Orderbook

This is an implementation of an orderbook in C++. It deploys as a web server and exposes a simple API for placing, querying, and cancelling orders. The API (along with the rest of the design) is built as a proof-of-concept, with a focus on understanding the data structures involved in an orderbook and getting the basic operations working. Consequently, I don't plan on adding certain features like auth that, while necessary for deploying to prod, aren't necessary for the book itself.

Build

Ensure that the cpr and crow C++ modules are installed and findable by CMake. Then, run

git clone https://github.com/ravibrock/orderbook.git
cd orderbook
cmake -B build && cmake --build build

The final binary will be build/orderbook.

Test

The test/ directory contains some Python scripts used for testing. They are not comprehensive, but they do illustrate functionality.

API Reference

Limit Order

POST /limit/{user}/{direction}/{asset}/{quantity}/{price}

• Places a limit order.
• Parameters:
  • user (string): User ID.
  • direction (string): "buy" or "sell".
  • asset (string): Asset name.
  • quantity (int): Order size.
  • price (int): Limit price.
• Response: Order processing result.

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Market Order

POST /market/{user}/{direction}/{asset}/{quantity}

• Places a market order.
• Parameters:
  • user (string): User ID.
  • direction (string): "buy" or "sell".
  • asset (string): Asset name.
  • quantity (int): Order size.
• Response: Order processing result.

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Update User

POST /user/{user_id}/{callback}

• Updates user info with a callback endpoint.
• Parameters:
  • user_id (string): User ID.
  • callback (path): Callback URL or identifier.
• Response: If user already existed.

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Get Orders

GET /orders/{direction}/{asset}/{price}

• Retrieves orders at a given price.
• Parameters:
  • direction (string): "buy" or "sell".
  • asset (string): Asset name.
  • price (int): Order price.
• Response: Quantity of orders at each price level above (if buying) or below (if selling) given price.

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Add Orderbook

POST /books/{asset}/{min_price}/{max_price}

• Adds an orderbook for an asset.
• Parameters:
  • asset (string): Asset name.
  • min_price (int): Minimum price limit.
  • max_price (int): Maximum price limit.
• Response: Orderbook creation status.

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Cancel Order

POST /cancel/{order_id}

• Cancels an order.
• Parameters:
  • order_id (int): Order identifier.
• Response: Cancelled order.

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Shut Down Server

POST /shutdown

• Shuts down the server.
• Response: Shutdown confirmation.