⚡ Limit Order Book Simulator

A high-performance C++17 limit order book (LOB) simulator for benchmarking market and limit order execution strategies under synthetic high-frequency trading (HFT) conditions.

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🚀 Features

• 📈 Real-time Matching Engine
  Handles market and limit orders using price-time priority.

• ⚡ 100K+ Orders per Second
  Optimized using STL containers, preallocated memory pools, and minimal heap allocation.

• 🧪 Robust Order Flow Simulation
  Simulates realistic order traffic across 1M+ orders with configurable intensity.

• 📊 Benchmarking Support
  Measures throughput and latency for performance profiling.

• 🧠 Clean Systems Design
  Modular codebase with separation of concerns: OrderBook, Simulator, MemoryPool.

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🛠️ Technologies

• Language: C++17
• Build System: CMake
• Standard Library: STL (priority_queue, map, etc.)

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🔧 Building and Running

Requirements:

• CMake 3.10+
• C++17-compatible compiler (MSVC, g++, clang++)

Build

mkdir build
cd build
cmake ..
cmake --build . --config Release

./LOB_Simulator.exe 1000000 2000000


📈 Sample Benchmark Output
Processing 1,000,000 limit orders...
Processing 2,000,000 market orders...
Total matched orders: 1,973,420
Average latency: 4.3 µs
Throughput: 112,000 orders/sec