quantsc-hft
Limit Order Book
The goal of this project is to implement a Limit Order Book in C++. This will
then be used by the research team to simulate executions of trades. If you are
unfamiliar with the concept of Limit Order Books, check out this brief
video about how they work.
A great overview of the general idea of what we are implementing can be found
here.
Currently, the next steps for the project are the following:
Functions
- [ ] Basic CRUD(create, read, update, and delete/cancel) operations for the LOB for
the following order types
- Limit Buy
- Limit Sell
- Market Buy
- Market Sell
- [ ] Order execution
- Executing Limit sell
- Executing Limit buy
- Executing Market buy
- Executing Market sell
- [ ] “Best” buy function
- [ ] Num of sell/buys (volume)
- [ ] Check if a given order is in the order book
- [ ] Matching algorithm
- Naive random
- Price-time-priority algorithm
- Pro-rata
- Auction mechanism