├── LICENSE ├── Makefile ├── README.md ├── source ├── common.cpp ├── common.h ├── engine.cpp ├── engine.h ├── largetest │ └── largetest.cpp ├── main.cpp ├── old │ └── engine.cpp └── order.h └── test ├── testbuy.cor ├── testbuy.dat ├── testcancel.cor ├── testcancel.dat ├── testmodify.cor ├── testmodify.dat ├── testprint.cor ├── testprint.dat ├── testsell.cor └── testsell.dat /LICENSE: -------------------------------------------------------------------------------- 1 | GNU GENERAL PUBLIC LICENSE 2 | Version 3, 29 June 2007 3 | 4 | Copyright (C) 2007 Free Software Foundation, Inc. 5 | Everyone is permitted to copy and distribute verbatim copies 6 | of this license document, but changing it is not allowed. 7 | 8 | Preamble 9 | 10 | The GNU General Public License is a free, copyleft license for 11 | software and other kinds of works. 12 | 13 | The licenses for most software and other practical works are designed 14 | to take away your freedom to share and change the works. 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See the 645 | GNU General Public License for more details. 646 | 647 | You should have received a copy of the GNU General Public License 648 | along with this program. If not, see . 649 | 650 | Also add information on how to contact you by electronic and paper mail. 651 | 652 | If the program does terminal interaction, make it output a short 653 | notice like this when it starts in an interactive mode: 654 | 655 | {project} Copyright (C) {year} {fullname} 656 | This program comes with ABSOLUTELY NO WARRANTY; for details type `show w'. 657 | This is free software, and you are welcome to redistribute it 658 | under certain conditions; type `show c' for details. 659 | 660 | The hypothetical commands `show w' and `show c' should show the appropriate 661 | parts of the General Public License. Of course, your program's commands 662 | might be different; for a GUI interface, you would use an "about box". 663 | 664 | You should also get your employer (if you work as a programmer) or school, 665 | if any, to sign a "copyright disclaimer" for the program, if necessary. 666 | For more information on this, and how to apply and follow the GNU GPL, see 667 | . 668 | 669 | The GNU General Public License does not permit incorporating your program 670 | into proprietary programs. If your program is a subroutine library, you 671 | may consider it more useful to permit linking proprietary applications with 672 | the library. If this is what you want to do, use the GNU Lesser General 673 | Public License instead of this License. But first, please read 674 | . 675 | -------------------------------------------------------------------------------- /Makefile: -------------------------------------------------------------------------------- 1 | CC =clang++-3.5 2 | ##CC =g++ 3 | EXE =main 4 | OBJ =main.o engine.o common.o 5 | FLAG =-Wall -std=c++11 -O2 6 | BUILDDIR=build 7 | SRCDIR =source 8 | TESTDIR =test 9 | TC =testcancel 10 | TP =testprint 11 | TM =testmodify 12 | TB =testbuy 13 | TS =testsell 14 | TL =testlarge 15 | TLV =50 16 | 17 | $(BUILDDIR)/$(EXE):$(OBJ) 18 | $(CC) -o $(EXE) $(OBJ) $(FLAG) 19 | @echo "All .o and executable file generated.." 20 | @echo 21 | -mkdir $(BUILDDIR) 22 | mv $(OBJ) $(EXE) $(BUILDDIR) 23 | @echo "Moved to directory /build for running and testing.." 24 | @echo 25 | 26 | 27 | main.o:$(SRCDIR)/main.cpp 28 | $(CC) -c $(SRCDIR)/main.cpp $(FLAG) 29 | 30 | engine.o:$(SRCDIR)/engine.cpp $(SRCDIR)/engine.h 31 | $(CC) -c $(SRCDIR)/engine.cpp $(FLAG) 32 | 33 | common.o:$(SRCDIR)/common.cpp $(SRCDIR)/common.h 34 | $(CC) -c $(SRCDIR)/common.cpp $(FLAG) 35 | 36 | .PHONY:clean 37 | clean: 38 | # below line make use of '-mv' to clean the folder in case compilation 39 | # was not successfully done.. 40 | -mv $(OBJ) $(EXE) $(BUILDDIR) 41 | rm -rf $(BUILDDIR) 42 | 43 | ############ above cmds are for building, below cmds are for testing ############ 44 | 45 | test:$(TC) $(TP) $(TM) $(TB) $(TS) 46 | 47 | # test of CANCEL.. 48 | $(TC):$(BUILDDIR)/$(EXE) $(TESTDIR)/$(TC).dat $(TESTDIR)/$(TC).cor 49 | @echo "Unit testing for functionality of CANCEL:" 50 | $(BUILDDIR)/$(EXE) < $(TESTDIR)/$(TC).dat > $(BUILDDIR)/$(TC).tmp 51 | diff $(TESTDIR)/$(TC).cor $(BUILDDIR)/$(TC).tmp 52 | @echo "expected result: no difference between these 2 compared files" 53 | @echo 54 | 55 | # test of PRINT.. 56 | $(TP):$(BUILDDIR)/$(EXE) $(TESTDIR)/$(TP).dat $(TESTDIR)/$(TP).cor 57 | @echo "Unit testing for functionality of PRINT:" 58 | $(BUILDDIR)/$(EXE) < $(TESTDIR)/$(TP).dat > $(BUILDDIR)/$(TP).tmp 59 | diff $(TESTDIR)/$(TP).cor $(BUILDDIR)/$(TP).tmp 60 | @echo "expected result: no difference between these 2 compared files" 61 | @echo 62 | 63 | # test of MODIFY.. 64 | $(TM):$(BUILDDIR)/$(EXE) $(TESTDIR)/$(TM).dat $(TESTDIR)/$(TM).cor 65 | @echo "Unit testing for functionality of MODIFY:" 66 | $(BUILDDIR)/$(EXE) < $(TESTDIR)/$(TM).dat > $(BUILDDIR)/$(TM).tmp 67 | diff $(TESTDIR)/$(TM).cor $(BUILDDIR)/$(TM).tmp 68 | @echo "expected result: no difference between these 2 compared files" 69 | @echo 70 | 71 | # test of BUY.. 72 | $(TB):$(BUILDDIR)/$(EXE) $(TESTDIR)/$(TB).dat $(TESTDIR)/$(TB).cor 73 | @echo "Unit testing for functionality of BUY:" 74 | $(BUILDDIR)/$(EXE) < $(TESTDIR)/$(TB).dat > $(BUILDDIR)/$(TB).tmp 75 | diff $(TESTDIR)/$(TB).cor $(BUILDDIR)/$(TB).tmp 76 | @echo "expected result: no difference between these 2 compared files" 77 | @echo 78 | 79 | # test of SELL.. 80 | $(TS):$(BUILDDIR)/$(EXE) $(TESTDIR)/$(TS).dat $(TESTDIR)/$(TS).cor 81 | @echo "Unit testing for functionality of SELL:" 82 | $(BUILDDIR)/$(EXE) < $(TESTDIR)/$(TS).dat > $(BUILDDIR)/$(TS).tmp 83 | diff $(TESTDIR)/$(TS).cor $(BUILDDIR)/$(TS).tmp 84 | @echo "expected result: no difference between these 2 compared files" 85 | @echo 86 | 87 | # large scale test.. 88 | $(TL):$(BUILDDIR)/$(EXE) $(SRCDIR)/largetest/largetest.cpp 89 | @echo "Compile $(SRCDIR)/largetest/largetest.cpp" 90 | $(CC) -o largetest $(FLAG) $(SRCDIR)/largetest/largetest.cpp 91 | mv largetest $(BUILDDIR) 92 | $(BUILDDIR)/largetest ${TLV} > $(BUILDDIR)/$(TL).dat 93 | @echo "There are ${TLV} orders sent into this large scale test" 94 | $(BUILDDIR)/$(EXE) < $(BUILDDIR)/$(TL).dat > $(BUILDDIR)/$(TL).tmp 95 | cat $(BUILDDIR)/$(TL).tmp 96 | @echo 97 | -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- 1 | ## **Mini Matching Engine** 2 | This is a mini trading order matching engine for Unix like platform. 3 | Matching rule is simple: the earlier sent order will be traded earlier if the prices could be matched (buy price not lower than sell price). 4 | Unit test is handled by Makefile. 5 | 6 | #### **Requirements:** 7 | * C++11 8 | * clang 3.5 / gcc 4.8 or newer 9 | 10 | #### **Compiling And Testing:** 11 | To compile: 12 | `$ make` 13 | 14 | To run all unit test cases: 15 | `$ make test` 16 | 17 | Unit test cases for functionality of BUY, SELL, MODIFY, CANCEL, PRINT and Large Scale Test: 18 | `$ make testbuy` 19 | `$ make testsell` 20 | `$ make testmodify` 21 | `$ make testcancel` 22 | `$ make testprint` 23 | `$ make testlarge` or `$ make testlarge TLV=x` (the amount of large scale test could be set with x or left as default value of 50) 24 | 25 | #### **Supported Commands:** 26 | 27 | Could take 5 kinds of input from stdin, formats listed below: 28 | 29 | 1, BUY ORDER\_TYPE QUANTITY PRICE ORDER\_ID; e.g. 'BUY GFD 300 32 u5d12t9'. 30 | 2, SELL ORDER\_TYPE QUANTITY PRICE ORDER\_ID; e.g. 'SELL IOC 300 31 78wehyw'. 31 | 3, MODIFY ORDER\_ID OPERATION\_TYPE QUANTITY PRICE; e.g. 'MODIFY 1d81st2 BUY 200 18'. 32 | 4, CANCEL ORDER\_ID; e.g. 'CANCEL 5z81f72a'. 33 | 5, PRINT; no other parameter. 34 | 35 | There are 2 ORDER\_TYPE, IOC and GFD: 36 | IOC order (Immediate or Cancel) will not be added to sell/buy list if it was not completely traded. 37 | GFD order (Good For Day) will be added to sell/buy list if it was not completely traded. 38 | 39 | Order could be partially traded or completely traded. Once a pair of orders (one sell and one buy) got traded, a message will be printed like the following format. 40 | `TRADE s151h23 1000 20 7sdfa91 1002 20` 41 | 42 | #### License: 43 | See the [License](https://github.com/luo4neck/MatchingEngine/blob/master/LICENSE) file for details. 44 | 45 | //todo dependency issue 46 | 47 | **Jan 2017 @Dublin Ireland** 48 | -------------------------------------------------------------------------------- /source/common.cpp: -------------------------------------------------------------------------------- 1 | #include "common.h" 2 | 3 | // order type parser.. 4 | ORDER_TYPE OrderTypeParser(const string& orderType) 5 | { 6 | if ("GFD" == orderType) 7 | { 8 | return ORDER_TYPE_GFD; 9 | } 10 | if ("IOC" == orderType) 11 | { 12 | return ORDER_TYPE_IOC; 13 | } 14 | return ORDER_TYPE_NONE; 15 | } 16 | 17 | // operation type parser.. 18 | ORDER_OPERATION OrderOperationParser(const string& orderType) 19 | { 20 | if ("BUY" == orderType) 21 | { 22 | return ORDER_OPERATION_BUY; 23 | } 24 | if ("SELL" == orderType) 25 | { 26 | return ORDER_OPERATION_SELL; 27 | } 28 | if ("MODIFY" == orderType) 29 | { 30 | return ORDER_OPERATION_MODIFY; 31 | } 32 | if ("CANCEL" == orderType) 33 | { 34 | return ORDER_OPERATION_CANCEL; 35 | } 36 | if ("PRINT" == orderType) 37 | { 38 | return ORDER_OPERATION_PRINT; 39 | } 40 | return ORDER_OPERATION_NONE; 41 | } 42 | -------------------------------------------------------------------------------- /source/common.h: -------------------------------------------------------------------------------- 1 | #include 2 | #include 3 | 4 | #ifndef COMMON_H 5 | #define COMMON_H 6 | 7 | using namespace std; 8 | 9 | // order types.. 10 | enum ORDER_TYPE 11 | { 12 | ORDER_TYPE_NONE, 13 | ORDER_TYPE_GFD, 14 | ORDER_TYPE_IOC 15 | }; 16 | 17 | // order type parser.. 18 | ORDER_TYPE OrderTypeParser(const string& orderType); 19 | 20 | // operation types.. 21 | enum ORDER_OPERATION 22 | { 23 | ORDER_OPERATION_NONE, 24 | ORDER_OPERATION_BUY, 25 | ORDER_OPERATION_SELL, 26 | ORDER_OPERATION_MODIFY, 27 | ORDER_OPERATION_MODIFY_BUY, 28 | ORDER_OPERATION_MODIFY_SELL, 29 | ORDER_OPERATION_CANCEL, 30 | ORDER_OPERATION_PRINT 31 | }; 32 | 33 | // operation type parser.. 34 | ORDER_OPERATION OrderOperationParser(const string& orderType); 35 | 36 | // used in parser, split a cmd line separated by ' ' into a vector of string.. 37 | inline void SplitString(const string& s, const string& delim, vector& ret) 38 | { 39 | size_t last = 0; 40 | size_t index = s.find_first_of(delim, last); 41 | while (index != string::npos) 42 | { 43 | string newitem = s.substr(last, index - last); 44 | if (newitem.length() > 0) 45 | { 46 | ret.push_back(s.substr(last, index - last)); 47 | } 48 | last = index + 1; 49 | index = s.find_first_of(delim, last); 50 | } 51 | if ( index - last > 0 ) 52 | { 53 | string newitem = s.substr(last, index - last); 54 | if (newitem.length() > 0) 55 | { 56 | ret.push_back(newitem); 57 | } 58 | } 59 | } 60 | 61 | inline uint64_t String2Uint64(const string& s) 62 | { 63 | stringstream a; 64 | a << s; 65 | uint64_t ret = 0; 66 | a >> ret; return ret; 67 | } 68 | 69 | inline bool IsInteger(const string & s) 70 | { 71 | if(s.empty() || ((!isdigit(s[0])) && (s[0] != '-') && (s[0] != '+'))) return false ; 72 | 73 | char * p ; 74 | strtol(s.c_str(), &p, 10) ; 75 | 76 | return (*p == 0) ; 77 | } 78 | 79 | #endif 80 | -------------------------------------------------------------------------------- /source/engine.cpp: -------------------------------------------------------------------------------- 1 | #include "engine.h" 2 | 3 | using namespace std; 4 | 5 | void CMatchEngine::Match(COrder& order) 6 | { 7 | if ( order.GetPrice() == 0 || order.GetQuant() == 0 || order.GetID().empty() ) return; 8 | 9 | if( order.GetOperationType() == ORDER_OPERATION_SELL ) 10 | { 11 | // search buy book.. 12 | list::iterator it = m_buybook.begin(); 13 | list::iterator ittmp = m_buybook.begin(); 14 | for (; it != m_buybook.end();) 15 | { 16 | // sell could happen.. 17 | if (order.GetPrice() <= it->GetPrice() ) 18 | { 19 | auto orderQty = order.GetQuant(); 20 | auto buyOrderQty = it->GetQuant(); 21 | if (orderQty == buyOrderQty) 22 | { 23 | // delete both 24 | TradePrint(*it, order, orderQty); 25 | m_hashbuy.erase(it->GetID()); 26 | ittmp = it; 27 | it++; 28 | m_buybook.erase(ittmp); 29 | return; 30 | } 31 | else if(orderQty < buyOrderQty) 32 | { 33 | // update book, delete new order 34 | TradePrint(*it, order, orderQty); 35 | auto newquant = buyOrderQty - orderQty; 36 | it->UpdateQuant(newquant); 37 | return; 38 | } 39 | else 40 | { 41 | // update new order.. delete book.. 42 | TradePrint(*it, order, buyOrderQty); 43 | auto newquant = orderQty - buyOrderQty; 44 | order.UpdateQuant(newquant); 45 | 46 | m_hashbuy.erase(it->GetID()); 47 | ittmp = it; 48 | it++; 49 | m_buybook.erase(ittmp); 50 | continue; 51 | } 52 | } 53 | it++; 54 | } 55 | 56 | // insert GFD order into sellbook and hashsell.. 57 | if (order.GetOrderType() == ORDER_TYPE_GFD ) 58 | { 59 | auto tmpitr = m_sellbook.insert(m_sellbook.end(), order); 60 | m_hashsell[order.GetID()] = tmpitr; 61 | } 62 | } 63 | 64 | if (order.GetOperationType() == ORDER_OPERATION_BUY) 65 | { 66 | // search SELL book.. 67 | list::iterator it = m_sellbook.begin(); 68 | list::iterator ittmp = m_sellbook.begin(); 69 | for (;it!=m_sellbook.end();) 70 | { 71 | // sell could happen.. 72 | if (order.GetPrice() >= it->GetPrice()) 73 | { 74 | auto orderQty = order.GetQuant(); 75 | auto sellOrderQty = it->GetQuant(); 76 | if (orderQty == sellOrderQty) 77 | { 78 | // delete both 79 | TradePrint(*it, order, orderQty); 80 | 81 | m_hashsell.erase(it->GetID()); 82 | ittmp = it; 83 | it++; 84 | m_sellbook.erase(ittmp); 85 | return; 86 | } 87 | else if (orderQty < sellOrderQty) 88 | { 89 | // delete new order.. update book.. 90 | TradePrint(*it, order, orderQty); 91 | auto newquant = sellOrderQty - orderQty; 92 | it->UpdateQuant(newquant); 93 | return; 94 | } 95 | else 96 | { 97 | // delete book.. update new order.. 98 | TradePrint(*it, order, sellOrderQty); 99 | auto newquant = orderQty - sellOrderQty; 100 | order.UpdateQuant(newquant); 101 | 102 | m_hashsell.erase(it->GetID()); 103 | ittmp = it; 104 | it++; 105 | m_sellbook.erase(ittmp); 106 | continue; 107 | } 108 | } 109 | it++; 110 | } 111 | 112 | // insert GFD order into buybook and hashbuy.. 113 | if (order.GetOrderType() == ORDER_TYPE_GFD ) 114 | { 115 | auto tmpitr = m_buybook.insert(m_buybook.end(), order); 116 | m_hashbuy[order.GetID()] = tmpitr; 117 | } 118 | } 119 | } 120 | 121 | void CMatchEngine::Modify(COrder& order) 122 | { 123 | // firstly try to cancel this order, if cannot be cancelled, means this order do not exist.. 124 | if( Cancel( order ) ) // this order could be cancelled.. 125 | { 126 | auto operationType = ORDER_OPERATION_BUY; 127 | if( order.GetOperationType() == ORDER_OPERATION_MODIFY_SELL ) 128 | { 129 | operationType = ORDER_OPERATION_SELL; 130 | } 131 | 132 | order.UpdateOperationType( operationType ); 133 | Match( order ); 134 | } 135 | 136 | return; 137 | } 138 | 139 | // return true if a order was cancelled, return false if no order cancelled.. 140 | // triggered by Modify().. 141 | bool CMatchEngine::Cancel(COrder& order) 142 | { 143 | auto id = order.GetID(); 144 | 145 | // id could be found in sellbook.. 146 | if( m_hashsell.find(id) != m_hashsell.end() ) 147 | { 148 | m_sellbook.erase( m_hashsell[ id ] ); 149 | m_hashsell.erase( id ); 150 | return true; // if id could be found in sell book, then wont be found in buy book.. 151 | } 152 | 153 | // id could be found in buybook.. 154 | if( m_hashbuy.find(id) != m_hashbuy.end() ) 155 | { 156 | m_buybook.erase( m_hashbuy[ id ] ); 157 | m_hashbuy.erase( id ); 158 | return true; 159 | } 160 | 161 | return false; 162 | } 163 | 164 | void CMatchEngine::Print() 165 | { 166 | map sortedBook; 167 | 168 | cout << "SELL:" << endl; 169 | SortBook(sortedBook, m_sellbook); 170 | for (map::reverse_iterator rit = sortedBook.rbegin(); rit != sortedBook.rend(); rit++) 171 | { 172 | cout << rit->first << " " << rit->second << endl; 173 | } 174 | 175 | cout << "BUY:" << endl; 176 | SortBook(sortedBook, m_buybook); 177 | for (map::reverse_iterator rit = sortedBook.rbegin(); rit != sortedBook.rend(); rit++) 178 | { 179 | cout << rit->first << " " << rit->second << endl; 180 | } 181 | } 182 | 183 | // sort sellbook and buybook for PRINT operation.. 184 | void CMatchEngine::SortBook(map& sortedBook, list orderList) 185 | { 186 | sortedBook.clear(); 187 | for (auto o : orderList) 188 | { 189 | auto price = o.GetPrice(); 190 | if (sortedBook.find(price) == sortedBook.end()) 191 | { 192 | sortedBook[price] = o.GetQuant(); 193 | } 194 | else 195 | { 196 | auto newPrice = sortedBook[price] + o.GetQuant(); 197 | sortedBook[price] = newPrice; 198 | } 199 | } 200 | } 201 | 202 | // only used when a trade was done.. 203 | void CMatchEngine::TradePrint(COrder& o1, COrder& o2, uint64_t qty) 204 | { 205 | cout << "TRADE"; 206 | cout << " " << o1.GetID(); 207 | cout << " " << o1.GetPrice(); 208 | cout << " " << qty; 209 | cout << " " << o2.GetID(); 210 | cout << " " << o2.GetPrice(); 211 | cout << " " << qty; 212 | cout << endl; 213 | } 214 | 215 | 216 | // parse a cmd line in to a vector of different fields, and return a order object for engine.. 217 | // another very important function 218 | COrder CMatchEngine::ParserCommand(string cmd) 219 | { 220 | 221 | vector items; 222 | SplitString(cmd, " ", items); 223 | 224 | COrder noneOrder(ORDER_OPERATION_NONE); 225 | 226 | if ( items.size() == 0 || items.size() > 5 ) return noneOrder; 227 | 228 | ORDER_OPERATION oper = OrderOperationParser(items[0]); 229 | 230 | if (oper == ORDER_OPERATION_BUY || oper == ORDER_OPERATION_SELL) 231 | { 232 | // check line size, if price and quantity are integer.. 233 | if ( items.size() < 5 || !IsInteger(items[2]) || !IsInteger(items[3]) ) 234 | return noneOrder; 235 | 236 | COrder newOrder(oper 237 | , OrderTypeParser(items[1]) 238 | , String2Uint64(items[2]) 239 | , String2Uint64(items[3]) 240 | , items[4]); 241 | 242 | return newOrder; 243 | } 244 | else if (oper == ORDER_OPERATION_MODIFY) 245 | { 246 | // check line size, if price and quantity are integer.. 247 | if ( items.size() < 5 || !IsInteger(items[4]) || !IsInteger(items[3]) ) 248 | return noneOrder; 249 | 250 | ORDER_OPERATION oper2 = OrderOperationParser(items[2]); 251 | 252 | if (oper2 == ORDER_OPERATION_BUY) 253 | { 254 | oper2 = ORDER_OPERATION_MODIFY_BUY; 255 | } 256 | else if (oper2 == ORDER_OPERATION_SELL) 257 | { 258 | oper2 = ORDER_OPERATION_MODIFY_SELL; 259 | } 260 | else 261 | { 262 | return noneOrder; 263 | //oper2 = ORDER_OPERATION_NONE; 264 | } 265 | 266 | COrder newOrder(oper2 267 | , ORDER_TYPE_GFD 268 | , String2Uint64(items[3]) 269 | , String2Uint64(items[4]) 270 | , items[1]); 271 | 272 | return newOrder; 273 | } 274 | else if (oper == ORDER_OPERATION_CANCEL) 275 | { 276 | if ( items.size() != 2 ) return noneOrder; 277 | 278 | COrder newOrder(ORDER_OPERATION_CANCEL, ORDER_TYPE_NONE, 0, 0, items[1]); 279 | return newOrder; 280 | } 281 | else if (oper == ORDER_OPERATION_PRINT) 282 | { 283 | if ( items.size() != 1 ) return noneOrder; 284 | 285 | COrder newOrder(ORDER_OPERATION_PRINT); 286 | return newOrder; 287 | } 288 | else // ORDER_OPERATION_PRINT.. 289 | { 290 | return noneOrder; 291 | } 292 | } 293 | -------------------------------------------------------------------------------- /source/engine.h: -------------------------------------------------------------------------------- 1 | #include 2 | #include 3 | #include 4 | #include 5 | #include "common.h" 6 | #include "order.h" 7 | 8 | #ifndef ENGINE_H 9 | #define ENGINE_H 10 | 11 | using namespace std; 12 | 13 | class CMatchEngine 14 | { 15 | public: 16 | // match a new order in buybook or sellbook, most important function.. 17 | void Match(COrder& order); 18 | 19 | void Modify(COrder& order); 20 | 21 | // return true if a order was cancelled, return false if no order cancelled.. 22 | // triggered by Modify().. 23 | bool Cancel(COrder& order); 24 | 25 | void Print(); 26 | 27 | // sort sellbook and buybook for PRINT operation.. 28 | void SortBook(map& sortedBook, list orderList); 29 | 30 | // parse a cmd line in to a vector of different fields, and return a order object for engine.. 31 | // another very important function 32 | static COrder ParserCommand(string cmd); 33 | 34 | private: 35 | unordered_map::iterator> m_hashsell; 36 | unordered_map::iterator> m_hashbuy; 37 | list m_sellbook; 38 | list m_buybook; 39 | 40 | // only used when a trade was done.. 41 | void TradePrint(COrder& o1, COrder& o2, uint64_t qty); 42 | }; 43 | 44 | #endif 45 | -------------------------------------------------------------------------------- /source/largetest/largetest.cpp: -------------------------------------------------------------------------------- 1 | /* the code below could generate random orders for the matching engine 2 | * total number of orders is received as a parameter from ## 3 | * orders generated will be printed to stdout, then '## > ##.dat' 4 | * then will be used for testing.. 5 | */ 6 | #include 7 | #include 8 | 9 | #define MIN_PRICE 1 10 | #define MAX_PRICE 2000 11 | #define MIN_QUANT 1 12 | #define MAX_QUANT 100 13 | 14 | using namespace std; 15 | 16 | int main(int argc, char** argv) 17 | { 18 | if( argc != 2 ) 19 | { 20 | cout<<"this script can only take 1 parameter"<"< price_dist(MIN_PRICE, MAX_PRICE); 35 | uniform_int_distribution quant_dist(MIN_QUANT, MAX_QUANT); 36 | uniform_real_distribution oper_dist(0, 1); // to decide operation.. 37 | 38 | //================== above is random number generation preparetion ====================// 39 | 40 | for(size_t i=0; i 2 | #include 3 | #include 4 | #include 5 | #include 6 | #include 7 | #include 8 | #include 9 | #include 10 | 11 | using namespace std; 12 | 13 | // order types.. 14 | enum ORDER_TYPE 15 | { 16 | ORDER_TYPE_NONE, 17 | ORDER_TYPE_GFD, 18 | ORDER_TYPE_IOC 19 | }; 20 | 21 | // order type parser.. 22 | ORDER_TYPE OrderTypeParser(const string& orderType) 23 | { 24 | if ("GFD" == orderType) 25 | { 26 | return ORDER_TYPE_GFD; 27 | } 28 | if ("IOC" == orderType) 29 | { 30 | return ORDER_TYPE_IOC; 31 | } 32 | return ORDER_TYPE_NONE; 33 | } 34 | 35 | 36 | // operation types.. 37 | enum ORDER_OPERATION 38 | { 39 | ORDER_OPERATION_NONE, 40 | ORDER_OPERATION_BUY, 41 | ORDER_OPERATION_SELL, 42 | ORDER_OPERATION_MODIFY, 43 | ORDER_OPERATION_MODIFY_BUY, 44 | ORDER_OPERATION_MODIFY_SELL, 45 | ORDER_OPERATION_CANCEL, 46 | ORDER_OPERATION_PRINT 47 | }; 48 | 49 | // operation type parser.. 50 | ORDER_OPERATION OrderOperationParser(const string& orderType) 51 | { 52 | if ("BUY" == orderType) 53 | { 54 | return ORDER_OPERATION_BUY; 55 | } 56 | if ("SELL" == orderType) 57 | { 58 | return ORDER_OPERATION_SELL; 59 | } 60 | if ("MODIFY" == orderType) 61 | { 62 | return ORDER_OPERATION_MODIFY; 63 | } 64 | if ("CANCEL" == orderType) 65 | { 66 | return ORDER_OPERATION_CANCEL; 67 | } 68 | if ("PRINT" == orderType) 69 | { 70 | return ORDER_OPERATION_PRINT; 71 | } 72 | return ORDER_OPERATION_NONE; 73 | } 74 | 75 | 76 | class COrder 77 | { 78 | public: 79 | 80 | COrder(ORDER_OPERATION operationType, ORDER_TYPE orderType, uint64_t price, uint64_t quant, string id) : 81 | m_operationType(operationType), 82 | m_orderType(orderType), 83 | m_price(price), 84 | m_quant(quant), 85 | m_id(id) 86 | {} 87 | 88 | // constructor for none order.. 89 | COrder(ORDER_OPERATION operationType) : 90 | m_operationType(operationType), 91 | m_orderType(ORDER_TYPE_NONE), 92 | m_price(0), 93 | m_quant(0), 94 | m_id("") 95 | {} 96 | 97 | ORDER_OPERATION GetOperationType() { return m_operationType; } 98 | 99 | ORDER_TYPE GetOrderType() { return m_orderType; } 100 | 101 | uint64_t GetPrice() { return m_price; } 102 | 103 | uint64_t GetQuant() { return m_quant; } 104 | 105 | string GetID() { return m_id; } 106 | 107 | void UpdateQuant(uint64_t newquant) { m_quant = newquant; } 108 | 109 | void UpdateOperationType(ORDER_OPERATION newtype) { m_operationType = newtype; } 110 | 111 | private: 112 | COrder() {}; 113 | 114 | private: 115 | ORDER_OPERATION m_operationType; 116 | ORDER_TYPE m_orderType; 117 | uint64_t m_price; 118 | uint64_t m_quant; 119 | string m_id; 120 | }; 121 | 122 | class CMatchEngine 123 | { 124 | public: 125 | // match a new order in buybook or sellbook, most important function.. 126 | void Match(COrder& order) 127 | { 128 | if ( order.GetPrice() == 0 || order.GetQuant() == 0 || order.GetID().empty() ) return; 129 | 130 | if( order.GetOperationType() == ORDER_OPERATION_SELL ) 131 | { 132 | // search buy book.. 133 | list::iterator it = m_buybook.begin(); 134 | list::iterator ittmp = m_buybook.begin(); 135 | for (; it != m_buybook.end();) 136 | { 137 | // sell could happen.. 138 | if (order.GetPrice() <= it->GetPrice() ) 139 | { 140 | auto orderQty = order.GetQuant(); 141 | auto buyOrderQty = it->GetQuant(); 142 | if (orderQty == buyOrderQty) 143 | { 144 | // delete both 145 | TradePrint(*it, order, orderQty); 146 | m_hashbuy.erase(it->GetID()); 147 | ittmp = it; 148 | it++; 149 | m_buybook.erase(ittmp); 150 | return; 151 | } 152 | else if(orderQty < buyOrderQty) 153 | { 154 | // update book, delete new order 155 | TradePrint(*it, order, orderQty); 156 | auto newquant = buyOrderQty - orderQty; 157 | it->UpdateQuant(newquant); 158 | return; 159 | } 160 | else 161 | { 162 | // update new order.. delete book.. 163 | TradePrint(*it, order, buyOrderQty); 164 | auto newquant = orderQty - buyOrderQty; 165 | order.UpdateQuant(newquant); 166 | 167 | m_hashbuy.erase(it->GetID()); 168 | ittmp = it; 169 | it++; 170 | m_buybook.erase(ittmp); 171 | continue; 172 | } 173 | } 174 | it++; 175 | } 176 | 177 | // insert GFD order into sellbook and hashsell.. 178 | if (order.GetOrderType() == ORDER_TYPE_GFD ) 179 | { 180 | auto tmpitr = m_sellbook.insert(m_sellbook.end(), order); 181 | m_hashsell[order.GetID()] = tmpitr; 182 | } 183 | } 184 | 185 | if (order.GetOperationType() == ORDER_OPERATION_BUY) 186 | { 187 | // search SELL book.. 188 | list::iterator it = m_sellbook.begin(); 189 | list::iterator ittmp = m_sellbook.begin(); 190 | for (;it!=m_sellbook.end();) 191 | { 192 | // sell could happen.. 193 | if (order.GetPrice() >= it->GetPrice()) 194 | { 195 | auto orderQty = order.GetQuant(); 196 | auto sellOrderQty = it->GetQuant(); 197 | if (orderQty == sellOrderQty) 198 | { 199 | // delete both 200 | TradePrint(*it, order, orderQty); 201 | 202 | m_hashsell.erase(it->GetID()); 203 | ittmp = it; 204 | it++; 205 | m_sellbook.erase(ittmp); 206 | return; 207 | } 208 | else if (orderQty < sellOrderQty) 209 | { 210 | // delete new order.. update book.. 211 | TradePrint(*it, order, orderQty); 212 | auto newquant = sellOrderQty - orderQty; 213 | it->UpdateQuant(newquant); 214 | return; 215 | } 216 | else 217 | { 218 | // delete book.. update new order.. 219 | TradePrint(*it, order, sellOrderQty); 220 | auto newquant = orderQty - sellOrderQty; 221 | order.UpdateQuant(newquant); 222 | 223 | m_hashsell.erase(it->GetID()); 224 | ittmp = it; 225 | it++; 226 | m_sellbook.erase(ittmp); 227 | continue; 228 | } 229 | } 230 | it++; 231 | } 232 | 233 | // insert GFD order into buybook and hashbuy.. 234 | if (order.GetOrderType() == ORDER_TYPE_GFD ) 235 | { 236 | auto tmpitr = m_buybook.insert(m_buybook.end(), order); 237 | m_hashbuy[order.GetID()] = tmpitr; 238 | } 239 | } 240 | } 241 | 242 | void Modify(COrder& order) 243 | { 244 | // firstly try to cancel this order, if cannot be cancelled, means this order do not exist.. 245 | if( Cancel( order ) ) // this order could be cancelled.. 246 | { 247 | auto operationType = ORDER_OPERATION_BUY; 248 | if( order.GetOperationType() == ORDER_OPERATION_MODIFY_SELL ) 249 | { 250 | operationType = ORDER_OPERATION_SELL; 251 | } 252 | 253 | order.UpdateOperationType( operationType ); 254 | Match( order ); 255 | } 256 | 257 | return; 258 | } 259 | 260 | // return true if a order was cancelled, return false if no order cancelled.. 261 | // triggered by Modify().. 262 | bool Cancel(COrder& order) 263 | { 264 | auto id = order.GetID(); 265 | 266 | // id could be found in sellbook.. 267 | if( m_hashsell.find(id) != m_hashsell.end() ) 268 | { 269 | m_sellbook.erase( m_hashsell[ id ] ); 270 | m_hashsell.erase( id ); 271 | return true; // if id could be found in sell book, then wont be found in buy book.. 272 | } 273 | 274 | // id could be found in buybook.. 275 | if( m_hashbuy.find(id) != m_hashbuy.end() ) 276 | { 277 | m_buybook.erase( m_hashbuy[ id ] ); 278 | m_hashbuy.erase( id ); 279 | return true; 280 | } 281 | 282 | return false; 283 | } 284 | 285 | void Print() 286 | { 287 | map sortedBook; 288 | 289 | cout << "SELL:" << endl; 290 | SortBook(sortedBook, m_sellbook); 291 | for (map::reverse_iterator rit = sortedBook.rbegin(); rit != sortedBook.rend(); rit++) 292 | { 293 | cout << rit->first << " " << rit->second << endl; 294 | } 295 | 296 | cout << "BUY:" << endl; 297 | SortBook(sortedBook, m_buybook); 298 | for (map::reverse_iterator rit = sortedBook.rbegin(); rit != sortedBook.rend(); rit++) 299 | { 300 | cout << rit->first << " " << rit->second << endl; 301 | } 302 | } 303 | 304 | // sort sellbook and buybook for PRINT operation.. 305 | void SortBook(map& sortedBook, list orderList) 306 | { 307 | sortedBook.clear(); 308 | for (auto o : orderList) 309 | { 310 | auto price = o.GetPrice(); 311 | if (sortedBook.find(price) == sortedBook.end()) 312 | { 313 | sortedBook[price] = o.GetQuant(); 314 | } 315 | else 316 | { 317 | auto newPrice = sortedBook[price] + o.GetQuant(); 318 | sortedBook[price] = newPrice; 319 | } 320 | } 321 | } 322 | 323 | private: 324 | // only used when a trade was done.. 325 | void TradePrint(COrder& o1, COrder& o2, uint64_t qty) 326 | { 327 | cout << "TRADE"; 328 | cout << " " << o1.GetID(); 329 | cout << " " << o1.GetPrice(); 330 | cout << " " << qty; 331 | cout << " " << o2.GetID(); 332 | cout << " " << o2.GetPrice(); 333 | cout << " " << qty; 334 | cout << endl; 335 | } 336 | private: 337 | unordered_map::iterator> m_hashsell; 338 | unordered_map::iterator> m_hashbuy; 339 | list m_sellbook; 340 | list m_buybook; 341 | }; 342 | 343 | // used in parser, split a cmd line separated by ' ' into a vector of string.. 344 | void SplitString(const string& s, const string& delim, vector& ret) 345 | { 346 | size_t last = 0; 347 | size_t index = s.find_first_of(delim, last); 348 | while (index != string::npos) 349 | { 350 | string newitem = s.substr(last, index - last); 351 | if (newitem.length() > 0) 352 | { 353 | ret.push_back(s.substr(last, index - last)); 354 | } 355 | last = index + 1; 356 | index = s.find_first_of(delim, last); 357 | } 358 | if ( index - last > 0 ) 359 | { 360 | string newitem = s.substr(last, index - last); 361 | if (newitem.length() > 0) 362 | { 363 | ret.push_back(newitem); 364 | } 365 | } 366 | } 367 | 368 | inline uint64_t String2Uint64(const string& s) 369 | { 370 | stringstream a; 371 | a << s; 372 | uint64_t ret = 0; 373 | a >> ret; return ret; 374 | } 375 | 376 | inline bool IsInteger(const string & s) 377 | { 378 | if(s.empty() || ((!isdigit(s[0])) && (s[0] != '-') && (s[0] != '+'))) return false ; 379 | 380 | char * p ; 381 | strtol(s.c_str(), &p, 10) ; 382 | 383 | return (*p == 0) ; 384 | } 385 | 386 | // parse a cmd line in to a vector of different fields, and return a order object for engine.. 387 | // another very important function 388 | COrder ParserCommand(string cmd) 389 | { 390 | 391 | vector items; 392 | SplitString(cmd, " ", items); 393 | 394 | COrder noneOrder(ORDER_OPERATION_NONE); 395 | 396 | if ( items.size() == 0 || items.size() > 5 ) return noneOrder; 397 | 398 | ORDER_OPERATION oper = OrderOperationParser(items[0]); 399 | 400 | if (oper == ORDER_OPERATION_BUY || oper == ORDER_OPERATION_SELL) 401 | { 402 | // check line size, if price and quantity are integer.. 403 | if ( items.size() < 5 || !IsInteger(items[2]) || !IsInteger(items[3]) ) 404 | return noneOrder; 405 | 406 | COrder newOrder(oper 407 | , OrderTypeParser(items[1]) 408 | , String2Uint64(items[2]) 409 | , String2Uint64(items[3]) 410 | , items[4]); 411 | 412 | return newOrder; 413 | } 414 | else if (oper == ORDER_OPERATION_MODIFY) 415 | { 416 | // check line size, if price and quantity are integer.. 417 | if ( items.size() < 5 || !IsInteger(items[4]) || !IsInteger(items[3]) ) 418 | return noneOrder; 419 | 420 | ORDER_OPERATION oper2 = OrderOperationParser(items[2]); 421 | 422 | if (oper2 == ORDER_OPERATION_BUY) 423 | { 424 | oper2 = ORDER_OPERATION_MODIFY_BUY; 425 | } 426 | else if (oper2 == ORDER_OPERATION_SELL) 427 | { 428 | oper2 = ORDER_OPERATION_MODIFY_SELL; 429 | } 430 | else 431 | { 432 | return noneOrder; 433 | //oper2 = ORDER_OPERATION_NONE; 434 | } 435 | 436 | COrder newOrder(oper2 437 | , ORDER_TYPE_GFD 438 | , String2Uint64(items[3]) 439 | , String2Uint64(items[4]) 440 | , items[1]); 441 | 442 | return newOrder; 443 | } 444 | else if (oper == ORDER_OPERATION_CANCEL) 445 | { 446 | if ( items.size() != 2 ) return noneOrder; 447 | 448 | COrder newOrder(ORDER_OPERATION_CANCEL, ORDER_TYPE_NONE, 0, 0, items[1]); 449 | return newOrder; 450 | } 451 | else if (oper == ORDER_OPERATION_PRINT) 452 | { 453 | if ( items.size() != 1 ) return noneOrder; 454 | 455 | COrder newOrder(ORDER_OPERATION_PRINT); 456 | return newOrder; 457 | } 458 | else // ORDER_OPERATION_PRINT.. 459 | { 460 | return noneOrder; 461 | } 462 | } 463 | 464 | // a simple test case.. 465 | void Test01() 466 | { 467 | COrder o1(ORDER_OPERATION_BUY, ORDER_TYPE_GFD, 1000, 10, "order1"); 468 | COrder o2(ORDER_OPERATION_SELL, ORDER_TYPE_GFD, 1000, 5, "order2"); 469 | COrder o3(ORDER_OPERATION_SELL, ORDER_TYPE_GFD, 900, 3, "order3"); 470 | CMatchEngine engine; 471 | engine.Match(o1); 472 | engine.Match(o2); 473 | engine.Match(o3); 474 | } 475 | 476 | /* test case 2 477 | BUY GFD 1000 10 order1 478 | BUY GFD 1000 10 order2 479 | SELL IOC 900 2 order4 480 | SELL GFD 1200 2 order5 481 | PRINT 482 | MODIFY order1 BUY 1300 20 483 | SELL GFD 900 20 order3 484 | CANCEL order1 485 | PRINT 486 | SELL GFD 2122 20 order6 487 | SELL ioc 213213 20 order7 488 | SELL GFD 12 20 order8 489 | sdfa 215 5212 sdf 5432 490 | SELL IOC 90 20 order9 491 | SELL GFD 00 20 order11 492 | SELL GFD 900 20 order12 493 | BUY IOC 122 FS order13 494 | SELL GFD 900 20 order14 495 | PRINT 496 | */ 497 | 498 | int main() 499 | { 500 | string cmdLine; 501 | CMatchEngine engine; 502 | while ( getline( cin , cmdLine ) ) 503 | { 504 | COrder newOrder = ParserCommand(cmdLine); 505 | 506 | switch (newOrder.GetOperationType()) 507 | { 508 | case ORDER_OPERATION_BUY: 509 | case ORDER_OPERATION_SELL: 510 | { 511 | if( newOrder.GetOrderType() == ORDER_TYPE_NONE ) 512 | break; 513 | 514 | engine.Match(newOrder); 515 | } 516 | break; 517 | //case ORDER_OPERATION_MODIFY: 518 | case ORDER_OPERATION_MODIFY_BUY: 519 | case ORDER_OPERATION_MODIFY_SELL: 520 | { 521 | engine.Modify(newOrder); 522 | } 523 | break; 524 | case ORDER_OPERATION_CANCEL: 525 | { 526 | engine.Cancel(newOrder); 527 | } 528 | break; 529 | case ORDER_OPERATION_PRINT: 530 | { 531 | engine.Print(); 532 | } 533 | break; 534 | default: // ORDER_OPERATION_NONE 535 | break; 536 | } 537 | } 538 | 539 | return 0; 540 | } 541 | -------------------------------------------------------------------------------- /source/order.h: -------------------------------------------------------------------------------- 1 | #include "common.h" 2 | 3 | #ifndef ORDER_H 4 | #define ORDER_H 5 | 6 | using namespace std; 7 | 8 | class COrder 9 | { 10 | public: 11 | 12 | COrder(ORDER_OPERATION operationType, ORDER_TYPE orderType, uint64_t price, uint64_t quant, string id) : 13 | m_operationType(operationType), 14 | m_orderType(orderType), 15 | m_price(price), 16 | m_quant(quant), 17 | m_id(id) 18 | {} 19 | 20 | // constructor for none order.. 21 | COrder(ORDER_OPERATION operationType) : 22 | m_operationType(operationType), 23 | m_orderType(ORDER_TYPE_NONE), 24 | m_price(0), 25 | m_quant(0), 26 | m_id("") 27 | {} 28 | 29 | ORDER_OPERATION GetOperationType() { return m_operationType; } 30 | 31 | ORDER_TYPE GetOrderType() { return m_orderType; } 32 | 33 | uint64_t GetPrice() { return m_price; } 34 | 35 | uint64_t GetQuant() { return m_quant; } 36 | 37 | string GetID() { return m_id; } 38 | 39 | void UpdateQuant(uint64_t newquant) { m_quant = newquant; } 40 | 41 | void UpdateOperationType(ORDER_OPERATION newtype) { m_operationType = newtype; } 42 | 43 | private: 44 | COrder() {}; 45 | 46 | private: 47 | ORDER_OPERATION m_operationType; 48 | ORDER_TYPE m_orderType; 49 | uint64_t m_price; 50 | uint64_t m_quant; 51 | string m_id; 52 | }; 53 | 54 | #endif 55 | -------------------------------------------------------------------------------- /test/testbuy.cor: -------------------------------------------------------------------------------- 1 | TRADE or01 1000 40 or02 1200 40 2 | TRADE or01 1000 40 or03 1300 40 3 | SELL: 4 | 1000 20 5 | BUY: 6 | -------------------------------------------------------------------------------- /test/testbuy.dat: -------------------------------------------------------------------------------- 1 | ## this unit test file is for functionality of buy.. 2 | SELL GFD 1000 100 or01 3 | BUY GFD 1200 40 or02 4 | BUY IOC 1300 40 or03 5 | PRINT 6 | -------------------------------------------------------------------------------- /test/testcancel.cor: -------------------------------------------------------------------------------- 1 | SELL: 2 | 1400 100 3 | 1300 100 4 | 1200 100 5 | BUY: 6 | SELL: 7 | 1400 100 8 | 1200 100 9 | BUY: 10 | -------------------------------------------------------------------------------- /test/testcancel.dat: -------------------------------------------------------------------------------- 1 | ## this unit test file is for functionality of cancal.. 2 | SELL GFD 1200 100 or02 3 | SELL GFD 1300 100 or03 4 | SELL GFD 1400 100 or04 5 | PRINT 6 | CANCEL or03 7 | PRINT 8 | -------------------------------------------------------------------------------- /test/testmodify.cor: -------------------------------------------------------------------------------- 1 | SELL: 2 | 1400 100 3 | 1300 100 4 | BUY: 5 | 1200 100 6 | TRADE or03 1300 100 or02 1500 100 7 | TRADE or04 1400 100 or02 1500 100 8 | SELL: 9 | BUY: 10 | 1500 50 11 | -------------------------------------------------------------------------------- /test/testmodify.dat: -------------------------------------------------------------------------------- 1 | ## this unit test file is for functionality of modify.. 2 | BUY GFD 1200 100 or02 3 | SELL GFD 1300 100 or03 4 | SELL GFD 1400 100 or04 5 | PRINT 6 | MODIFY or02 BUY 1500 250 7 | PRINT 8 | -------------------------------------------------------------------------------- /test/testprint.cor: -------------------------------------------------------------------------------- 1 | SELL: 2 | 1500 234 3 | 1400 205 4 | BUY: 5 | 1300 100 6 | 1200 610 7 | 1100 410 8 | -------------------------------------------------------------------------------- /test/testprint.dat: -------------------------------------------------------------------------------- 1 | ## this unit test file is for functionality of print.. 2 | SELL GFD 1500 100 or01 3 | SELL GFD 1500 30 or011 4 | SELL GFD 1500 104 or02 5 | SELL GFD 1400 100 or03 6 | SELL GFD 1400 105 or04 7 | BUY GFD 1100 400 or05 8 | BUY GFD 1200 600 or06 9 | BUY GFD 1100 10 or07 10 | BUY GFD 1200 10 or08 11 | BUY GFD 1300 100 or09 12 | PRINT 13 | -------------------------------------------------------------------------------- /test/testsell.cor: -------------------------------------------------------------------------------- 1 | TRADE or01 1300 40 or02 1200 40 2 | TRADE or01 1300 60 or03 1299 60 3 | SELL: 4 | BUY: 5 | -------------------------------------------------------------------------------- /test/testsell.dat: -------------------------------------------------------------------------------- 1 | ## this unit test file is for functionality of sell.. 2 | BUY GFD 1300 100 or01 3 | SELL GFD 1200 40 or02 4 | SELL IOC 1299 70 or03 5 | PRINT 6 | --------------------------------------------------------------------------------