A simple Limit Order Book implementation in C++. Maintains two side books (bids and asks) with support for:

• Limit order placement with automatic matching
• Partial and full fills
• Order cancellation in O(1) via hashmap of iterators
• Volume tracking per price level
• Text-based printing of book state

• Two sides: Bids (descending prices) and Asks (ascending prices) using std::map with custom comparators.
• Fast operations: O(log n) price-level lookup, O(1) insert/delete within price level via std::list.
• Order cancellation: Immediate removal by OrderId using std::unordered_map<OrderId, iterator>.
• Recursive matching: New orders cross spread and match until exhausted.
• VolumeMap: Tracks total quantity at each price.

• Order: Represents an individual order with price, quantity, ID, side, and timestamp.

• OrderQueue: std::list<Order> for each price level, enabling stable iterators.

• LimitOrderBook: Manages Bids and Asks maps:

  • std::map<Price, OrderQueue, std::greater<Price>> Bids
  • std::map<Price, OrderQueue, std::less<Price>> Asks

• OrderMap: std::unordered_map<OrderId, OrderQueue::iterator> for cancellation.

• VolumeMap: std::unordered_map<Price, Quantity> for level volume.

• C++17 or later
• Clang++ or any C++17-compatible compiler

# Compile with clang++
clang++ -std=c++17 -O2 -Wall -Wextra -o orderbook main.cpp

You can also use g++:

g++ -std=c++17 -O2 -Wall -Wextra -o orderbook main.cpp

./orderbook

This runs the built-in test driver, demonstrating:

1. Initial limit order placements
2. Matching behavior for crossed orders
3. Partial and full fills
4. Order cancellation
5. Final book state printing

LimitOrderBook book;
auto now = std::chrono::steady_clock::now();

// Place bids
book.PlaceOrder(100, 10, 1, OrderSide::BUY, now);
book.PlaceOrder(102,  5, 2, OrderSide::BUY, now);

// Place asks
book.PlaceOrder(105,  7, 3, OrderSide::SELL, now);
book.PlaceOrder(101,  3, 4, OrderSide::SELL, now);

// Print
book.PrintBook();

// Place an order that crosses the spread
book.PlaceOrder(103, 10, 5, OrderSide::BUY, now);

book.PrintBook();

├── main.cpp       # Implementation and test driver
└── README.md      # This file

1. Fork it
2. Create your feature branch (git checkout -b feature/fooBar)
3. Commit your changes (git commit -am 'Add some fooBar')
4. Push to the branch (git push origin feature/fooBar)
5. Create a new Pull Request

Please label issues and PRs appropriately. New contributors can look for issues tagged good first issue.