High-Performance SSE/SZSE Orderbook Engine

A high-performance C++17 Limit Order Book (LOB) engine designed for the Shanghai (SSE) and Shenzhen (SZSE) stock exchanges. This engine implements the Reduction-based Synthesis Logic, processing strictly ordered ApplSeqNum streams to reconstruct the order book state in real-time.

• Performance Oriented:
  • Memory Pooling: Custom ObjectPool to minimize allocation overhead and fragmentation.
  • O(1) Lookups: Hash map based order tracking.
  • O(1) Removals: Cached iterators allow removing orders from price levels in constant time.
• Dual Exchange Support:
  • SSE (Shanghai): Handles "Balance" based updates. Trades reduce "Maker" volume only (Taker is stateless).
  • SZSE (Shenzhen): Standard matching and reduction logic.
• Robust Verification:
  • Internal Consistency Checks: Validates map integrity, volume sums, and price ordering.
  • Fuzz Testing: Randomized stress tester (fuzz_test) verified with 10,000+ iterations.
  • Scenario Regression: Deterministic tests (test_scenario) for priority, partial fills, and cancellations.

• C++17 compliant compiler (Clang/GCC)
• xmake build system

xmake build

Runs the main simulation demonstrating SSE logic.

xmake run lob_demo

1. Deterministic Scenario Tests Validates specific business rules (Time-Priority, Cancellations).

xmake run test_scenario

2. Fuzz Testing Runs random stress test with consistency checks.

xmake run fuzz_test

• include/lob/
  • Engine.h: Core OrderBook class definition.
  • Order.h: Order structure and ObjectPool implementation.
  • Level.h: PriceLevel management.
  • Types.h: Common type definitions.
• src/
  • Engine.cpp: Implementation of matching and interaction logic.
  • main.cpp: Main entry point for demonstration (Multi-Stock).
  • strategy_demo.cpp: IPC Reader example.
  • fuzz_test.cpp: Generalized fuzz testing suite.
  • test_scenario.cpp: Specific regression scenarios.

• Multi-Stock Support: MatchingEngine manages multiple books.
• IPC: Shared Memory publishing for low-latency strategy access.
  • Run xmake run strategy_demo <instrument_id> while lob_demo is running.

MIT