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iceberg-orders

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mansoor-mamnoon / limit-order-book

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High-performance limit order book engine with C++ core and Python SDK. Processes 20M+ msgs/sec with µs latency. Supports real crypto/equity data replay, spread/imbalance/impact analytics, and backtesting of VWAP, TWAP, POV, and market-making strategies with reproducible PnL and risk metrics.

docker algorithms cpp high-performance concurrency parallel-computing data-structures low-latency quantitative-finance algorithmic-trading order-book system-design backtesting market-microstructure cache-optimization vwap trading-engine twap execution-strategies iceberg-orders
  • Updated Aug 30, 2025
  • C++

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