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