Market Microstructure Model - Central Limit Order Book Simulation

Overview

C++ limit order book simulation modeling execution, queue priority, and liquidity dynamics in a price-time priority exchange environment.
Built to study how order flow and queue position determine execution outcomes in fast-moving markets.

Trading Problem

Execution in order-driven markets is determined by microstructure, not price alone.
Queue position, order flow, and liquidity dynamics determine realized PnL.

Core Idea

A price-time priority limit order book is simulated to study:
- Execution probability
- Liquidity formation
- Order flow impact on short-term price behavior

Trading Mapping

This models:
- Passive execution risk
- Market making queue dynamics
- Short-term liquidity shifts
- Adverse selection from order flow imbalance

Key Mechanisms

- Price-time priority (FIFO matching)
- Market / limit / cancel order flow
- Liquidity evolution under stochastic arrival processes

Key Insights

- Queue position is a primary driver of fill probability
- Displayed liquidity ≠ executable liquidity
- Order flow imbalance creates short-term directional pressure
- Execution is inherently path-dependent

Core Takeaway

Execution quality emerges from microstructure, not price levels.

Market Microstructure & Execution Visualizations

Benchmarks comparing execution throughput, matching latency, and order book query performance across C++ vs Python implementations.
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High-Throughput Price-Time Priority Matching Engine (C++ Implementation)

C++ limit order book processing 99,999 order events in ~0.67s, demonstrating low-latency execution, queue-based matching, and high-frequency order flow processing.

Reference Order Book Engine for Logic Validation (Python Baseline)

Python implementation processing identical order flow (~6s), used as correctness benchmark for execution logic, matching consistency, and state parity validation.

Low-Latency Order Book State Query for Liquidity and Depth Inspection

Efficient retrieval of live and historical order book states enabling real-time liquidity inference and execution timing analysis.

Reconstructed Order Book Depth Snapshot for Liquidity Structure Analysis

Full market depth reconstruction illustrating resting liquidity distribution and executable order book structure at a given timestamp.

Order Book Snapshot (Add + Cancel functionality)

Order addition / cancellation behavior demonstrating liquidity removal, depth reshaping, and microstructure-driven book evolution.