A CLOB Implementation - Order Matching Engine

This project implements a simplified matching engine for processing trading orders. It manages multiple central limit order books (CLOBs) for different trading symbols.

How A Matching Engine Works

A matching engine matches orders from market participants, resulting in trades when compatible buy and sell orders meet. A trade occurs when someone wants to buy at an equal or higher price than someone else wants to sell.

Key Concepts

• Orders: Each order contains an ID, side (buy/sell), limit price, and volume.
• Limit Price: For buy orders, the maximum price willing to pay; for sell orders, the minimum price willing to accept.
• Central Limit Order Book (CLOB): Contains two sides (buy and sell) with all active orders.
• Matching Priority:
  1. Price priority: Best price matches first
  2. Time priority: For same price, earlier orders match first
• Trade Generation: When a match occurs, a trade is generated with:
  • Aggressive order: The order causing the trade (new or amended)
  • Passive order: The matching order on the opposite side
  • Trade volume: Minimum of the active volumes of matched orders
  • Trade price: Determined by the price of the passive order

Order Operations

• Insert: Add a new order to the book
• Pull: Remove an order from the book
• Amend: Change price and/or volume of an order
  • Amending causes loss of time priority unless only decreasing volume
  • Price amendments require re-evaluation for potential matches

Features

• Parse input orders from text (typically via terminal input or redirected file)
• Match buy and sell orders according to price-time priority
• Support for order amendments and cancellations
• Output details of trades that occurred
• Output snapshots of order books for each traded security

Project Structure

order_match_engine/
  ├── include/              # Header files
  │    └── *.hpp
  ├── src/                  # Source files (engine logic)
  │    ├── *.cpp
  │    └── main.cpp
  ├── tests/                # Tests for the engine
  │    └── tests.cpp
  ├── CMakeLists.txt        # Build configuration
  └── README.md             # Original assignment description

Input Format

Each input line represents a single order and should follow a format with order ID, side, price, and quantity:

<order_id> <side: buy/sell> <price> <quantity>

Example:

10001 buy 101.5 10
10002 sell 101.5 5

Output

After all input orders are processed, the application prints:

1. Executed trade information: Order IDs, price, quantity
2. Final state of each order book: Remaining buy/sell orders

How to Build

This project uses CMake:

mkdir build && cd build
cmake ..
cmake --build .

Running

To run interactively:

./order_match_engine

Or with an input file:

./order_match_engine < input.txt

Testing

Tests are located in tests/tests.cpp and implemented with Catch2. To run the tests, ensure you have Catch2 installed and then build the project as described above. After building, execute:

./tests

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