Order book

Given a CSV file comprising of a day of market events from an equity exchange the program builds an order book.

An order book comprises two ordered lists of price levels -- one for the bid side, and another for asks. A price level represents a FIFO queue of orders submitted at that price.

Usage

The program expects one argument which is a filename to input CSV file and prints to output the best bid and ask price and quantity whenever any of them changes in the following format:

<TIME>,<TICKER>,<BBP>,<BBQ>,<BAP>,<BAQ>

where here <TIME> is number of milliseconds since the start of the trading day, <TICKER> is the ticker for which update was done, <BBP> and <BBQ> are price and quantity of the best bid level or empty if there are no bids, and similarly <BAP> and <BAQ> for the ask.

Usage example

order-book testdata.csv

Build instructions

The project is using CMake for build and Google Test for unit-testng.

Without unit tests

mkdir build && cd build
cmake ..
make

With unit tests

git clone https://github.com/google/googletest.git external/googletest
mkdir build && cd build
cmake -DBUILD_TESTS=ON ..
make
make CTEST_OUTPUT_ON_FAILURE=1 test