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Cupid

Cupid - a matching engine in modern C++ seeking performance and elegance.

This repo will implement a matching engine for finanical instruments, aka an exchange. It will support different matching algorithms and order types.

Part of the motivation for this repo is from my old pure C implementation of the quantcup contest. But this repo will place more emphasis on utilizing modern C++ features for elegance while maintaining the original high performance.

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Dependency

I use google's benchmark to conduct performance testing. To fully build the project, it requires to install benchmark on the build host. You may follow the "Installation" section there to install it.

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Reference

1. LimitOrderBook (https://github.com/YukunJ/LimitOrderBook)
2. When Nanoseconds Matter: Ultrafast Trading Systems in C++ - David Gross - CppCon 2024 (https://www.youtube.com/watch?v=sX2nF1fW7kI)
3. Google benchmark user guide (https://github.com/google/benchmark/blob/main/docs/user_guide.md)