, std::greater<double>> (descending price)
• Asks: std::map<double, PriceLevel, std::less<double>> (ascending price)
• Each price level maintains a FIFO queue of orders

Building

Using the build script (recommended):

./build.sh

Manual compilation:

# Main executable
clang++ -std=c++17 -Iinclude -pthread \
  src/Order.cpp \
  src/OrderBook.cpp \
  src/MatchingEngine.cpp \
  src/OrderProducer.cpp \
  src/EngineWorker.cpp \
  src/ConsoleRenderer.cpp \
  main.cpp \
  -o limit_order_book

# Test executable
clang++ -std=c++17 -Iinclude -pthread \
  tests/simple_tests.cpp \
  src/Order.cpp \
  src/OrderBook.cpp \
  src/MatchingEngine.cpp \
  -o test_order_book

Usage

Random Mode (Default)

Automatically generates random buy/sell orders:

./limit_order_book

or

./limit_order_book --mode=random

Stdin Mode

Manually enter orders via standard input:

./limit_order_book --mode=stdin

Order format: <BUY|SELL> <price> <quantity>

Example:

BUY 100.50 1000
SELL 101.00 500
BUY 99.75 2000

Running Tests

./test_order_book

Console Output

The application displays:

• Market Depth: Top 10 bid and ask levels
• Spread: Difference between best bid and best ask
• Last Trade: Price and quantity of most recent execution
• Queue Size: Number of pending orders

Example:

╔════════════════════════════════════════════════════╗
║        LIMIT ORDER BOOK - MARKET DEPTH            ║
╚════════════════════════════════════════════════════╝

          PRICE │        QUANTITY │       SIDE
────────────────┼─────────────────┼───────────
         102.50 │            1500 │        ASK
         102.00 │            2000 │        ASK
         101.50 │             800 │        ASK
────────────────┴─────────────────┴───────────
           SPREAD: 1.00
────────────────┬─────────────────┬───────────
         100.50 │            1200 │        BID
         100.00 │            3000 │        BID
          99.50 │             900 │        BID
────────────────┴─────────────────┴───────────

┌────────────────────────────────────────────┐
│ LAST TRADE                                 │
├────────────────────────────────────────────┤
│ Price:        101.00                       │
│ Quantity:      500                         │
└────────────────────────────────────────────┘

┌────────────────────────────────────────────┐
│ SYSTEM STATUS                              │
├────────────────────────────────────────────┤
│ Pending Orders in Queue:     3             │
└────────────────────────────────────────────┘

Technical Specification

• Language: C++17
• Threading: Standard library (std::thread, std::mutex, std::condition_variable)
• Compiler: Clang++ / G++
• Platform: macOS, Linux (Windows with minor modifications)

Project Structure

limit_order_book/
├── include/              # Header files
│   ├── Order.h
│   ├── OrderBook.h
│   ├── MatchingEngine.h
│   ├── Trade.h
│   ├── ThreadSafeQueue.h
│   ├── OrderProducer.h
│   ├── EngineWorker.h
│   └── ConsoleRenderer.h
├── src/                  # Implementation files
│   ├── Order.cpp
│   ├── OrderBook.cpp
│   ├── MatchingEngine.cpp
│   ├── OrderProducer.cpp
│   ├── EngineWorker.cpp
│   └── ConsoleRenderer.cpp
├── tests/                # Test suite
│   └── simple_tests.cpp
├── main.cpp              # Application entry point
├── build.sh              # Build script
├── CMakeLists.txt        # CMake configuration
└── README.md             # This file

Testing

The test suite includes:

• Order creation and modification
• Order book operations (add, remove, priority)
• Matching engine logic (full match, partial match, no match)
• Multi-level order matching

All tests use a simple custom test framework with macros:

• ASSERT_EQUAL(expected, actual)
• ASSERT_TRUE(condition)
• ASSERT_FALSE(condition)
• ASSERT_DOUBLE_EQUAL(expected, actual, epsilon)

Graceful Shutdown

Press Ctrl+C to gracefully stop all threads and exit the application.

License

This is an educational project demonstrating limit order book implementation. DONT USE FOR REAL LIFE TRADES

RU Version

Многопоточная симуляция биржевого ядра (Matching Engine) с визуализацией стакана в реальном времени.

Многопоточная симуляция биржевого ядра (Matching Engine) с визуализацией стакана в реальном времени.

Проект написан на чистом C++ (STL only) без использования тяжеловесных фреймворков вроде Boost. Основная цель — демонстрация работы с конкурентностью (std::thread, std::mutex, std::condition_variable), структурами данных и алгоритмами сведения ордеров (Price-Time Priority).

---

📊 Демонстрация работы

Приложение генерирует торговую активность, сводит ордера и рендерит "биржевой стакан" (Market Depth) прямо в консоли, используя ASCII-графику.

╔════════════════════════════════════════════════════╗
║        LIMIT ORDER BOOK - MARKET DEPTH            ║
╚════════════════════════════════════════════════════╝

          PRICE │        QUANTITY │       SIDE
────────────────┼─────────────────┼───────────
         102.50 │            6808 │        ASK
         102.44 │            4304 │        ASK
         102.42 │            2743 │        ASK
         100.74 │            2356 │        ASK
────────────────┴─────────────────┴───────────
           SPREAD: 0.36
────────────────┬─────────────────┬───────────
          98.21 │            2045 │        BID
          98.16 │            7961 │        BID
          98.15 │            7202 │        BID
────────────────┴─────────────────┴───────────

┌────────────────────────────────────────────┐
│ LAST TRADE                                 │
├────────────────────────────────────────────┤
│ Price:         98.57                       │
│ Quantity:       3127                       │
└────────────────────────────────────────────┘

Сборка и Запуск

# Клонируем репозиторий
git clone https://github.com/your-username/limit-order-book.git
cd limit-order-book

# Создаем директорию сборки
mkdir build && cd build

# Конфигурируем и собираем
cmake ..
cmake --build .

# Запускаем
./limit_order_book

Для сборки требуется компилятор с поддержкой C++17 и CMake версии 3.10+.

Данный проект является учебной симуляцией. Не используйте этот код для реальной торговли на финансовых рынках (хотя он и выглядит круто) :)