Market Data Order Book and BBO

A C++ implementation of a basic market data order book with Best Bid and Offer (BBO) handling.

Features

• Price-level order book with bid and ask sides
• BBO (Best Bid and Offer) tracking
• Order insertion, modification, and cancellation
• Price-time priority matching
• Level 2 market data display

Build

mkdir build && cd build
cmake ..
cmake --build .

Usage

./orderbook_test

Project Structure

src/
  orderbook.cpp      - Order book implementation
  orderbook.h        - Order book header
  order.cpp          - Order implementation
  order.h            - Order header
  bbo.cpp            - BBO implementation
  bbo.h              - BBO header
  main.cpp           - Test/demo application
CMakeLists.txt       - Build configuration