Order Engine

A high-performance order book and matching engine written in modern C++20.

The engine takes buy and sell orders, organizes them by price-time priority, and executes trades when compatible orders meet — the same core system that sits at the heart of any stock exchange or trading venue.

What It Does

• Limit orders — buy or sell at a specific price, rest in the book until matched
• Market orders — execute immediately at the best available price
• Partial fills — large orders fill incrementally across multiple resting orders
• Multi-level sweeps — market orders walk through several price levels
• Cancellation — remove resting orders by ID with O(1) lookup
• Price-time priority — best price first, earliest arrival first at the same price

Market Data Views

The engine is Market by Order (MBO) internally — every individual order is stored in FIFO queues per price level. It derives Market by Price (MBP) snapshots for display, aggregating total quantity and order count at each level.

See docs/market-data-views.md for details.

Architecture

Interfaces (FTXUI Dashboard, Python Tooling)
        │
   Application Layer (Parser, Validator, Dispatcher)
        │
   Matching Engine (Price-Time Priority, Fills, Cancellation)
        │
   In-Memory State (Bid/Ask Maps, FIFO Queues, Order Index, Trade Log)

Prices are stored as integer ticks (cents) to avoid floating-point comparison errors. $100.25 → 10025.

Tech Stack

• Language: C++20
• Build: CMake
• Testing: GoogleTest
• Interface: FTXUI (planned)
• Tooling: Python, Docker, GitHub Actions

Build

cmake -B build -S .
cmake --build build

Test

# Linux / macOS
cd build && ctest --output-on-failure

# Windows (MSVC)
cd build; ctest -C Debug --output-on-failure

Release Plan

Version	Goal	Status
v1.0	Correct single-process engine with tests, benchmarks, FTXUI dashboard, Docker, and CI	In progress
v2.0	Concurrent event-driven engine with pub-sub, metrics, and deterministic replay	Planned
v3.0	Networked multi-client service with TCP protocol and market data subscriptions	Planned

Project Structure

order-engine/
├── CMakeLists.txt
├── include/order_engine/core/    # Public headers (types, order, trade)
├── src/core/                     # Engine implementation
├── tests/unit/                   # GoogleTest unit tests
├── docs/                         # Architecture and design docs
└── apps/                         # CLI and server entry points

License

See LICENSE.md.