A c++ matching engine with limit order book (LOB)
- For two major operations in LOB, O(1) to match, O(1) to add if already have price level or O(logM) otherwise. Assume M is the average number of quotes in the LOB
- No double or float comparison
- Memory efficient
- Wall clock time is ~19s under mac air Intel(R) Core(TM) i5-3427U CPU @ 1.80GHz
$ make
$ make test
Need to modify the path to orders.csv in run.sh!
$ ./run.sh
boost