A Matching Engine

A c++ matching engine with order book, accept stdin to add orders, output trade/cancel/fill/partialfill event

Features

• For two major operations in order, O(1) to cancel, O(1) to match, O(1) to add if already have price level or O(logM) otherwise. Assume M is the average number of quotes in the order book
• No double or float comparison
• Memory efficient

Install

$ make

Run Unit Test

$ make test

Run Performance Test

$ make perf

Run the matching engine

$ ./run.sh