Order Book Engine

High-performance Limit Order Book engine built in C++20 with price-time priority matching.

Performance

Measured on Windows 11, MSVC 19.44, Release + LTO (500,000 orders)

Before / After

Operation	Before (median)	After (median)	Improvement
Limit Order Insert	500 ns	200 ns	2.5x
Cancel Order	1,000 ns	200 ns	5.0x
Market Order (w/ matching)	200 ns	100 ns	2.0x
Throughput	1.38M orders/sec	4.87M orders/sec	3.5x

Latency Breakdown (After)

Operation	Mean (ns)	Median (ns)	P99 (ns)	Min (ns)	Max (ns)
Limit Order Insert	201	200	500	100	150,900
Cancel Order	232	200	700	0	212,500
Market Order (w/ matching)	225	100	900	100	61,700

Key Optimizations

#	Technique	Detail	Effect
1	fills.reserve(16)	Pre-allocate match result vector	Eliminate dynamic allocation on matching hot path
2	Intrusive Linked List + Object Pool	std::deque → prev/next embedded list, heap alloc → pre-allocated pool	Cancel O(N) → O(1), alloc ~100 ns → ~1 ns
3	Flat Array Price Levels	std::map → std::vector direct indexing	Price lookup O(log N) → O(1), eliminate cache misses
4	Flat Vector Order Lookup	std::unordered_map → std::vector<Order*>	Remove hash computation, O(1) direct indexing
5	Benchmark Warm-up + CPU Pinning	Stabilize cache before measurement, SetThreadAffinityMask	Max latency 185x reduction (27.9 ms → 150 us)
6	LTO (Link-Time Optimization)	CMAKE_INTERPROCEDURAL_OPTIMIZATION	Cross-TU inlining, ~5-15% overall improvement
7	[[likely]] / [[unlikely]]	C++20 branch prediction hints	Improve branch prediction in matching loop

Architecture

Data Structure	Purpose	Time Complexity
Flat array (std::vector<PriceLevelList>)	Bid/Ask price levels	O(1) price access
Intrusive doubly-linked list	Order queue per price level (FIFO)	O(1) insert/remove
Object Pool (OrderPool)	Pre-allocated Order objects	O(1) alloc/dealloc, zero heap allocation
Flat vector (std::vector<Order*>)	OrderId → Order pointer direct indexing	O(1) lookup

Features

• Limit Order — Place buy/sell orders at a specified price; unmatched quantity rests in the book
• Market Order — Immediate execution against best available price; unfilled remainder is discarded
• Cancel Order — O(1) lookup and O(1) removal via intrusive linked list
• Price-Time Priority — Best price matched first; ties broken by earliest arrival time

Build & Run

Requires CMake 3.14+, C++20 compiler (MSVC / GCC / Clang).

cmake -B build
cmake --build build --config Release

# Demo
./build/Release/orderbook

# Unit tests (Google Test)
./build/Release/tests

# Benchmark
./build/Release/benchmark

Tests

16 unit tests covering:

• Limit order insertion and book state verification
• Price-time priority matching
• Market buy/sell execution
• Market order on empty book
• Cancel order (success, failure, empty price level cleanup)
• Partial fills
• Multi-level matching across price levels
• Depth-limited book display
• Market order exceeding available liquidity

Project Structure

src/
  Types.h          - Common type definitions (Price, Quantity, OrderId, Side, OrderType, etc.)
  Order.h          - Order struct (with prev/next for intrusive list)
  OrderBook.h      - OrderBook, OrderPool, PriceLevelList class declarations
  OrderBook.cpp    - OrderBook implementation (insert, cancel, matching)
  main.cpp         - Demo entry point
bench/
  Benchmark.cpp    - Latency and throughput benchmarks
tests/
  TestOrderBook.cpp - Google Test unit tests (16 cases)