MatchingEngine

Mini Matching Engine

This is a mini trading order matching engine for Unix like platform.
Matching rule is simple: the earlier sent order will be traded earlier if the prices could be matched (buy price not lower than sell price).
Unit test is handled by Makefile.

Requirements:

• C++11
• clang 3.5 / gcc 4.8 or newer

Compiling And Testing:

To compile:
$ make

To run all unit test cases:
$ make test

Unit test cases for functionality of BUY, SELL, MODIFY, CANCEL, PRINT and Large Scale Test:
$ make testbuy
$ make testsell
$ make testmodify
$ make testcancel
$ make testprint
$ make testlarge or $ make testlarge TLV=x (the amount of large scale test could be set with x or left as default value of 50)

Supported Commands:

Could take 5 kinds of input from stdin, formats listed below:

1, BUY ORDER_TYPE QUANTITY PRICE ORDER_ID; e.g. 'BUY GFD 300 32 u5d12t9'.
2, SELL ORDER_TYPE QUANTITY PRICE ORDER_ID; e.g. 'SELL IOC 300 31 78wehyw'.
3, MODIFY ORDER_ID OPERATION_TYPE QUANTITY PRICE; e.g. 'MODIFY 1d81st2 BUY 200 18'.
4, CANCEL ORDER_ID; e.g. 'CANCEL 5z81f72a'.
5, PRINT; no other parameter.

There are 2 ORDER_TYPE, IOC and GFD:
IOC order (Immediate or Cancel) will not be added to sell/buy list if it was not completely traded.
GFD order (Good For Day) will be added to sell/buy list if it was not completely traded.

Order could be partially traded or completely traded. Once a pair of orders (one sell and one buy) got traded, a message will be printed like the following format.
TRADE s151h23 1000 20 7sdfa91 1002 20

License:

See the License file for details.

//todo dependency issue

Jan 2017 @Dublin Ireland