Orderbook-cpp

A C++ order book that speaks ITCH 5.0 over MoldUDP64.

This is a golden model — a software reference for logic that is eventually meant to be implemented in RTL. The style reflects that constraint, not a design preference.

Architecture

• Flat structs, free functions — no classes, no inheritance, no virtual dispatch.
• No dynamic allocation — fixed-size arrays, sized at compile time (64 orders/side).
• ITCH 5.0 parsing — Add, Delete, Replace, Execute, decoded from raw big-endian bytes.
• MoldUDP64 de-framing — unpacks a packet into its constituent ITCH messages before dispatch.
• Bounded book with eviction — when a side is full, an incoming Add evicts the worst resting order only if it's more competitive; otherwise it's discarded. Ties are broken FCFS (existing order keeps its place).
• Unknown refs are flagged, not fatal — a D/U/E for an order the bounded book evicted or discarded sets unknown_order_ref and leaves the book unchanged, matching the RTL.
• Warnings-as-errors — every target builds with /W4 /WX (MSVC) or -Wall -Wextra -Werror, applied uniformly via a shared CMake helper.

Components

File	Purpose
src/main.cpp	Reads a MoldUDP64 binary file, de-frames it, dispatches each ITCH message against the order book
src/itchparser.cpp	ITCH 5.0 message parsers
src/moldudp64.cpp	MoldUDP64 packet de-framing
src/orderbook.cpp	Order book state and mutation logic (Add/Cancel/Replace/Execute, eviction, discard)
src/snapshot.cpp	Binary book snapshot (snapshot.bin): two 1056-byte big-endian packets (bids, asks) per ITCH message, per hardware-orderbook/spec/snapshot.yaml. Byte-identical to the RTL's output — this is the scoreboard trace
src/trace.cpp	Per-message text dump (trace.txt) — debug aid for eyeballing the book after each mutation. Not the model's product output; the model's job is to maintain the in-memory book state correctly (see include/orderbook.h).
test/gen_test.cpp	Generates stress_test.mold, a deterministic MoldUDP64 feed scaled to MAX_ORDERS_PER_SIDE, exercising eviction, discard, tie-break, cancel, wipeout, and unknown refs on both sides
test/test_snapshot.cpp	Snapshot encoder byte-layout tests
test/test_orderbook.cpp	Order book unit tests
test/test_itchparser.cpp	ITCH parser unit tests
test/test_moldudp64.cpp	MoldUDP64 de-framer unit tests

Toolchain

Built and verified with llvm-mingw (Clang targeting x86_64-w64-mingw32, msvcrt runtime), not MSVC or classic MinGW-GCC.

If building on Windows:

• Compiler: llvm-mingw's clang.exe (C) / clang++.exe (C++) — using clang++.exe for the C++ compiler is required; plain clang.exe won't auto-link libc++ and the build will fail at the link step with undefined std:: symbols.
• Runtime DLLs: add llvm-mingw's bin/ directory to PATH, or statically link (target_link_options(... PRIVATE -static)) to avoid runtime DLL-not-found errors (0xC0000135) when running built executables outside the build directory.

Building

cmake --preset x64-debug
cmake --build --preset x64-debug

Run against a MoldUDP64 binary file:

./Orderbook-cpp.exe path/to/feed.mold [snapshot_out]   # default: <repo>/snapshot.bin

Run all unit tests plus the end-to-end stress feed:

ctest --test-dir out/build/x64-debug

License

MIT

Author

Devanandan J