Order Book programmed in C++. The goal was to better understand the dynamics of live price determination. It includes:
- Order matching at every tick
- Price simulation using a GBM
- Simulated agents inserting orders either limit or market, depending on last tick's simulated volatility.
- Canceling an order, adding a limit order, adding a market order
- Order book representation with spread
In the future, I would like to model more realistically market participant behavior and use it to drive price changes.
