OrderBook

A high-performance C++ order matching engine with Qt6 GUI and SQLite persistence.

Build and Run

# Build setup
mkdir build && cd build
cmake ..
make

# Run GUI application
./OrderBookGUI

# Run tests
./test_orderbook

Database Population

Pre-populate the database with market scenarios for testing:

# Built-in scenarios
./populate_db --scenario normal    # Balanced market
./populate_db --scenario thin      # Wide spreads
./populate_db --scenario volatile  # Random prices

# Python-generated data
python3 scripts/data/populate_orderbook.py  # Generate CSV
./populate_db --csv data/csv/orderbook_scenario.csv

# Database management
./populate_db --clear              # Clear all orders
./populate_db --stats              # Show statistics

The GUI automatically loads pre-populated orders on startup.

Development Workflow

# Make changes to source files
# Then rebuild (only changed files recompile)
make && ./OrderBookGUI

# Run tests after changes
./test_orderbook

Project Structure

Core Implementation

• src/core/ - Core orderbook engine and data structures
• src/gui/ - Qt6 GUI application with real-time visualization
• database/lib/ - SQLite database integration
• database/tools/ - Database population utilities
• scripts/data/ - Python data generation scripts
• tests/ - Comprehensive stress tests and benchmarks

Build System

• CMakeLists.txt - Build configuration creating orderbook_lib static library
• build/ - Generated build files and executables

Tests

• test/test_orderbook.cpp - Comprehensive test suite covering all functionality including:
  • Basic functionality (empty orderbook, single orders, multiple orders)
  • Order matching (exact match, partial fills, multiple matches, price/time priority)
  • Edge cases (zero quantity, large quantities, price boundaries, cancellation)
  • Fill-or-Kill orders (successful execution and rejection)
  • Performance tests (many orders)

Architecture

Order Matching

• Price-time priority matching algorithm
• Partial fill support with remaining quantity tracking
• Automatic trade generation for matched orders
• Fill-or-Kill (FOK) order type support

Data Structures

• std::map<Price, std::list<OrderPointer>> for bid/ask price levels
• std::unordered_map<OrderId, OrderEntry> for O(1) order lookup
• FIFO ordering within price levels using std::list

Key Classes

• Order - Individual order with fill tracking
• Orderbook - Main matching engine
• OrderbookLevelInfos - Price level aggregation for display

Requirements

• C++20 compatible compiler
• CMake 3.20 or higher

Documentation

• docs/PROJECT_OVERVIEW.md - Complete technical architecture and design decisions
• docs/guides/DATABASE_GUIDE.md - Database setup, operations, and management
• docs/guides/TESTING_GUIDE.md - Comprehensive testing and script usage guide
• docs/PROJECT_STRUCTURE.md - Detailed project organization and component overview