Limit Order Book Engine (C++)

This project implements a simplified version of a stock exchange matching engine in C++.

Matching engines are responsible for pairing buy and sell orders in financial markets. This implementation simulates how exchanges match orders using price priority.

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Features

• Buy and sell order placement
• Price-time priority matching
• Automatic trade execution
• Order book visualization
• Trade history tracking
• Market statistics
• Order IDs for tracking

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Technologies

• C++
• STL (priority_queue, vector)
• Object-Oriented Programming

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System Design

Orders are stored in two priority queues:

• Buy orders → max heap (highest price first)
• Sell orders → min heap (lowest price first)

This allows the engine to efficiently find the best orders to match.

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Architecture

Incoming Orders
      │
      ▼
Matching Engine
      │
 ┌────┴─────┐
 ▼          ▼
Buy Book   Sell Book
(MaxHeap)  (MinHeap)
      │
      ▼
Trade Execution

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Matching Logic

An order can be matched when:

buy_price >= sell_price

If the order quantities are different, the engine performs a partial trade and keeps the remaining order in the order book.

Example:

BUY 100 shares @ 105
SELL 40 shares @ 104

Trade executed: 40 shares
Remaining BUY order: 60 shares

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Data Structures Used

priority_queue

Maintains the buy and sell order books efficiently.

struct Order

Represents each order with fields such as price, quantity, and order type.

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What I Learned

• How financial exchanges match orders
• Implementing heap-based priority queues
• Designing algorithms for trade execution

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Run

Compile:

g++ main.cpp -o engine

Run:

engine.exe

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