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cpp-matching-engine

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# High-Performance C++ Matching Engine

This repository contains a high-performance Limit Order Book (LOB) matching engine, a foundational component of modern electronic trading systems. It is implemented in modern C++ (C++17) with a focus on low-latency performance, clean architecture, and rigorous testing.

This project serves as a practical showcase of the skills required to build mission-critical financial technology. For a deep dive into the project's design and specifications, please see the **[Architecture Documentation](./docs/architecture.md)**.

## Key Features

-   **Core Logic:** A matching engine for a single instrument.
-   **Order Types:** Supports `LIMIT` and `MARKET` orders.
-   **Order Operations:** Handles `NEW` and `CANCEL` requests.
-   **Matching Algorithm:** Strictly adheres to **Price-Time Priority**.
-   **Risk Management:** Includes pre-trade checks for maximum order size and fat-finger price deviation.
-   **Connectivity:** A simple, single-threaded TCP server accepts orders via a basic text protocol.
-   **Testing:** A full suite of unit tests (Google Test), integration tests, and performance benchmarks (Google Benchmark).

## Architecture Overview

The system is designed as a sequential pipeline of single-responsibility components. The core logic is single-threaded to ensure deterministic behavior and eliminate locking overhead, a common practice in latency-sensitive systems.

**Order Flow:** `TCP Server` -> `Risk Manager` -> `Matching Engine` -> `Order Book`

-   **Order Book:** The central data structure, implemented with `std::map` for logarithmic price-level access, that stores all resting limit orders.
-   **Matching Engine:** Executes the core business logic, matching incoming orders against the order book and generating trades.
-   **Risk Manager:** A pre-trade gateway that validates orders against configurable risk rules.
-   **TCP Server:** A basic, single-threaded server that listens for connections and parses messages.

## Performance

The engine is designed for low-latency execution. Benchmarks are run against the core `processNewOrder` method, measuring the time from ingress to trade generation or order book placement.

The median latency is consistently **under 100 microseconds**, meeting the project's non-functional requirements.

Example benchmark results (Release build on an 8-core CPU):
```
------------------------------------------------------------------------
Benchmark                              Time             CPU   Iterations
------------------------------------------------------------------------
BM_PassiveLimitOrder/1000          71193 ns        71116 ns        10071
BM_AggressivePartialFill/1000      70693 ns        70618 ns         9766
BM_MarketOrderFullFill/1000        72642 ns        72556 ns        10006
```
*(72,642 ns = 72.6 microseconds)*

## How to Build, Test, and Run

This project uses CMake and has been tested on Linux with Clang.

### Quick Start
1.  **Configure & Build:**
    ```bash
    cmake --preset clang-release
    cmake --build --preset clang-release
    ```
2.  **Run Unit Tests:**
    ```bash
    ctest --preset clang-release
    ```
3.  **Run the Server:**
    ```bash
    ./build/clang-release/src/matching_engine_server 8080
    ```

### Running Integration Tests
The integration tests connect to a running server instance.
1.  **Start the server** in one terminal:
    ```bash
    ./build/clang-debug/src/matching_engine_server 8080
    ```
2.  **Run the tests** in another terminal:
    ```bash
    ./build/clang-debug/tests/integration_tests
    ```

### Running Benchmarks
For accurate results, benchmarks should be run using a `Release` build.
```bash
./build/clang-release/benchmarks/engine_benchmarks
```

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