A mini matching engine in progress
Mini Matching Engine
This is a mini trading order matching engine for Unix like platform. Matching rule is simple: the earlier sent order will be traded earlier if the prices could be matched (buy price not lower than sell price). Unit test is handled by Makefile.Requirements:
- C++11
- clang 3.5 / gcc 4.8 or newer
Compiling And Testing:
To compile:$ make
To run all unit test cases: $ make test
Unit test cases for functionality of BUY, SELL, MODIFY, CANCEL, PRINT and Large Scale Test: $ make testbuy $ make testsell $ make testmodify $ make testcancel $ make testprint $ make testlarge or $ make testlarge TLV=x (the amount of large scale test could be set with x or left as default value of 50)
Supported Commands:
Could take 5 kinds of input from stdin, formats listed below:
1, BUY ORDER\TYPE QUANTITY PRICE ORDER\ID; e.g. 'BUY GFD 300 32 u5d12t9'. 2, SELL ORDER\TYPE QUANTITY PRICE ORDER\ID; e.g. 'SELL IOC 300 31 78wehyw'. 3, MODIFY ORDER\ID OPERATION\TYPE QUANTITY PRICE; e.g. 'MODIFY 1d81st2 BUY 200 18'. 4, CANCEL ORDER\_ID; e.g. 'CANCEL 5z81f72a'. 5, PRINT; no other parameter.
There are 2 ORDER\_TYPE, IOC and GFD: IOC order (Immediate or Cancel) will not be added to sell/buy list if it was not completely traded. GFD order (Good For Day) will be added to sell/buy list if it was not completely traded.
Order could be partially traded or completely traded. Once a pair of orders (one sell and one buy) got traded, a message will be printed like the following format. TRADE s151h23 1000 20 7sdfa91 1002 20
License:
See the License file for details.//todo dependency issue
Jan 2017 @Dublin Ireland
