Limit Order Book Simulator

A high-performance order book engine written in C++, simulating the core matching system used by stock exchanges and HFT firms.

What it does

• Accepts limit orders (buy/sell at a specific price) and market orders (buy/sell at best available price)
• Matches orders automatically when bid price >= ask price
• Handles partial fills — if buy wants 50 units but only 30 available, trades 30 and keeps 20 in book
• Supports order cancellation
• Maintains bids sorted highest-to-lowest, asks sorted lowest-to-highest

Data Structures

• std::map<int, int, greater<int>> for bids — O(log n) insert/delete, automatic descending sort
• std::map<int, int> for asks — O(log n) insert/delete, automatic ascending sort

Order Types

Type	Description
buy	Limit buy — add to bid book at specified price
sell	Limit sell — add to ask book at specified price
market_buy	Consume cheapest available asks immediately
market_sell	Consume highest available bids immediately

Build & Run

g++ main.cpp -o ob && ./ob

Example Output

Trade: 10 units at price 100
Market Trade: 30 units at price 101
ASKS:
101 | 30
---
BIDS:
100 | 40
99  | 20