C++ Limit Order Book with Latency Instrumentation

Problem

Order book simulators typically model matching logic but ignore the timing behaviour that determines real execution quality. Without instrumentation, latency and order expiration stay invisible until they cost money.

Approach

• 01Engineered a C++17 limit order book simulator modelling real-world trading latency and order expiration.
• 02Instrumented the execution path to record per-order timing across the matching lifecycle.
• 03Emitted execution metrics, including P99 and P99.9 latency and slippage, plus cancel logs, to CSV for post-trade analysis.

Outcome

Produces a post-trade dataset that makes tail latency and slippage directly measurable rather than inferred.