High-Performance C++ Limit Order Book (LOB)

A deterministic, high-efficiency matching engine implemented in C++20. This project simulates a financial exchange by matching buy and sell limit orders using Price-Time Priority (FIFO).

🏗️ System Architecture

The engine utilizes a Nested Map-of-Lists architecture to achieve high-performance algorithmic complexity:

• Price Discovery: std::map (Red-Black Tree) ensures $O(\log P)$ lookup for the best bid/ask.
• Priority Management: std::list (Doubly Linked List) maintains $O(1)$ time priority at each price level.
• Order Tracking: std::unordered_map provides $O(1)$ direct access to orders for instant cancellation.

🚀 Performance Characteristics

Operation	Complexity	Implementation Details
New Order	$O(\log P + M)$	Logarithmic price search + $M$ fills
Cancellation	$O(1)$	Hash-map iterator lookup
Modification	$O(1)$	Direct node access via iterator

🛠️ Build & Run

Ensure you have a C++20 compatible compiler (Clang/GCC).

# Compile
g++ -std=c++20 -Iinclude src/*.cpp -o engine

# Run
./engine