QuantCup limit order book in C++

Matching Engine in C++

This is an implementation of the limit order matching engine interface from the QuantCup problem.

The winning implementation was a classic C implementation - hand-coded intrusive linked lists, global variables, etc.

I wanted to see if it was possible to reimplement this in C++ with heavy usage of C++ STL and Boost libraries to reduce the amount of code used, to reduce the amount of code, not hand-roll our own data structures, etc. It seemed an interesting question to see if such a solution could be as fast as the highly-tuned C implementation.

Files

Relevant files are

• order_book.cpp
• order_book.h
• constants.h
• types.h

The rest is provided by the QuantCup competition.

Performance

On my 2.4 GHz Intel i7, there is no statistically signficant difference between the winning C implementation and the C++ implementation. The C++ implementation is significantly cleaner (eschewing global variables, using boost::intrusive for our linked list implementation, etc).

Replication

To replicate these results, just run:

$ git checkout winning-cpp-engine
$ make build && build/test && for i in {1..10}; do echo $i && \
build/score 2>&1 | tail -n1 | cut -d ' ' -f 3; done

$ git checkout winning-c-engine
$ make build && build/test && for i in {1..10}; do echo $i && \
build/score 2>&1 | tail -n1 | cut -d ' ' -f 3; done