Leotaby

Leotaby / MicroExchange

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Exchange-grade CLOB matching engine + microstructure analytics in C++20

leotaby.github.ioMicroExchange cpp finance hawkes-process market-microstructure matching-engine
49
10
100% credibility
Found Feb 17, 2026 at 46 stars -- GitGems finds repos before they trend. Get early access to the next one.
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AI Analysis
C++
AI Summary

MicroExchange simulates a high-performance stock exchange matching engine with market data feeds, trader simulations, and advanced analytics for studying financial market microstructure.

How It Works

1
🔍 Discover MicroExchange

You stumble upon this fascinating tool while exploring stock market simulations, drawn in by the stunning interactive dashboard showing 3D order books and price impacts.

2
📥 Get It Ready

Download the project and launch it easily, setting up your virtual stock exchange in moments.

3
⚡ Run a Market Simulation

Kick off a lively simulation of traders buying and selling, watching orders match and trades happen just like in a real exchange.

4
📈 View 3D Visualizations

Dive into gorgeous 3D surfaces of order books, price impacts, and spread breakdowns that make market behavior come alive.

5
🔬 Analyze Key Insights

Explore breakdowns of spreads, price impacts, order imbalances, and stylized facts to understand what drives market prices.

🎉 Unlock Market Secrets

You now have powerful visualizations and metrics to study and share how real stock markets work under the hood.

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Star Growth

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AI-Generated Review

What is MicroExchange?

MicroExchange delivers an exchange-grade CLOB matching engine in C++20, complete with ITCH-style market data replay and microstructure analytics. Developers run CLI simulations of realistic markets using clustered arrivals and trader agents, generating trades, midprices, and spreads for analysis. It outputs CSVs for spread decomposition, Kyle's lambda, order imbalance, and stylized facts verification, plus an interactive 3D dashboard for order book surfaces and impact landscapes.

Why is it gaining traction?

Unlike toy matching engines, MicroExchange reproduces empirical microstructure phenomena like fat tails and volatility clustering, backed by graduate-level financial models. C++20 performance hits 2M+ orders/sec single-threaded with p95 latency under 1us, while the full pipeline—from simulation to analytics—runs in minutes. The live dashboard and CLI modes (simulate, replay, benchmark) make quant workflows instantly productive.

Who should use this?

Quants researching price formation or calibrating HFT models against real stylized facts. Fintech engineers prototyping exchange logic or backtesting strategies on synthetic data. C++ devs exploring low-latency systems who want a complete lab beyond basic order books.

Verdict

Worth forking for microstructure sims or perf benchmarks—excellent docs, CLI, and tests despite 45 stars and 1.0% credibility signaling early maturity. Address known issues like vol clustering for production; ideal starter for C++20 quant projects.

(198 words)

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