brprojects · kwmcclintick · May 2, 2026 · May 7, 2026 · May 7, 2026
diff --git a/CMakeLists.txt b/CMakeLists.txt
@@ -8,8 +8,6 @@ set(CMAKE_CXX_FLAGS "${CMAKE_CXX_FLAGS} -O2")
 
 enable_testing()
 
-add_subdirectory(googletest)
-
 set(Headers
     ./Limit_Order_Book/Book.hpp
     ./Limit_Order_Book/Limit.hpp
@@ -27,11 +25,19 @@ set(Sources
 
 # Define the library target
 add_library(${PROJECT_NAME}_lib STATIC ${Sources} ${Headers})
+add_library(${PROJECT_NAME}_gen_lib STATIC ${Sources} ${Headers})
 
 # Define the executable target
 add_executable(${PROJECT_NAME} main.cpp)
+add_executable(GenerateOrders generate.cpp)
+
+# Add the definition to the executable's own compilation of the library sources
+# Use a separate library target if the code logic actually changes
+target_compile_definitions(${PROJECT_NAME}_gen_lib PRIVATE GENERATE)
 
+# Link the generator to this specific "gen" version
 # Link the executable with the library
+target_link_libraries(GenerateOrders PRIVATE ${PROJECT_NAME}_gen_lib)
 target_link_libraries(${PROJECT_NAME} PRIVATE ${PROJECT_NAME}_lib)
 
 add_subdirectory(test)

diff --git a/Generate_Orders/GenerateOrders.cpp b/Generate_Orders/GenerateOrders.cpp
@@ -275,7 +275,7 @@ void GenerateOrders::modifyStopLimit()
 void GenerateOrders::createOrders(int numberOfOrders)
 {
     // Open a file named "orders.txt" for writing
-    file.open("C:/Users/benja/Documents/Limit_order_book/orders.txt");
+    file.open("./Generate_Orders/Orders.txt");
 
     if (!file.is_open()) {
         std::cerr << "Error opening file for writing!" << std::endl;
@@ -285,8 +285,7 @@ void GenerateOrders::createOrders(int numberOfOrders)
     std::uniform_real_distribution<> dis(0.0, 1.0);
 
     // Define the probabilities and actions
-    std::vector<double> probabilities = {0.025, 0, 0.195, 0.295, 0.025, 0, 0.12, 0.12, 0, 0.12, 0.12};
-    // std::vector<double> probabilities = {0.05, 0, 0.2, 0.3, 0, 0, 0.15, 0.15, 0, 0, 0.15};
+    std::vector<double> probabilities = {0.025, 0.192, 0.119, 0.179, 0.025, 0.093, 0.073, 0.073, 0.09, 0.071, 0.06};
     std::vector<std::function<void()>> actions = {
         std::bind(&GenerateOrders::market, this),
         std::bind(&GenerateOrders::addLimit, this),
@@ -318,16 +317,13 @@ void GenerateOrders::createOrders(int numberOfOrders)
         // Perform the selected action
         if (selectedAction < probabilities.size()) {
             actions[selectedAction]();
+            //std::cout << "Selected Action: " << selectedAction << std::endl;
 
-            // if (i%100000 == 0)
-            // {
-            //     std::cout << "-------------------------------------" << std::endl;
-            //     std::cout << "Number of orders done: " << i << std::endl;
-
-            //     std::cout << "Highest Stop Sell: " << book->getHighestStopSell()->getLimitPrice() << ", Lowest Stop Buy: " << book->getLowestStopBuy()->getLimitPrice() << std::endl;
-            //     std::cout << "Lowest Sell: " << book->getLowestSell()->getLimitPrice() << ", Highest Buy: " << book->getHighestBuy()->getLimitPrice() << std::endl;
-            //     book->printOrderBook();
-            // }
+            if (i%100000 == 0)
+            {
+                 std::cout << "-------------------------------------" << std::endl;
+                 std::cout << "Number of orders done: " << i << std::endl;
+            }
 
         } else {
             std::cerr << "Error: No action selected!" << std::endl;
@@ -340,7 +336,7 @@ void GenerateOrders::createOrders(int numberOfOrders)
 void GenerateOrders::createInitialOrders(int numberOfOrders, int centreOfBook)
 {
     // Open a file named "initialOrders.txt" for writing
-    std::ofstream file("C:/Users/benja/Documents/Limit_order_book/initialOrders.txt");
+    std::ofstream file("./Generate_Orders/initialOrders.txt");
 
     if (!file.is_open()) {
         std::cerr << "Error opening file for writing!" << std::endl;
@@ -394,4 +390,4 @@ void GenerateOrders::createInitialOrders(int numberOfOrders, int centreOfBook)
     file.close();
 
     std::cout << "Orders written to initialOrders.txt successfully!" << std::endl;
-}
+}
diff --git a/Limit_Order_Book/Book.cpp b/Limit_Order_Book/Book.cpp
@@ -102,7 +102,9 @@ void Book::addLimitOrder(int orderId, bool buyOrSell, int shares, int limitPrice
             addLimit(limitPrice, newOrder->getBuyOrSell());
         }
         limitMap.at(limitPrice)->append(newOrder);
-        // limitOrders.insert(newOrder);
+        #ifdef GENERATE
+            limitOrders.insert(newOrder);
+        #endif
     } else {
         executeStopOrders(buyOrSell);
     }
@@ -123,7 +125,9 @@ void Book::cancelLimitOrder(int orderId)
                 deleteLimit(order->getParentLimit());
             }
         deleteFromOrderMap(orderId);
-        // limitOrders.erase(order);
+        #ifdef GENERATE
+            limitOrders.erase(order);
+        #endif
         delete order;
     }
 }
@@ -171,7 +175,9 @@ void Book::addStopOrder(int orderId, bool buyOrSell, int shares, int stopPrice)
             addStop(stopPrice, newOrder->getBuyOrSell());
         }
         stopMap.at(stopPrice)->append(newOrder);
-        // stopOrders.insert(newOrder);
+        #ifdef GENERATE
+            stopOrders.insert(newOrder);
+        #endif
     }
 }
 
@@ -190,7 +196,9 @@ void Book::cancelStopOrder(int orderId)
                 deleteStopLevel(order->getParentLimit());
             }
         deleteFromOrderMap(orderId);
-        // stopOrders.erase(order);
+        #ifdef GENERATE
+            stopOrders.erase(order);
+        #endif
         delete order;
     }
 }
@@ -237,7 +245,9 @@ void Book::addStopLimitOrder(int orderId, bool buyOrSell, int shares, int limitP
             addStop(stopPrice, newOrder->getBuyOrSell());
         }
         stopMap.at(stopPrice)->append(newOrder);
-        // stopLimitOrders.insert(newOrder);
+        #ifdef GENERATE
+            stopLimitOrders.insert(newOrder);
+        #endif
     }
 }
 
@@ -255,7 +265,9 @@ void Book::cancelStopLimitOrder(int orderId)
                 deleteStopLevel(order->getParentLimit());
             }
         deleteFromOrderMap(orderId);
-        // stopLimitOrders.erase(order);
+        #ifdef GENERATE
+            stopLimitOrders.erase(order);
+        #endif
         delete order;
     }
 }
@@ -936,11 +948,15 @@ void Book::executeStopOrders(bool buyOrSell)
                     deleteStopLevel(lowestStopBuy);
                 }
                 deleteFromOrderMap(headOrder->getOrderId());
-                // stopOrders.erase(headOrder);
+                #ifdef GENERATE
+                    stopOrders.erase(headOrder);
+                #endif
                 delete headOrder;
                 marketOrderHelper(0, true, shares);
             } else {
-                // stopLimitOrders.erase(headOrder);
+                #ifdef GENERATE
+                    stopLimitOrders.erase(headOrder);
+                #endif
                 stopLimitOrderToLimitOrder(headOrder, buyOrSell);
             }
         }
@@ -959,11 +975,15 @@ void Book::executeStopOrders(bool buyOrSell)
                     deleteStopLevel(highestStopSell);
                 }
                 deleteFromOrderMap(headOrder->getOrderId());
-                // stopOrders.erase(headOrder);
+                #ifdef GENERATE
+                    stopOrders.erase(headOrder);
+                #endif
                 delete headOrder;
                 marketOrderHelper(0, false, shares);
             } else {
-                // stopLimitOrders.erase(headOrder);
+                #ifdef GENERATE
+                    stopLimitOrders.erase(headOrder);
+                #endif
                 stopLimitOrderToLimitOrder(headOrder, buyOrSell);
             }
         }
@@ -993,7 +1013,9 @@ void Book::stopLimitOrderToLimitOrder(Order* headOrder, bool buyOrSell)
             addLimit(headOrder->getLimit(), buyOrSell);
         }
         limitMap.at(headOrder->getLimit())->append(headOrder);
-        // limitOrders.insert(headOrder);
+        #ifdef GENERATE
+            limitOrders.insert(headOrder);
+        #endif
     }
 }
 
@@ -1013,7 +1035,9 @@ void Book::marketOrderHelper(int orderId, bool buyOrSell, int shares)
             deleteLimit(bookEdge);
         }
         deleteFromOrderMap(headOrder->getOrderId());
-        // limitOrders.erase(headOrder);
+        #ifdef GENERATE
+            limitOrders.erase(headOrder);
+        #endif
         delete headOrder;
         executedOrdersCount += 1;
     }

diff --git a/Process_Orders/data_visualisation.py b/Process_Orders/data_visualisation.py
@@ -1,8 +1,9 @@
 import pandas as pd
 import matplotlib.pyplot as plt
 from mpl_toolkits.mplot3d import Axes3D
+import sys
 
-def create_bar_chart_from_csv(csv_filename):
+def create_bar_chart_from_csv(csv_filename, save_plots):
     # Read the CSV file into a DataFrame
     df = pd.read_csv(csv_filename, header=None, names=['Order Type', 'Times', 'Executed Orders', 'AVL Tree Balances'])
 
@@ -16,22 +17,16 @@ def create_bar_chart_from_csv(csv_filename):
     average_time = times.mean()
     trades_count = df['Executed Orders'].sum()
     balances_count = df['AVL Tree Balances'].sum()
-    # print(f'{trades_count}  {balances_count}')
-    # print(f"Average time: {average_time}")
-
-    # Print the 20 rows with the highest times
-    # top_20_times = df.nlargest(20, 'Times')
-    # print("\nTop 20 rows with the highest times:")
-    # print(top_20_times)
 
     # Create a pie chart of the different order types
     order_type_counts = orderTypes.value_counts()
     order_type_counts = order_type_counts[::-1]
     plt.figure(figsize=(8, 8))
     plt.pie(order_type_counts, labels=order_type_counts.index, autopct='%1.1f%%', startangle=0, colors=plt.cm.tab20.colors)
     plt.title('Distribution of Order Types')
-    # plt.show()
-    # plt.savefig('../figures/OrderTypes.png')
+    if save_plots:
+        plt.savefig('./figures/OrderTypes.png')
+    plt.show()
 
     # Create a histogram of the order latencies
     filtered_times = times[times <= 4000]
@@ -40,29 +35,32 @@ def create_bar_chart_from_csv(csv_filename):
     plt.title(f'Orders by Latency Histogram - mean={average_time:.1f}ns ({1000000000/average_time:,.0f} orders/s)')
     plt.xlabel('Latency (ns)')
     plt.ylabel('Number of Orders')
-    # plt.show()
-    # plt.savefig('../figures/LatencyHistogram.png')
+    if save_plots:
+        plt.savefig('./figures/LatencyHistogram.png')
+    plt.show()
 
     # Exclude 'Market' and 'AddMarketLimit' order types
     excluded_order_types = ['Market', 'AddMarketLimit']
     filtered_df = df[~df['Order Type'].isin(excluded_order_types)]
 
     # Calculate mean, 15th, and 85th percentiles for each order type
     stats = filtered_df.groupby('Order Type')['Times'].agg(['mean', lambda x: x.quantile(0.15), lambda x: x.quantile(0.85)]).reset_index()
-    stats.columns = ['Order Type', 'mean', '25th', '75th']
-    stats['error_lower'] = stats['mean'] - stats['25th']
-    stats['error_upper'] = stats['75th'] - stats['mean']
+    stats.columns = ['Order Type', 'mean', '15th', '85th']
+    stats['error_lower'] = stats['15th']# - stats['25th']
+    stats['error_upper'] = stats['85th']# - stats['mean']
     stats = stats.sort_values(by='mean')
 
+
     # Create a bar chart with error bars for latency for each order type
     plt.figure(figsize=(12, 6))
     plt.bar(stats['Order Type'], stats['mean'], yerr=[stats['error_lower'], stats['error_upper']], capsize=5, color='skyblue', edgecolor='black')
     plt.title('Latency by Order Type')
     plt.xlabel('Order Type')
     plt.ylabel('Latency (ns)')
     plt.xticks(rotation=45)
-    # plt.show()
-    # plt.savefig('../figures/OrderTypeLatencies.png', bbox_inches='tight')
+    if save_plots:
+        plt.savefig('./figures/OrderTypeLatencies.png', bbox_inches='tight')
+    plt.show()
 
     # Filter for Market and AddMarketLimit order types
     market_df = df[df['Order Type'].isin(['Market', 'AddMarketLimit'])]
@@ -78,8 +76,9 @@ def create_bar_chart_from_csv(csv_filename):
     plt.title('Latency by Number of Trades')
     plt.xlabel('Number of Trades per Order')
     plt.ylabel('Latency (ns)')
-    # plt.show()
-    # plt.savefig('../figures/ExecutedOrders.png')
+    if save_plots:
+        plt.savefig('./figures/ExecutedOrders.png')
+    plt.show()
 
 
     balance_df = df[df['AVL Tree Balances'] != 0]
@@ -95,8 +94,9 @@ def create_bar_chart_from_csv(csv_filename):
     plt.title('Latency by Number of AVL Tree Balances')
     plt.xlabel('Number of AVL Tree Balances')
     plt.ylabel('Latency (ns)')
-    # plt.show()
-    # plt.savefig('../figures/AVLTreeBalances.png')
+    if save_plots:
+        plt.savefig('./figures/AVLTreeBalances.png')
+    plt.show()
 
     # Create figure and 3D axis
     fig = plt.figure(figsize=(10, 6))
@@ -120,9 +120,12 @@ def create_bar_chart_from_csv(csv_filename):
     ax.set_xticks([3, 13, 23, 33, 43, 53, 63, 73])
     ax.set_xticklabels([70, 60, 50, 40, 30, 20, 10, 0])
     plt.title('Latency by Number of Trades and AVL Tree Balances')
-    # plt.show()
-    # plt.savefig('../figures/3D.png')
+    if save_plots:
+        plt.savefig('./figures/3D.png')
+    plt.show()
 
 
 csv_filename = './order_processing_times.csv'
-create_bar_chart_from_csv(csv_filename)
+# Check if '--save' was passed in the terminal
+save_plots = '--save' in sys.argv
+create_bar_chart_from_csv(csv_filename, save_plots)
diff --git a/README.md b/README.md
@@ -4,6 +4,40 @@ This Limit Order Book is developed in `C++` from scratch and able to handle over
 
 Performance testing of the order book was also quite a challenging task as it required getting order data for testing, performing the testing to collect latency statistics, and finally analysing and visualising the collected data. All functionality testing was completed thorough a set of unit tests and integration tests using `GoogleTest`.
 
+## Build
+
+To build the targets `LimitOrderBook`, `LimitOrderBookTests`, and `GenerateOrders`, simply run
+
+```bash
+./build.sh
+```
+
+## Generate Orders
+
+To generate `Orders.txt` and `initialOrders.txt`, just run
+
+```bash
+./GenerateOrders
+```
+
+## Process Orders
+
+To process `Orders.txt`, run
+
+```bash
+./LimitOrderBook
+```
+
+## Visualize Results
+
+To produce the plots in this readme, run
+
+```bash
+python3 Process_Orders/data_visualization.py --save
+```
+
+The `--save` option is optional to save the figures in `./figures`.
+
 ## Background
 
 ### Matching Engine

diff --git a/build.sh b/build.sh
@@ -0,0 +1,9 @@
+#!/bin/bash
+
+mkdir build
+cd build
+cmake ..
+make
+cp LimitOrderBook ../
+cp GenerateOrders ../
+cp ./test/LimitOrderBookTests ../