- Limit Orderbook & Matching Engine + market simulation & visualsation written in c++.
- Design Document here.
Benchmark methodology explained here. In a simulation of market trading the application was able to place and match orders at an average rate of 2.4 Million orders per second.
| Function | Time (ns) | Implied rate per second |
|---|---|---|
| Get Order | 21.2 | 47,139,000 |
| Get Best Bid Price | 20.4 | 49,000,000 |
| Place Limit Order | 343 | 2,915,000 |
| Place Limit Order (New Price Level) | 430 | 2,327,000 |
| Place Market Order | 25.7 | 38,899,000 |
| Remove Order | 88.2 | 11,340,000 |
| Match Orders (uncrossed) | 24.0 | 41,624,000 |
| Match Orders (crossed) | 140 | 7,151,000 |
- A limit orderbook capable of handling limit and market orders, order cancellattions, and order modifications.
- Matching Engine implementing a price-time priority algorithm.
- A market simulation to to test performance and different implementations of the limit order book.
- Visualisation showing a price/time graph, limit level heatmaps, and a volume/time graph.
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