Market Simulator

How It Works

⚖

AVL Tree Order Book

Four self-balancing AVL trees organize all active orders: buyTree, sellTree, stopBuyTree, stopSellTree. Each node is a price level (a Limit) containing a doubly-linked list of orders in FIFO order. Edge pointers give O(1) access to the best bid and best ask at all times. AVL rotations keep tree height at O(log M) where M = distinct price levels.

AVL TREEO(1) BEST BID/ASKFIFO DLL

⇄

Matching Algorithm

Price-time priority matching: incoming orders match against the best opposite price level. The engine uses O(1) hash-map lookups (unordered_map<OrderId, Order*>) for cancel and modify — no tree traversal. Each execution generates FIX-style ExecutionReport messages.

PRICE-TIME PRIORITYO(1) CANCELHASH MAP

⚅

Market Simulation

Orders generated using N(μ=mid, σ=0.50) around the mid price. A weighted-probability selector picks order types: ~20% limits, ~10% markets, ~35% cancels, ~15% modifications, ~10% stop orders, ~10% stop-limits — mimicking real microstructure.

NORMAL DISTWEIGHTED PROBMICROSTRUCTURE

★

Scenarios

Mixed: All order types balanced. Basic: Limit & market only. HFT: High-frequency bursts with aggressive cancels. Stress: Maximum throughput with large sizes and concentrated levels.

4 SCENARIOSCONFIGURABLE

⚙

C++ Architecture

C++20 with raw-pointer AVL trees for maximum hot-path performance. Hash maps (unordered_map) provide O(1) lookups. Atomic JSON snapshots every 100ms. Single function-call pipeline for submission, validation, matching, and reporting.

C++20RAW POINTERSATOMIC I/O

⏲

Latency Tracking

Every op instrumented with chrono::steady_clock at nanosecond resolution. Rolling 1,000-sample window computes P50, P95, P99, min/max, mean. AVL rotation counting tracks tree health under load.

NANOSECONDP50/P95/P99HISTOGRAM

Market Simulator

Platform

Connecting... AUTO-REFRESH 200MS

Scenario

Market Overview

Best Bid

—

Best Ask

—

Spread

—

Last Price

—

Total Volume

—

Active Orders

—

Executed

—

Throughput

—ops/s

—

Engine Performance

Median Latency

—ns

P50

Tail Latency

—ns

P99

Throughput

—ops/s

—

AVL Rotations

—

tree rebalances

Average

—ns

P95

—ns

Min

—ns

Max

—ns

Microstructure Radar

Market Health Indicators

Price Action & Latency Distribution

Price — Bid / Ask / Mid

Latency Histogram

Order Book & Trade Feed

Order Book

	Orders	Qty	Bid	Ask	Qty	Orders

Spread: —

Book Imbalance

Recent Trades

Price	Qty	Side	Time

Market Statistics

Depth & Volume Analysis

Cumulative Depth Profile

Volume by Price Level