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ConcurrentCandle: Trading Orderbook Simulation Suite

Welcome to the ConcurrentCandle

This project simulates a trading engine that processes orders in parallel, mimicking the behavior of a financial market order book. The application utilizes multi-threading to handle large volumes of orders efficiently and supports market, limit, and stop orders.

Features

  • Multi-threaded Order Processing: Leverages the power of multi-threading to process orders in parallel, improving performance on multi-core systems.
  • Order Types: Supports Market, Limit, and Stop orders.
  • Order Book Management: Maintains separate bid and ask books for managing orders.
  • Random Order Generation: Simulates random order generation to mimic real-time trading activity.
  • Stop Order Triggering: Automatically triggers stop orders based on the last trade price.

Project Structure

The project is organized into the following files:

  • Order.h / Order.cpp: Contains the Order class definition and implementation, representing an order in the market.
  • BidBook.h / BidBook.cpp: Manages the bid side of the order book.
  • AskBook.h / AskBook.cpp: Manages the ask side of the order book.
  • OrderBook.h / OrderBook.cpp: Combines both bid and ask books to maintain the complete order book.
  • ExecutionEngine.h / ExecutionEngine.cpp: Implements the core trading simulation logic, including order processing, market and limit order execution, and stop order management.
  • main.cpp: Entry point of the application that initializes the trading engine and runs the simulation.

Getting Started

Prerequisites

  • C++ Compiler: Ensure you have a C++ compiler installed, such as msvc, g++ or clang. I built this application in msvc using VS 17.8.3
  • C++14 or Higher: This project requires C++14 or higher for threading and other modern C++ features. I built in C++20.

Building the Application

  1. Clone the repository:

    git clone https://github.com/prathikanand7/Quant-finance.git
cd order-book

  2. Compile the project:

    g++ main.cpp order.cpp bid_book.cpp ask_book.cpp order_book.cpp execution_engine.cpp -o concurrent_candle -lpthread

  3. Running the Application After compiling, you can run the application:

    ./concurrent_candle

  4. Or skip all the above mentioned steps and open the order_book.sln in VS 17.8.3 and above and ensure that you are building for the correct platform (x64 or x86).

  5. Run the application in Release mode.

The application will simulate trading with 10,000 random orders and display the status of the order book and the execution of orders in the console.

How It Works

  • Order Generation: Random orders are generated and processed in parallel using multiple threads. The ExecutionEngine class handles this processing.
  • Order Matching: Market and limit orders are matched against the existing order book, and stop orders are triggered based on the last trade price.
  • Multi-Threading: The processOrdersInParallel function divides the order processing workload across multiple threads, allowing the simulation to run efficiently on multi-core systems.

Acknowledgments

  • Tomer Tzadiko. "Quant Developer Youtuber". Videos on Quant Development.
  • Carl Cook. "Automated Trading Systems in C++". CppCon 2016 youtube video.

License This project is licensed under the MIT License - see the LICENSE file for details.