I stumbled upon a Reddit post today on r/quant asking for C++ project ideas. The top comment suggested writing an order matching engine, and since I was both interested in a future career in quant and sharpening my C++ experience, I set out to do just that.
After a couple of minutes of research, I found a
perfect tutorial and followed it meticulously. The code for this project can be found
in src/ and tests can be found under test/, written with
Google's C++ Testing Framework.
After doing this, I learned more about how to write CMake lists, override operators, the friend/inline modifiers, defining custom types, differences between older and newer language versions, using iterators, and using lambdas in C++. It really reinforced material I learned in my college classes!
If you don't have it already, make sure you install the Cling C++ interpreter
(which is brew install cling on a Mac). To interact with the order book,
navigate to src/ and do cling --nologo -std=c++1z to start Cling. Once that's going,
use .L OrderBook.cpp to load in the class definitions, and you are good to go!