Order Book implementation in C++20 and a long journey from C++98.
This work can be seen as an attepmt to make paractical use of new features of C++ language.
Project created using Dockerized C++ Code Template from my GitHub repository cpp-template.
I wanted to show, how do I see as the user of C++, the evolution of the programming techniques from C++98 up to C++20.
I have organised commits in a specific way so that first commits show how this would be implemented in C++98, and with every next commit we move towards C++20 concepts and co-routines.
The architecture is very simple and intuitive.
There is an OrderBook template that takes OrderType and OrderBookSidePolicy template parameters.
The OrderType needs to conform to OrderConcept, i.e. needs to have a price, quantity, side and type.
The OrderBookSide needs to be some implementation of the order book side, which provides two methods add_order() and match_order().
As a result of calling add_order(), an order should be stored somewhere on that side of the book.
The match_order() is a co-routine, which should match incoming order against orders on the side of the book, and
for every match yield an order execution information, which is a pair of matched order and quantity executed.
Additionally match_order() receives ExecutionPolicy, which may control order executions, i.e.
it may reject or reduce executed quantity. In theory user may provide asynchronous ExecutionPolicy.
Provided is an implementation of Price Level book side, which conforms to PriceLevelOrderBookSideConcept.
This means that each price levels are accessible via range between begin() and end(), and top level by top().
Then each level conforms to PriceLevelConcept, which then allows you to iterate over orders on that level
within the range between begin() and end(), and also first order by first().
We also provide Order template that takes PriceType and QuantityType template parameters,
which control the numeric types used for price and quantity. There are also PriceTraits and QuantityTraits,
which provide additional flexibility. We test that solution works for int, long, and double as
type of each price or quantity.
At this stage the order book implementation acts purely as matching engine, and not as order manager,
and because of that I am not using smart pointers like shared_ptr<> in the OrderQuantity.
I decided to leave the responsibility of order management to the user. However I was considering to
add order pointer policy class that would control whether we use smart pointers or not.
- Launch Docker container
docker-compose up -d
- Enter development environment within Docker container
./enter-app.sh
- Configure
mkdir /home/build
cd /home/build
cmake /home/app
- Build
make
- Test
ctest
- Run App
./bin/run_app