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