01 / Systems & simulation
Every trade starts with someone willing to buy and someone willing to sell. What happens between those two intentions?
The book holds orders waiting to trade. Buyers sit on one side, sellers on the other. The gap between the highest bid and the lowest ask is the spread.
Try buying 12 units. Only 10 are available at the best ask, so the remaining two trade at the next price. Reset the book and try a limit order to choose the most you’re willing to pay.
The question
LOBSimulater is an order-book engine and event-driven backtesting framework. The project explores the mechanics that a price chart hides: queue position, available depth, individual fills, and the signals that can be extracted from order flow.
The C++ engine supports aggregated and individual-order views, with a Python binding for analysis and experimentation.
How it works
Orders are organized into price levels. Within each level, a linked queue preserves arrival order. This separates two questions: which price should trade first, and which order at that price has priority?
A faster engine is only useful if its behavior remains understandable. The repository includes order-book tests, backtester tests, and a throughput benchmark.
About the demo
The interactive book above is an educational JavaScript adaptation, using synthetic orders. It matches by price and arrival time, handles partial fills, and leaves unfilled limit orders in the queue. Unfilled market orders are discarded.
It displays the best five price levels on each side. There are no fees, latency, hidden liquidity, or live market data. It illustrates the mechanics; it does not execute the C++ engine or measure its performance.
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