{"repo":"robaho/cpp_orderbook","free":true,"listed":false,"github":"https://github.com/robaho/cpp_orderbook","clone":"git clone https://github.com/robaho/cpp_orderbook.git","description":"a financial \"order book\" in C++","language":"C++","stars":23,"topics":["cpp20","exchange","fix","fixprotocol","trading","cpp"],"license":null,"category":"trading","readme_excerpt":"Summary This is an ultra high performance C++ implementation of a financial exchange order book capable of processing more than 5M orders per second per cpu core. It is inspired by the Go version in go-trader. It uses cpp fixed to perform fixed decimal point integer math. It supports limit and market orders. See cpp-trader for a financial exchange utilizing this. Building Clone cpp fixed at the same directory level. The location of cpp fixed can be set via INCLUDES in the Makefile . You need the Boost Unit Testing Framework installed. It builds using make and by default with CLang. There is Makefile.gcc to use GCC instead. Testing use make run tests to run all of the test cases. Usage See exchange.h for the public api. orderbook.h is the internal single threaded order book management. Performance view performance details The PriceLevels implementation can be chosen by modifying the typedef xxxxx PriceLevels; in pricelevels.h and rebuilding. Using dequeue: insert orders 1000 levels, usec per order 0.171672, orders per sec 5825061 insert orders 1000 levels with trade match % 0 insert orders 1000 levels, usec per order 0.231113, orders per sec 4326883 insert orders 1000 levels with trade match % 31 cancel orders 1000 levels, usec per order 0.231527, orders per sec 4319150 insert orders 10 levels, usec per order 0.125911, orders per sec 7942117 insert orders 10 levels with trade match % 0 insert orders 10 levels, usec per order 0.187032, orders per sec 5346690 insert orders 10 le","default_branch":null,"files":null,"tree":[],"storefront":"/r/robaho","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/robaho/cpp_orderbook/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."}