Defining the operations and interactions in our matching engine

Here, we will declare and define the types, constants, and structures we will need as we build the matching engine in this chapter.

Defining some types and constants

Let us define a few common typedefs to document the types we will use in the rest of this book. We will also define some constants to represent some assumptions that exist, purely for the purpose of simplifying the design of our matching engine. Note that you don’t need these limits/constants, and we leave this enhancement up to the interested among you. All the code for this subsection can be found in the Chapter6/common/types.h file in the GitHub repository for this book.

Defining a few basic types

We will define some types to hold different attributes in our electronic trading system, such as the following:

• OrderId to identify orders
• TickerId to identify trading instruments
• ClientId for the exchange to identify different...