{"repo":"SLMolenaar/orderbook-simulator-cpp","free":true,"listed":false,"github":"https://github.com/SLMolenaar/orderbook-simulator-cpp","clone":"git clone https://github.com/SLMolenaar/orderbook-simulator-cpp.git","description":"A high-performance C++ orderbook engine with microsecond-level latency, supporting multiple ordertypes, price-time priority matching and real time data integration from Binance","language":"C++","stars":268,"topics":["cpp","high-performance","orderbook","quantitative-finance"],"license":"MIT","category":"trading","readme_excerpt":"High-Performance Order Book Engine A low-latency limit order book implementation in C++20 with real-time market data integration. Built to handle high-frequency trading workloads with microsecond-level latency. Overview This project implements a matching engine and order book that supports multiple order types, priority-based matching, and real-time market data processing. The architecture is designed for performance-critical applications where latency matters. Key metrics: - Order insertion: 2,700,000 orders/sec - Order matching: 1,000,000 matches/sec (small books), 20,000 matches/sec (large books) - Order cancellation: 6,600,000 cancels/sec - Order modification: 3,800,000 modifies/sec - Average operation latency: 0.15-0.37 μs Features Core Order Book - Order Types : GoodTillCancel, Market, ImmediateOrCancel, FillOrKill, GoodForDay - Matching Algorithm : Price-time priority (FIFO within price levels) - Data Structures : O(1) order lookup, O(log n) price level access - Trade Execution : Automatic matching with partial fill support Market Data Feed - Real-time orderbook snapshots via Binance REST API - Incremental update processing (new orders, cancellations, modifications) - Batch message processing for improved throughput - Sequence number tracking for gap detection - Latency monitoring and statistics Live Market Display - Real-time visualization of cryptocurrency orderbooks - Configurable refresh rates and depth levels - Bid-ask spread analysis and mid-price calculation - M","default_branch":null,"files":null,"tree":[],"storefront":"/r/SLMolenaar","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/SLMolenaar/orderbook-simulator-cpp/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}