Ultra-Low-Latency Limit Order Book / Exchange Simulator

This project is a small in-memory exchange simulator intended as a portfolio piece and a base for experimentation.

High-level design

• Core matching engine

  • OrderBook keeps separate bid/ask maps.
  • Each price level uses intrusive doubly-linked lists of OrderNodes to maintain strict price–time priority.
  • Orders are stored in an Arena allocator to avoid per-order heap traffic.
  • An unordered_map<OrderId, OrderNode*> index gives O(1) cancel by id.

• Lock-free queues

  • SpscRingBuffer<T, N> in utils/ringbuffer.hpp is a single-producer / single-consumer lock-free ring buffer.
  • The backtest uses it to enqueue OrderEvents into the engine.

• Timestamps

  • All events and trades carry nanosecond-resolution timestamps from utils/time.hpp (now_ns()).

• Strategy plug-in API

  • Strategy abstract base class with on_step(...).
  • MarketMakerStrategy implements a simple symmetric market-making strategy adding bid/ask around a stochastic mid-price.
  • The API is intended to be extended for VWAP, TWAP, stat-arb, etc.

• Deterministic backtesting

  • main.cpp loads a small YAML-style config (config.yaml) with fields like steps, seed, mid_price, etc.
  • Randomness comes from std::mt19937_64 seeded from config for reproducibility.
  • The loop records an equity curve and computes PnL, max drawdown, and a simple Sharpe ratio.

Building

You can build this with any C++17 compiler. Example with g++:

g++ -std=c++17 -O3 -I./src \
  src/utils/arena.cpp \
  src/utils/ringbuffer.cpp \
  src/utils/time.cpp \
  src/core/types.cpp \
  src/core/events.cpp \
  src/core/book.cpp \
  src/main.cpp \
  -o lob_sim