High-Frequency Limit Order Book (C++)

A low-latency Limit Order Book (LOB) implementation designed for high-frequency trading simulations.

Live Demo

Screen.Recording.2026-01-10.at.1.36.24.AM.mov

Performance Benchmarks

Tested on MacBook Air (Apple Silicon):

• Average Latency: 1.21 microseconds/order
• Throughput: ~800000 orders/sec

Features

• Matching Engine: Standard Price-Time priority (FIFO) matching logic.
• Data Structures: std::map (Red-Black Tree) for ordered price levels; std::vector for order queues.
• Live Feed: Integrated Python adapter to stream real-time Binance BTC/USDT market depth.
• Optimization: Uses fixed-point arithmetic (integers) to avoid floating-point errors and latency.

How to Run

1. Live Trading Simulation: This script fetches data from Binance and updates the book in real-time.

chmod +x run_live.sh
./run_live.sh