LIMIT ORDERS MATCHING ENGINE

Building

git clone https://github.com/rabarbra/exchange_matcher.git
cd exchange_matcher
make all

Usage

Running:

./exchange_matcher -i input.txt -o output.txt

Arguments:

• -i - input file, default is stdin
• -o - output file, default is stdout

Input data format:

• O,order id (uint),order side - S(ell) or B(uy),quantity (uint),price (float, precision = 2)
• C,order id (uint) - cancell order

• Examples:

• O,1,S,2,30.52 - sell order, order id = 1, quantity = 2, price = 30.52
• O,2,B,45,200.4 - buy order, order id = 2, quantity = 46, price = 2.4
• C,2 - cancel order with order id 2

Output data format:

• T,trade id (uint),S(ell) or B(uy),older order id (uint),newer order id (uint),quantity (uint),price (float .2)
• X,order id - order has been cancelled

• Examples:

• T,1,S,1,2,2,30.52 - Sell trade beetween orded 1 and order 2, quantity = 2, price = 30.52
• X,2 - Order 2 has been cancelled

Data structures and time performance

There are used two sorted linked lists for buy and sell orders. Orders get filled in O(1) time, are placed if no match - in O(n) time, are cancelled in O(n).

TO DO

• Test coverage
• Better gateways for input / output - read and write any defined buffer, not line by line.
• Better error processing and graceful shutdown logic.
• Maybe another data structure for placed limit orders with better time performance for place and delete operations.