Order Matching Engine

A high-performance order matching engine built in C++ that supports limit orders, multi-threaded execution, and UDP-based order intake. This engine simulates a real-time financial trading system by efficiently processing buy and sell orders.

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Features

• Limit Order Matching: Supports limit buy and sell orders.
• Multi-threaded Processing: Handles multiple orders concurrently.
• UDP-Based Order Intake: Receives orders over a network using UDP.
• Persistent Order Book: Stores and reloads orders from disk.
• Performance Benchmarks: Provides tools to measure system efficiency.

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Project Structure

order-matching/
├── benchmarks/         # Performance tests
│   ├── order_matching_benchmark.cpp
│   └── network_benchmark.cpp
├── docs/               # Documentation
│   ├── api.md
│   └── design.md
├── scripts/            # Helper scripts
│   ├── start_engine.sh
│   └── send_orders.sh
├── src/                # Core engine source code
│   ├── order.hpp
│   ├── order_book.hpp
│   ├── matching_engine.hpp
│   ├── network.hpp
│   ├── order_book.cpp
│   ├── matching_engine.cpp
│   ├── network.cpp
│   └── main.cpp
├── tests/              # Unit tests
│   ├── test_order_book.cpp
│   └── test_matching_engine.cpp
├── .gitignore
├── CMakeLists.txt
└── README.md

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Installation

Prerequisites

• C++17+ Compiler
• CMake (e.g., install via sudo apt install cmake on Linux or via Homebrew on macOS)
• Netcat (for sending UDP test orders)

Build the Project

mkdir build && cd build
cmake ..
make

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Usage

1. Start the Matching Engine

./matching_engine

Expected output:

Matching Engine running on port 8080...

2. Send Buy/Sell Orders via UDP

In a separate terminal, run:

echo "buy 100.5 10" | nc -u -w1 127.0.0.1 8080
echo "sell 100.5 10" | nc -u -w1 127.0.0.1 8080

3. Check the Order Book

The engine will output messages such as:

Trade executed: 10 units at price 100.5
No open orders for symbol: AAPL

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Performance Benchmarking

Order Matching Benchmark

./order_benchmark

Example output:

Processed 100000 orders in 0.56 seconds

Network Benchmark

./network_benchmark

Example output:

Sent 10000 UDP orders in 1.23 seconds

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Testing

Run unit tests to verify functionality:

./order_book_test
./matching_engine_test

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API Reference

For detailed information on the classes, functions, and how to integrate with the Order Matching Engine, please see the API Documentation.

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Architecture Overview

System Components

1. Order: Represents individual buy or sell orders.
2. OrderBook: Manages orders for a specific financial instrument.
3. MatchingEngine: Oversees multiple OrderBook instances and processes incoming orders.
4. Network: Handles the reception of orders via UDP.

Sequence Diagram

Client          Network          MatchingEngine          OrderBook
   |                |                   |                    |
   | -- Order -->   |                   |                    |
   |                | -- Parse Order -->|                    |
   |                |                   | -- Route Order --> |
   |                |                   |                    | -- Match Order
   |                |                   |                    |

For more details, see docs/design.md.

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License

MIT License. Feel free to modify and use.

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👤 Author

• Your Name – GitHub Profile
• Email: xfb7hj@virginia.edu