A simplified single-symbol limit order book exchange simulator implemented in C++17. Features price-time priority matching, order cancellation, and event-driven architecture.

Core Functionality:

• Limit order book with FIFO queues per price level
• Price-time priority order matching
• Trade execution with automatic order matching
• Partial fills support
• Order cancellation with FIFO preservation
• Top-of-book and full book queries

Architecture:

• Event-driven design (Observer pattern)
• Clean separation of concerns
• Batch file processing
• Interactive and file input modes

Testing:

• Comprehensive unit test coverage
• Golden test framework for regression testing
• Automated test file generation

# Build the project
mkdir build && cmake -S . -B build && cmake --build build

# Run interactively
./build/exchange_simulator

# Process a file
./build/exchange_simulator input.txt

# Run tests
./build/test_parser
./build/test_order_book
./build/test_matching_basic
./build/test_matching_cancel
./build/test_golden tests/data/tight_spread.txt tests/data/tight_spread_expected.txt
./build/test_performance tests/data/benchmark_100k.txt

Requirements:

• CMake ≥ 3.16
• C++17 compatible compiler (GCC, Clang, MSVC)

Build Commands:

mkdir build
cmake -S . -B build
cmake --build build

Read commands from stdin:

./build/exchange_simulator
# Then type commands:
N 1 B 100 10
N 2 S 105 5
P
X

Process commands from a file:

./build/exchange_simulator input.txt

Examples:

• N 1 B 100 10 - Buy order: ID=1, price=100, qty=10
• N 2 S 105 5 - Sell order: ID=2, price=105, qty=5
• C 1 - Cancel order ID 1
• P - Show best bid and ask

Validation:

• Order IDs must be positive integers
• Prices must be positive integers
• Quantities must be positive integers
• Side must be exactly "B" (buy) or "S" (sell)

The simulator outputs events as they occur:

Example Output:

ACK 1
ACK 2
TRD 1 2 100 5
TOB BID 100 5
TOB ASK 105 5

Run all unit tests:

./build/test_parser
./build/test_order_book
./build/test_matching_basic
./build/test_matching_cancel

Golden tests compare actual output against expected reference files.

Generate Test Files:

# Generate random test input
python3 scripts/generate_test.py -n 1000 -o test_input.txt --seed 42

# Generate expected output (golden reference)
./build/exchange_simulator test_input.txt > test_expected.txt

Run Golden Tests:

./build/test_golden <input_file> <expected_file>

Pre-generated Test Files:

./build/test_golden tests/data/tight_spread.txt tests/data/tight_spread_expected.txt
./build/test_golden tests/data/benchmark_100k.txt tests/data/benchmark_100k_expected.txt

The performance profiler measures pure logic latency and throughput using RAII ScopedTimer pattern. Timing excludes parsing and I/O overhead to measure only the core matching engine logic.

Run Performance Analysis:

./build/test_performance <input_file>

Example:

./build/test_performance tests/data/benchmark_100k.txt

Measurement Approach:

• Start Timer: Immediately before calling matching_engine.process_new_order() or cancel_order()
• Stop Timer: Immediately after the engine returns (using RAII destructor)
• Excludes: Parsing, I/O, and other overhead that wouldn't exist in hardware/FPGA implementations

Metrics Reported:

• Total Operations: Number of operations processed (separate counts for orders and cancels)
• Mean Latency: Average time per operation (microseconds)
• P99 Latency: 99th percentile latency (microseconds)
• Throughput: Operations processed per second

Example Output:

=== Order Performance Statistics ===
Total Operations: 69841
Mean Latency: 1.60935 us
P99 Latency: 4.292 us
Throughput: 327136 Orders/sec

=== Cancel Performance Statistics ===
Total Operations: 20100
Mean Latency: 0.344536 us
P99 Latency: 1 us
Throughput: 94148.6 Cancels/sec

Completed Milestones:

• Milestone 1: Command parsing and validation
• Milestone 2: Limit order book with FIFO queues per price level
• Milestone 3: Matching engine with price-time priority matching
• Milestone 4: Order cancellation + Event system (Observer pattern)
• Milestone 5: File batch processing and golden tests
• Milestone 6: Performance analysis (latency and throughput metrics)

Project Structure:

exchange_simulator/
├── src/              # Source code
│   ├── parser.*      # Command parsing
│   ├── order_book.*  # Order book implementation
│   ├── matching_engine.*  # Matching logic
│   ├── performance_profiler.*  # Performance instrumentation
│   └── main.cpp      # Application entry point
├── tests/            # Test files
│   ├── test_*.cpp    # Unit tests
│   └── data/         # Test data files
├── scripts/          # Utility scripts
│   └── generate_test.py  # Test file generator
└── build/            # Build output (generated)

Technology:

• C++17 standard
• CMake build system
• Observer pattern for event handling
• STL containers (map, list, unordered_map)