liborderbook

A high-performance C++20 limit order book matching engine with sub-100ns add-order latency.

Features

• Sub-100ns latency on the critical path
• Order types: GTC, Market, IOC, FOK
• Price-time priority matching (FIFO)
• Strong types for compile-time safety
• Slab allocator for cache locality
• Zero dependencies beyond STL

Quick Start

Build

cmake -S . -B build
cmake --build build --config Release

Integrate

add_subdirectory(liborderbook)
target_link_libraries(your_app PRIVATE orderbook::orderbook)

Use

#include "OrderBook.h"

using namespace orderbook;

OrderBook book;

// Place limit orders
book.addOrder(OrderBuilder{}.id(OrderId{1}).buy().goodTillCancel()
    .price(Price{100}).quantity(Quantity{10}).build());
book.addOrder(OrderBuilder{}.id(OrderId{2}).sell().goodTillCancel()
    .price(Price{101}).quantity(Quantity{20}).build());

// Market order crosses the spread
auto trades = book.addOrder(OrderBuilder{}.id(OrderId{3}).buy().market()
    .quantity(Quantity{5}).build());

book.cancelOrder(OrderId{1});
book.printBook();

Output:

=== ASKS ===
101 | 15 (1)
-------------
=== BIDS ===

API

OrderBuilder

OrderBuilder{}
    .id(OrderId{42})
    .buy()              // or .sell()
    .goodTillCancel()   // or .market() / .fillOrKill() / .immediateOrCancel()
    .price(Price{100})  // omit for market orders
    .quantity(Quantity{10})
    .build();

OrderBook

std::vector<Trade>  addOrder(Order order);   // Match + rest remainder
bool                cancelOrder(OrderId id); // Remove resting order
std::size_t         size() const;            // Live order count
OrderBookLevelInfos getLevelInfos() const;   // Aggregated depth
const std::vector<Trade>& getTrades() const; // Trade history
void                printBook();             // Debug output

Benchmarks

Single thread, MSVC Release with IPO and AVX2:

Operation	Latency
Add, no match	67 ns
Add, single match	143 ns
Add into 10k levels	58 ns
Cancel	75 ns

./build/Release/orderbook_bench_all

See BENCHMARKS.md for history.

Tests

cmake --build build --target orderbook_tests
./build/Release/orderbook_tests

Documentation

Document	Description
Introduction	Architecture and design
Installation	Build and integration
Guide	Core concepts and operations
Examples	Usage patterns
Support	FAQ, contributing, license

References

• How to Build a Fast Limit Order Book
• Limit Order Book in C++ — Abosi
• brprojects/Limit-Order-Book
• Strong types with CRTP — Fluent C++
• TomaszRewak/cpp-allocator — slab allocator

License

MIT