This is Lillian's repo for experimental OrderBook optimization.
git clone [email protected]:lillianqin/book-project.git
cd book-project
git submodule update --init --recursive
Run the following to build
cmake --preset debug
cmake --build --preset debug
Run the following to invoke all tests
ctest --preset debug
Change above debug to release for release mode if you would like to enable compiler optimization.
The objective of the repo is to optimize the OrderBook class, which can be benchmarked via running the program itchbook_printer. To measure the time of running itchbook_printer for a day of Nasdaq's raw data, build in release mode first, and then run the following command
/usr/bin/time ./build/release/itch50/itchbook_printer --printUpdate=false --printOther=false --date 20191230
After some time, the command should print something like
start=20191230 00:00:00.000000000 end=23:59:59.000000000
done processing book, remaining orders=0, remaining levels=0
maxNumOrders=1924078, maxNumLevels=784060
181.66user 0.88system 3:12.14elapsed 95%CPU (0avgtext+0avgdata 394564maxresident)k
0inputs+0outputs (0major+222602minor)pagefaults 0swaps
In total, above run took 181.66 seconds user time. The goal is to reduce the time with better data structures for the book.