Orderbook Matching Engine

This project implements a robust Orderbook Matching Engine in C++ for managing and matching buy and sell orders in a financial trading system. The engine supports various order types, facilitates order management, and handles trade execution efficiently.

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Features

Core Functionality

• Order Types:

  • GoodTillCancel: Order remains active until explicitly canceled.
  • FillAndKill: Executes immediately as much as possible, cancels the rest.
  • FillOrKill: Executes entirely or not at all.
  • GoodForDay: Valid for the current trading day.
  • Market: Executes immediately at the best available price.

• Order Sides:

  • Buy
  • Sell

Order Management

• AddOrder:

  • Adds a new order to the orderbook.
  • Automatically matches orders if possible.

• CancelOrder:

  • Cancels an order by its unique ID.

• ModifyOrder (via MatchOrder):

  • Modifies an existing order’s price and/or quantity.
  • Internally cancels the original order and re-adds it with updated attributes.

Matching Engine

• Matches orders based on price and time priority.
• Executes trades when a buy and sell order overlap in price.
• Generates trade details including order IDs, price, and quantity.

Orderbook Insights

• GetOrderInfos:

  • Retrieves detailed bid and ask levels, including total quantities at each price.

• Size:

  • Returns the total number of active orders in the orderbook.

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Class Structure

Core Classes

1. Order:

   • Represents an individual order with attributes such as price, quantity, and side.

2. Orderbook:

   • Manages buy and sell orders.
   • Handles matching, adding, modifying, and canceling orders.

3. OrderModify:

   • Facilitates the modification of existing orders.

4. Trade:

   • Stores details of executed trades.

5. OrderbookLevelInfos:

   • Provides aggregated bid and ask information.

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Example Usage

Adding and Matching Orders

Orderbook orderbook;

// Add Buy and Sell Orders
orderbook.AddOrder(std::make_shared<Order>(OrderType::GoodTillCancel, 1, Side::Buy, 100, 10));
orderbook.AddOrder(std::make_shared<Order>(OrderType::GoodTillCancel, 2, Side::Sell, 110, 5));

std::cout << "Initial Orderbook Size: " << orderbook.Size() << "\n";

// Add Matching Order
auto trades = orderbook.AddOrder(std::make_shared<Order>(OrderType::GoodTillCancel, 3, Side::Sell, 100, 5));

// Print Trade Details
for (const auto& trade : trades) {
    std::cout << "Trade: BuyOrderId=" << trade.GetBidTrade().orderId_
              << " SellOrderId=" << trade.GetAskTrade().orderId_
              << " Price=" << trade.GetBidTrade().price_
              << " Quantity=" << trade.GetBidTrade().quantity_ << "\n";
}

orderbook.CancelOrder(1);  // Cancels the order with ID 1

auto levels = orderbook.GetOrderInfos();

// Print Bid Levels
std::cout << "Bid Levels:\n";
for (const auto& bid : levels.GetBids()) {
    std::cout << "Price: " << bid.price_ << ", Quantity: " << bid.quantity_ << "\n";
}

// Print Ask Levels
std::cout << "Ask Levels:\n";
for (const auto& ask : levels.GetAsks()) {
    std::cout << "Price: " << ask.price_ << ", Quantity: " << ask.quantity_ << "\n";
}


g++ -std=c++17 -o orderbook main.cpp
./orderbook