C++ Orderbook

Email: [email protected]

Run Command

make all
make clean-intermediate
make run

Project Description

This program features a mock API designed to simulate trading on the NYSE/NASDAQ, with a unique focus on pre-coalescing orders. By aggregating smaller orders into larger, more efficient blocks, the program reduces the overhead associated with handling individual transactions. This pre-coalescing functionality is particularly beneficial in High-Frequency Trading (HFT) environments, where the speed and efficiency of trade execution can significantly impact profitability. By reducing the number of discrete order submissions, the program minimizes processing delays and enhances the scalability of trading operations.

In HFT, the ability to optimize execution strategies is critical to capitalizing on fleeting market opportunities. The pre-coalescing mechanism ensures that traders can execute large volumes of trades without flooding the order book or causing unnecessary market disruption. This approach reduces transaction costs by avoiding multiple small-order fees and helps maintain anonymity, a crucial factor in avoiding adverse price movements caused by signaling large trades. Simulating these processes in a mock API allows developers to test and refine their algorithms in a risk-free environment, ensuring readiness for real-world deployment.

Moreover, the program's design emphasizes minimizing the market impact of high-frequency trading activities. By consolidating orders before execution, the program reduces slippage and helps maintain price stability in the market. This is particularly important in scenarios where liquidity is limited, and large orders could otherwise distort prices. With its combination of operational efficiency and market-sensitivity, this mock API serves as a tool for developing, testing, and perfecting trading strategies tailored to the demanding requirements of HFT systems.

Endpoints

Endpoint	URL	Arguments
Buy Order Submission	/buy_order	ticker, price, quantity
Sell Order Submission	/sell_order	ticker, price, quantity
All Unfilled Orders	/all_order	ticker
All Tickers	/all_tickers

Project Structure

./
./README.md
./src/
./includes/

Citations

• C++ Standard Template Library