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!