⚡ Order Matching Engine (C++)

A simplified Limit Order Book Matching Engine implemented in C++17.
This project simulates the core logic of an exchange: handling limit/market orders, order cancellations, and matching trades based on price-time priority.

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🚀 Features

• Limit Orders: Add buy/sell limit orders to the order book.
• Market Orders: Immediately executed against the best available prices.
• Order Cancellation: Cancel existing orders by ID (lazy deletion).
• Price-Time Priority: Orders are matched by best price, then earliest arrival.
• Order Book View: Print top N bid/ask levels.
• Stress Testing: Handles up to 1,000,000 orders in <200ms on a laptop.

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📊 Performance Benchmark

Machine: MacBook Pro M1, 16GB RAM
Command: ./matching

Running stress test with 1,000,000 orders...
Processed 1,000,000 orders in 152 ms

🛠️ Project Structure

OrderMatchingEngine/ │── src/ │ ├── main.cpp # Entry point (demo + stress test) │ ├── order.h # Order struct │ ├── orderbook.h # OrderBook class (declaration) │ ├── matching_engine.cpp # OrderBook implementation │ │── tests/ │ └── test_orderbook.cpp # (Optional) Unit tests │ │── Makefile # Build automation │── README.md # Project documentation ▶️ Getting Started

Prerequisites • C++17 compatible compiler (g++, clang++) • Make (for build automation)

Build & Run

Clone repo

git clone https://github.com//OrderMatchingEngine.git cd OrderMatchingEngine

Build project

make

Run executable

./matching
📖 Example Output
----- Order Book (Top 5) -----
Bids:
  101 x 10 (ID 1)
Asks:
  102 x 5 (ID 2)
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Running stress test with 1000000 orders...
Processed 1000000 orders in 152 ms

🔮 Future Improvements • Multi-asset support (BTC, ETH, AAPL, etc.) • Advanced order types (Stop-loss, Iceberg, Fill-or-Kill) • Multi-threaded matching engine • Persistent trade log (to file or database) • API layer (REST/WebSocket) for live trading simulation

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👨‍💻 Author • Xiaochuan Li – MSc Financial Engineering • LinkedIn • GitHub

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📜 License

This project is licensed under the MIT License – see the LICENSE file for details.