Simple In-Memory Trading Engine

A simplified, single-threaded, in-memory trading engine implemented in C++.
It features a basic limit order book and supports limit order submissions and cancellations.

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Features

• Limit Order Support – Submit limit orders to the engine
• Order Cancellation – Cancel existing orders
• In-Memory Design – All order book data stored in memory for high performance
• Basic Matching Algorithm – Matches orders based on price–time priority

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Project Structure

• Engine.h – Core of the engine, manages order books, orders, cancellations, and trade execution
• OrderBook.h – Manages buy/sell sides of the market and handles matching logic
• PriceLevel.h – Collection of orders at a specific price (FIFO order handling)
• Order.h – Data structure for trade orders (quantity, price, side)
• OrderIndex.h – Maps orderId to its location in the book (for fast lookups/cancellations)
• NumberUtil.h – Bitwise utilities for encoding/decoding order locations
• EngineConstants.h – Defines constants (e.g., max price levels, max orders)
• IEngine.h – Interface defining core engine functionalities (limit and cancel)
• PriceLevelComparator.h – Logic for comparing PriceLevel objects
• Side.h – Enumeration for trade sides (BUY and SELL)
• Trade.h – Data structure for completed trades (order IDs, quantity, price)

Additional files:

• main.cpp – Demonstration of engine functionality
• Engine / main – Compiled executables
• .dSYM – Debugging symbols (useful for crash analysis)

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How to Compile and Run

1. Save all files (Engine.h, OrderBook.h, Order.h, etc.) in the same directory.

2. Compile using g++:

   g++ -std=c++11 main.cpp -o trading_engine

3. Run the executable:

   ./trading_engine
   

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Demo Walkthrough The runDemo() function in Engine.h showcases the core engine features:

• Initial Orders – Submits several buy and sell orders
• Order Book Snapshot – Prints current state of the book
• Cancellations – Cancels orders and updates the snapshot
• New Orders & Matching – Adds new orders, triggering trades if matched
• Final State – Displays the final order book

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Future Improvements -Support for market orders -Persistence (save order book state to disk) -Multi-threading for concurrent order handling -Extended trade reporting and analytics

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License

This project is open-source. Feel free to modify and use it as needed.