C++ implementation of a limit orderbook.

Key Features

• Price-Time Priority: Orders are matched based on the best price, and then by the time they were received (First-In, First-Out).
• Supported Order Types:
  • Good-Till-Cancel (GTC): A standard limit order that rests on the book until it is completely filled or cancelled.
  • Market: An order to buy or sell immediately at the best available price(s) on the opposite side of the book.
  • Immediate-Or-Cancel (IOC): An order that must be executed immediately. Any portion of the order that cannot be filled is cancelled.
  • Fill-Or-Kill (FOK): An order that must be executed immediately and in its entirety. If the full quantity cannot be matched, the entire order is cancelled.
• Core Operations:
  • Add: Add a new order to the book, triggering an immediate matching attempt.
  • Cancel: Remove an active order from the book.
  • Modify: Change the price or quantity of an existing order (implemented as a cancel-and-add operation).