📈 HFT Simulator - (LOB & Matching Engine)

This project is a C++17 event-driven matching engine prototype built around a price-time-priority limit order book. It ingests raw order flow from a CSV feed, parses each record into an Order, routes by symbol_id, matches resting liquidity, and emits Trade objects through an outbound queue.

Currently it supports:

• LIMIT orders
• MARKET orders with IOC-style sweep behavior against available liquidity
• order cancellation for resting orders
• per-symbol order books
• lock-free-style ring-buffer transport between pipeline stages

In building this project, I've also implemented fixed-point prices, cache-aware data layout using alignas(64), thread handoff, and low-overhead file ingestion with mmap, and most importantly, leveraging hardware prefetcher.

Architecture

flowchart TD
    A[Inbound Queue]
    B[MatchingEngine]
    C[Route by symbol_id]
    D[Per-Symbol OrderBook]
    E[Match / Book / Emit Trades]
    F[Outbound Queue]
    G[Trade Drain Thread]

    A --> B
    B --> C
    C --> D
    D --> E
    E --> F
    F --> G

Core Components

FeedHandler

• Reads raw input from disk using mmap
• Parses side, price, quantity, order type, symbol, and timestamp
• Converts parsed records into strongly typed Order objects
• Pushes those orders into the inbound queue

RingBuffer

• Fixed-size circular buffer template
• Uses atomic read/write indices
• Shared transport primitive for both inbound orders and outbound trades
• Enforces bounded capacity and backpressure

MatchingEngine

• Owns the worker thread and inbound event loop
• Pops orders from inbound_queue
• Validates symbol_id
• Dispatches to the corresponding per-symbol OrderBook
• Pushes generated trades into outbound_queue

OrderBook

• Maintains bids and asks in price-sorted maps
• Maintains FIFO order priority within each price level via linked lists
• Supports:
  • limit-order matching and book insertion
  • market-order sweeping across available liquidity
  • cancellation by order id
• Emits Trade records when executions occur

Build

cmake -S . -B build
cmake --build build

Run

./build/hft_engine

It is intended as a compact but complete matching engine prototype rather than a production-ready exchange system.