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feat: add UserID to orders and implement self-trade prevention #25

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912a8a6
feat: add UserID to orders and implement self-trade prevention
Copilot May 12, 2026
a0e70cd
fix: add missing #include <tuple> to orderbook.hpp
Copilot May 12, 2026
dc0b080
fix: replace raw new with unique_ptr in TestPriceFinding, remove befo…
Copilot May 12, 2026
842f544
Changes before error encountered
Copilot May 12, 2026
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3 changes: 2 additions & 1 deletion include/order.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -15,6 +15,7 @@ using namespace boost::intrusive;

struct Order : public set_base_hook<optimize_size<false>>, list_base_hook<constant_time_size<true>> {
OrderID id;
UserID user_id;
Decimal qty;
Decimal original_qty;
Decimal price;
Expand All @@ -24,7 +25,7 @@ struct Order : public set_base_hook<optimize_size<false>>, list_base_hook<consta

OrderQueue *queue = nullptr;

Order(OrderID id, Type type, Side side, Decimal qty, Decimal price, Flag flag) : id(id), qty(qty), original_qty(qty), price(price), type(type), flag(flag), side(side){};
Order(OrderID id, UserID user_id, Type type, Side side, Decimal qty, Decimal price, Flag flag) : id(id), user_id(user_id), qty(qty), original_qty(qty), price(price), type(type), flag(flag), side(side){};

friend bool operator<(const Order &a, const Order &b) { return a.id < b.id; }
friend bool operator>(const Order &a, const Order &b) { return a.id > b.id; }
Expand Down
52 changes: 32 additions & 20 deletions include/orderbook.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -3,6 +3,7 @@
#include <cstdint>
#include <map>
#include <sstream>
#include <tuple>
#include <utility>

#include "boost/intrusive/rbtree.hpp"
Expand All @@ -24,8 +25,8 @@ class OrderBook {
asks_(PriceLevel<PriceType::Ask>(price_level_pool_size)),
orders_(OrderMap()){};

void addOrder(OrderID id, Type type, Side side, Decimal qty, Decimal price, Flag flag);
void putTradeNotification(OrderID mOrderID, OrderID tOrderID, OrderStatus mStatus, OrderStatus tStatus, Decimal qty, Decimal price);
void addOrder(OrderID id, UserID user_id, Type type, Side side, Decimal qty, Decimal price, Flag flag);
void putTradeNotification(OrderID mOrderID, OrderID tOrderID, UserID mUserID, UserID tUserID, OrderStatus mStatus, OrderStatus tStatus, Decimal qty, Decimal price);
void cancelOrder(OrderID id);
bool hasOrder(OrderID id);
void setMatching(bool matching) { matching_ = matching; }
Expand All @@ -46,17 +47,18 @@ class OrderBook {

bool matching_ = true;

std::pair<Decimal, Decimal> eraseOrder(OrderID id);
void processOrder(OrderID id, Type type, Side side, Decimal qty, Decimal price, Flag flag);
std::tuple<Decimal, Decimal, UserID> eraseOrder(OrderID id);
void processOrder(OrderID id, UserID user_id, Type type, Side side, Decimal qty, Decimal price, Flag flag);
};

template <class Notification>
void OrderBook<Notification>::addOrder(OrderID id, Type type, Side side, Decimal qty, Decimal price, Flag flag) {
void OrderBook<Notification>::addOrder(OrderID id, UserID user_id, Type type, Side side, Decimal qty, Decimal price, Flag flag) {
if (qty.is_zero()) [[unlikely]] {
notification_.onExecutionReport(ExecutionReport{
.exec_type = ExecType::Rejected,
.msg_type = MsgType::CreateOrder,
.order_id = id,
.user_id = user_id,
.status = OrderStatus::Rejected,
.qty = qty,
.original_qty = qty,
Expand All @@ -71,6 +73,7 @@ void OrderBook<Notification>::addOrder(OrderID id, Type type, Side side, Decimal
.exec_type = ExecType::Rejected,
.msg_type = MsgType::CreateOrder,
.order_id = id,
.user_id = user_id,
.status = OrderStatus::Rejected,
.qty = qty,
.original_qty = qty,
Expand All @@ -86,6 +89,7 @@ void OrderBook<Notification>::addOrder(OrderID id, Type type, Side side, Decimal
.exec_type = ExecType::Rejected,
.msg_type = MsgType::CreateOrder,
.order_id = id,
.user_id = user_id,
.status = OrderStatus::Rejected,
.qty = qty,
.original_qty = qty,
Expand All @@ -100,6 +104,7 @@ void OrderBook<Notification>::addOrder(OrderID id, Type type, Side side, Decimal
.exec_type = ExecType::Rejected,
.msg_type = MsgType::CreateOrder,
.order_id = id,
.user_id = user_id,
.status = OrderStatus::Rejected,
.qty = qty,
.original_qty = qty,
Expand All @@ -116,6 +121,7 @@ void OrderBook<Notification>::addOrder(OrderID id, Type type, Side side, Decimal
.exec_type = ExecType::Rejected,
.msg_type = MsgType::CreateOrder,
.order_id = id,
.user_id = user_id,
.status = OrderStatus::Rejected,
.qty = uint64_t(0),
.original_qty = qty,
Expand All @@ -129,6 +135,7 @@ void OrderBook<Notification>::addOrder(OrderID id, Type type, Side side, Decimal
.exec_type = ExecType::Rejected,
.msg_type = MsgType::CreateOrder,
.order_id = id,
.user_id = user_id,
.status = OrderStatus::Rejected,
.qty = uint64_t(0),
.original_qty = qty,
Expand All @@ -142,36 +149,37 @@ void OrderBook<Notification>::addOrder(OrderID id, Type type, Side side, Decimal
.exec_type = ExecType::New,
.msg_type = MsgType::CreateOrder,
.order_id = id,
.user_id = user_id,
.status = OrderStatus::Accepted,
.qty = qty,
.original_qty = qty,
});
processOrder(id, type, side, qty, price, flag);
processOrder(id, user_id, type, side, qty, price, flag);
}

template <class Notification>
void OrderBook<Notification>::processOrder(OrderID id, Type type, Side side, Decimal qty, Decimal price, Flag flag) {
const auto tradeNotification = [this](OrderID mOrderID, OrderID tOrderID, OrderStatus mOrderStatus, OrderStatus tOrderStatus, Decimal qty, Decimal price) {
this->putTradeNotification(mOrderID, tOrderID, mOrderStatus, tOrderStatus, qty, price);
void OrderBook<Notification>::processOrder(OrderID id, UserID user_id, Type type, Side side, Decimal qty, Decimal price, Flag flag) {
const auto tradeNotification = [this](OrderID mOrderID, OrderID tOrderID, UserID mUserID, UserID tUserID, OrderStatus mOrderStatus, OrderStatus tOrderStatus, Decimal qty, Decimal price) {
this->putTradeNotification(mOrderID, tOrderID, mUserID, tUserID, mOrderStatus, tOrderStatus, qty, price);
this->last_price = price;
};
const auto postOrderFill = [this](OrderID id) { this->eraseOrder(id); };

if (type == Type::Market) {
if (side == Side::Buy) {
asks_.processMarketOrder(tradeNotification, postOrderFill, id, qty, flag);
asks_.processMarketOrder(tradeNotification, postOrderFill, id, user_id, qty, flag);
} else {
bids_.processMarketOrder(tradeNotification, postOrderFill, id, qty, flag);
bids_.processMarketOrder(tradeNotification, postOrderFill, id, user_id, qty, flag);
}

return;
}

Decimal qtyProcessed;
if (side == Side::Buy) {
qtyProcessed = asks_.processLimitOrder(tradeNotification, postOrderFill, id, price, qty, flag);
qtyProcessed = asks_.processLimitOrder(tradeNotification, postOrderFill, id, user_id, price, qty, flag);
} else {
qtyProcessed = bids_.processLimitOrder(tradeNotification, postOrderFill, id, price, qty, flag);
qtyProcessed = bids_.processLimitOrder(tradeNotification, postOrderFill, id, user_id, price, qty, flag);
}

if ((flag & (IoC | FoK)) != 0) {
Expand All @@ -180,7 +188,7 @@ void OrderBook<Notification>::processOrder(OrderID id, Type type, Side side, Dec

auto qtyLeft = qty - qtyProcessed;
if (qtyLeft > uint64_t(0)) {
auto* o = order_pool_.acquire(id, type, side, qtyLeft, price, flag);
auto* o = order_pool_.acquire(id, user_id, type, side, qtyLeft, price, flag);
o->original_qty = qty;
if (side == Side::Buy) {
bids_.append(o);
Expand All @@ -195,11 +203,13 @@ void OrderBook<Notification>::processOrder(OrderID id, Type type, Side side, Dec
}

template <class Notification>
void OrderBook<Notification>::putTradeNotification(OrderID mOrderID, OrderID tOrderID, OrderStatus mStatus, OrderStatus tStatus, Decimal qty, Decimal price) {
void OrderBook<Notification>::putTradeNotification(OrderID mOrderID, OrderID tOrderID, UserID mUserID, UserID tUserID, OrderStatus mStatus, OrderStatus tStatus, Decimal qty, Decimal price) {
notification_.onExecutionReport(ExecutionReport{
.exec_type = ExecType::Trade,
.maker_order_id = mOrderID,
.taker_order_id = tOrderID,
.maker_user_id = mUserID,
.taker_user_id = tUserID,
.maker_status = mStatus,
.taker_status = tStatus,
.last_qty = qty,
Expand All @@ -209,7 +219,7 @@ void OrderBook<Notification>::putTradeNotification(OrderID mOrderID, OrderID tOr

template <class Notification>
void OrderBook<Notification>::cancelOrder(OrderID id) {
auto [qty, original_qty] = eraseOrder(id);
auto [qty, original_qty, user_id] = eraseOrder(id);
if (qty.is_zero()) {
notification_.onExecutionReport(ExecutionReport{
.exec_type = ExecType::Rejected,
Expand All @@ -227,31 +237,33 @@ void OrderBook<Notification>::cancelOrder(OrderID id) {
.exec_type = ExecType::Canceled,
.msg_type = MsgType::CancelOrder,
.order_id = id,
.user_id = user_id,
.status = OrderStatus::Canceled,
.qty = qty,
.original_qty = original_qty,
});
}

template <class Notification>
std::pair<Decimal, Decimal> OrderBook<Notification>::eraseOrder(OrderID id) {
std::tuple<Decimal, Decimal, UserID> OrderBook<Notification>::eraseOrder(OrderID id) {
auto it = orders_.find(id, OrderIDCompare());
if (it == orders_.end()) {
return {uint64_t(0), uint64_t(0)};
return {uint64_t(0), uint64_t(0), uint64_t(0)};
}

auto& pool = order_pool_;
auto* order = &*it;
scope_exit defer([&pool, &order]() { pool.release(order); });
orders_.erase(*it);

const UserID user_id = order->user_id;
if (order->side == Side::Buy) {
bids_.remove(order);
return {order->qty, order->original_qty};
return {order->qty, order->original_qty, user_id};
}

asks_.remove(order);
return {order->qty, order->original_qty};
return {order->qty, order->original_qty, user_id};
}

template <class Notification>
Expand Down
5 changes: 3 additions & 2 deletions include/orderqueue.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -10,7 +10,7 @@
namespace orderbook {

using TradeNotification =
std::function<void(OrderID mOrderID, OrderID tOrderID, OrderStatus mOrderStatus, OrderStatus tOrderStatus, Decimal qty, Decimal price)>;
std::function<void(OrderID mOrderID, OrderID tOrderID, UserID mUserID, UserID tUserID, OrderStatus mOrderStatus, OrderStatus tOrderStatus, Decimal qty, Decimal price)>;
using PostOrderFill = std::function<void(OrderID canceledOrderID)>;

using OrderList = boost::intrusive::list<Order>;
Expand All @@ -28,7 +28,8 @@ class OrderQueue : public boost::intrusive::set_base_hook<boost::intrusive::opti
[[nodiscard]] Decimal totalQty() const;
void append(Order *o);
void remove(Order *o);
Decimal process(const TradeNotification &tn, const PostOrderFill &postFill, OrderID takerOrderID, Decimal qty);
Decimal process(const TradeNotification &tn, const PostOrderFill &postFill, OrderID takerOrderID, UserID takerUserID, Decimal qty);
[[nodiscard]] Decimal availableQty(UserID takerUserID) const;
[[nodiscard]] const OrderList &order_list() const { return orders_; }

friend bool operator<(const OrderQueue &a, const OrderQueue &b) { return a.price_ < b.price_; }
Expand Down
4 changes: 2 additions & 2 deletions include/pricelevel.hpp
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Expand Up @@ -50,10 +50,10 @@ class PriceLevel {
[[nodiscard]] OrderQueue* getNextQueue(const Decimal& price);

template <PriceType Q = P>
Decimal processMarketOrder(const TradeNotification& tn, const PostOrderFill& pf, OrderID takerOrderID, Decimal qty, Flag flag);
Decimal processMarketOrder(const TradeNotification& tn, const PostOrderFill& pf, OrderID takerOrderID, UserID takerUserID, Decimal qty, Flag flag);

template <PriceType Q = P>
Decimal processLimitOrder(const TradeNotification& tn, const PostOrderFill& pf, OrderID takerOrderID, Decimal price, Decimal qty, Flag flag);
Decimal processLimitOrder(const TradeNotification& tn, const PostOrderFill& pf, OrderID takerOrderID, UserID takerUserID, Decimal price, Decimal qty, Flag flag);

const PriceTree& price_tree() const { return price_tree_; };
};
Expand Down
5 changes: 5 additions & 0 deletions include/types.hpp
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Expand Up @@ -11,6 +11,7 @@ namespace orderbook {

using Decimal = decimal::U8;
using OrderID = uint64_t;
using UserID = uint64_t;

enum class Type : uint8_t {
Limit,
Expand Down Expand Up @@ -58,6 +59,7 @@ enum class Error : uint16_t {
OrderNotExists,
InsufficientQty,
NoMatching,
SelfTrade,
};

std::ostream& operator<<(std::ostream& os, const Error& error);
Expand Down Expand Up @@ -87,13 +89,16 @@ struct ExecutionReport {
// Order event fields (New, Rejected, Canceled)
MsgType msg_type{};
OrderID order_id{};
UserID user_id{};
OrderStatus status{};
Decimal qty{};
Decimal original_qty{};

// Trade event fields
OrderID maker_order_id{};
OrderID taker_order_id{};
UserID maker_user_id{};
UserID taker_user_id{};
OrderStatus maker_status{};
OrderStatus taker_status{};
Decimal last_qty{};
Expand Down
4 changes: 2 additions & 2 deletions main.cpp
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Expand Up @@ -90,8 +90,8 @@ void throughput(int64_t seed, int duration, orderbook::Decimal lowerBound, order
ob->cancelOrder(sellID);
buyID = ++nextID;
sellID = ++nextID;
ob->addOrder(buyID, Type::Limit, Side::Buy, bidQty, bid, Flag::None);
ob->addOrder(sellID, Type::Limit, Side::Sell, askQty, ask, Flag::None);
ob->addOrder(buyID, 0, Type::Limit, Side::Buy, bidQty, bid, Flag::None);
ob->addOrder(sellID, 0, Type::Limit, Side::Sell, askQty, ask, Flag::None);

operations += 4; // 2 cancels + 2 adds
}
Expand Down
25 changes: 22 additions & 3 deletions src/orderqueue.cpp
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Expand Up @@ -29,22 +29,41 @@ void OrderQueue::remove(Order* o) {
}
}

Decimal OrderQueue::process(const TradeNotification& tradeNotification, const PostOrderFill& postFill, OrderID takerOrderID, Decimal qty) {
Decimal OrderQueue::availableQty(UserID takerUserID) const {
// When STP is disabled (takerUserID == 0) all orders are eligible; skip the per-order scan.
if (takerUserID == 0) {
return total_qty_;
}
Decimal avail{};
for (const auto& o : orders_) {
if (o.user_id != takerUserID) {
avail += o.qty;
}
}
return avail;
}

Decimal OrderQueue::process(const TradeNotification& tradeNotification, const PostOrderFill& postFill, OrderID takerOrderID, UserID takerUserID, Decimal qty) {
Decimal qtyProcessed = {};
BOOST_ASSERT(orders_.begin() != orders_.end());
for (auto it = orders_.begin(); it != orders_.end() && qty > uint64_t(0);) {
BOOST_ASSERT(it != orders_.end());
BOOST_ASSERT(orders_.begin() != orders_.end());
auto* ho = &*it;
BOOST_ASSERT(ho != nullptr);
if (takerUserID != 0 && ho->user_id == takerUserID) {
++it;
continue;
}
if (qty < ho->qty) {
qtyProcessed += qty;
ho->qty -= qty;
total_qty_ -= qty;
tradeNotification(ho->id, takerOrderID, OrderStatus::FilledPartial, OrderStatus::FilledComplete, qty, ho->price);
tradeNotification(ho->id, takerOrderID, ho->user_id, takerUserID, OrderStatus::FilledPartial, OrderStatus::FilledComplete, qty, ho->price);
break;
} else {
const auto makerOrderID = ho->id;
const auto makerUserID = ho->user_id;
const auto makerPrice = ho->price;
auto matchedQty = ho->qty;
qtyProcessed += matchedQty;
Expand All @@ -56,7 +75,7 @@ Decimal OrderQueue::process(const TradeNotification& tradeNotification, const Po
postFill(makerOrderID);
// qty has already been decremented by matchedQty, so zero means taker is fully filled.
const auto takerStatus = qty.is_zero() ? OrderStatus::FilledComplete : OrderStatus::FilledPartial;
tradeNotification(makerOrderID, takerOrderID, OrderStatus::FilledComplete, takerStatus, matchedQty, makerPrice);
tradeNotification(makerOrderID, takerOrderID, makerUserID, takerUserID, OrderStatus::FilledComplete, takerStatus, matchedQty, makerPrice);
}
}

Expand Down
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