cpp-market-event-engine

A C++17 market-style event processing engine that ingests structured events, maintains per-symbol state, and emits deterministic derived outputs. the focus is on clean design, state management, correctness, and performance-aware data structures.

Project Features

• Modern C++17 (RAII, STL, move semantics)
• Clean module boundaries (Parser → Engine → StateStore → Output)
• Deterministic event ordering and state updates
• Performance-conscious parsing (streaming file processing; no full-file reads)
• Extendable “rules” / derived outputs (e.g., price jump alerts)

Event format (simple, no external JSON libs)

The engine reads one event per line (CSV-like):

timestamp,symbol,type,price,qty,side

• timestamp: integer epoch seconds (or any increasing integer)
• symbol: e.g. AAPL
• type: PRICE_UPDATE | ORDER_NEW | ORDER_FILL | ORDER_CANCEL
• price: decimal
• qty: integer (0 allowed for PRICE_UPDATE)
• side: B | S | - (use - for PRICE_UPDATE)

Example:

1700000001,AAPL,PRICE_UPDATE,192.15,0,-
1700000002,AAPL,ORDER_NEW,192.10,100,B
1700000003,AAPL,ORDER_FILL,192.12,50,B

Build

Linux / macOS

cmake -S . -B build -DCMAKE_BUILD_TYPE=Release
cmake --build build -j

Run:

./build/market_event_engine --input data/sample_events.csv --summary

Windows (Visual Studio Community)

1. Open Developer PowerShell for VS (or use VS “Open a Developer Command Prompt”).
2. From the repo root:

cmake -S . -B build -G "Visual Studio 17 2022" -A x64
cmake --build build --config Release

Run:

.\build\Release\market_event_engine.exe --input data\sample_events.csv --summary

Usage

market_event_engine --input <file> [--summary] [--alerts] [--price-jump-bps <bps>]

Examples:

# Summaries only
./build/market_event_engine --input data/sample_events.csv --summary

# Summaries + alerts for >= 25 bps move (0.25%)
./build/market_event_engine --input data/sample_events.csv --summary --alerts --price-jump-bps 25

Output

Summary example

• Per symbol: last price, last timestamp, counts per event type
• Aggregate: total events processed, parse errors

Alerts example

A “price jump” alert triggers when the absolute percent change from the previous price update exceeds --price-jump-bps (basis points). Default is 50 bps (0.50%).

Project layout

cpp-market-event-engine/
  CMakeLists.txt
  include/
    engine.hpp
    event.hpp
    parser.hpp
    state_store.hpp
    util.hpp
  src/
    main.cpp
    engine.cpp
    parser.cpp
    state_store.cpp
  data/
    sample_events.csv
  tests/
    test_engine.cpp

Tests

cmake -S . -B build -DCMAKE_BUILD_TYPE=Release -DBUILD_TESTS=ON
cmake --build build -j
ctest --test-dir build

Extensions (easy wins)

• Add a bounded queue + worker thread(s) for parsing vs processing (preserving deterministic ordering per symbol)
• Add a simple “top movers” report
• Add a binary input format (faster than CSV) while keeping the same engine interface

License

MIT