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Price-time Priority Exchange + CSV writing implementation - #27

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ltanak merged 14 commits into
mainfrom
ptpe
Jan 11, 2026
Merged

Price-time Priority Exchange + CSV writing implementation#27
ltanak merged 14 commits into
mainfrom
ptpe

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@ltanak

@ltanak ltanak commented Jan 6, 2026

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Price-time Priority Exchange

  • implemented a price-time priority exchange using a price-level window structure
  • add and remove operations are amortised O(1)
  • orderbook supports recentering around price
  • currently fixed tick size of 0.01 (to represent prices such as 123.45)

CSV Writing

  • implemented the collection of results for exchange outputs

Further features

  • more verbose scripting, allowing for tools such as valgrind, perf, gdb, etc

Fixes

  • removed thread contention on incrementing size variable

@ltanak

ltanak commented Jan 6, 2026

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Currently SSH server is down so unable to make progress - will fix tests once it is back up (I had to refactor lots of the structs, which is why they are failing)

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ltanak requested a review from Archii0 January 11, 2026 13:26

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Had a quick skim through, things look pretty good.

Just remember to add new lines at the end of the files (nitpick).

@ltanak
ltanak merged commit 6a8e8f7 into main Jan 11, 2026
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@ltanak
ltanak deleted the ptpe branch March 1, 2026 17:02
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2 participants