jonas-meng/matching

A c++ matching engine with limit order book

A Matching Engine

A c++ matching engine with limit order book (LOB)

Features

• For two major operations in LOB, O(1) to match, O(1) to add if already have price level or O(logM) otherwise. Assume M is the average number of quotes in the LOB
• No double or float comparison
• Memory efficient
• Wall clock time is ~19s under mac air Intel(R) Core(TM) i5-3427U CPU @ 1.80GHz

Install

$ make

Run Test

$ make test

Run the matching engine

Need to modify the path to orders.csv in run.sh!

$ ./run.sh

Dependencies Required to Run the Test

boost