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Matching Engine in C++

A robust simulation of a matching engine implemented in C++, leveraging the STL and Boost libraries. The orderbook structure is inspired by the quantcup winning submission by voyager, available here.

Usage

  1. Clone the Repository:

    git clone https://github.com/aaron10l/MatchingEngine.git
cd MatchingEngine

  2. Generate build files:

    mkdir build
cd build
cmake ../

  3. Run test:

    ./score
./test

Project Files

Quantcup:

  • limits.h - provides constraints for size of order flow
  • types.h - aliases for common types
  • engine.h - quantcup orderbook api

Implementation:

  • orderbook.h -

Notes & TODOs

  • Server and Client Implementation:

    • add server and client files for a UDP server using sockets to enable communication with multiple traders.

  • QuantCup Integration:

    • include QuantCup test files to ensure compatibility and benchmark performance against standard test cases.

  • API Enhancement:

    • expand the API to include multiple order types including market order.

  • Documentation:

    • explain why voyagers implementation is more efficient than WK Selph's and others.
    • expand comments and docs.

Feel free to suggest additional improvements. Your feedback and contributions are highly appreciated!