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README.md

QuantLOB Documentation

This directory contains the full reference documentation for QuantLOB. Read the documents in numbered order for a complete understanding of the project, or jump directly to the section you need using the index below.

Document Index

File Title Description
01_architecture.md Architecture Reference Directory layout, component map, data flow, threading model, build targets
02_api_reference.md API Reference Complete public API for every class and struct
03_build_and_configuration.md Build and Configuration Prerequisites, CMake options, sanitizer setup, Docker, install
04_matching_engine.md Matching Engine Internals Price-time priority, crossing algorithm, invariants, complexity
05_ml_module.md Machine Learning Module Feature extractor, models, pipeline, Python training scripts
06_data_formats.md Data Formats Reference All CSV and text formats produced and consumed by QuantLOB
07_performance_guide.md Performance Guide Throughput targets, latency budget, benchmarks, profiling workflow
08_testing_guide.md Testing Guide Test suite structure, all test cases, sanitizer runs, CI matrix

Quick Links

Getting started

  1. Install prerequisites -- see 03_build_and_configuration.md
  2. Run cmake -B build -G Ninja -DCMAKE_BUILD_TYPE=Release && cmake --build build --parallel
  3. Run ./build/quantlob --help to see all CLI options
  4. Run cd build && ctest --output-on-failure to verify the build

Common tasks

Task Where to look
Understand order matching rules 04_matching_engine.md
Add a new order type 04_matching_engine.md, MatchingEngine.hpp/cpp
Use the ML pipeline in your own code 05_ml_module.md
Train models on LOBSTER data 05_ml_module.md, code/ai_models/python/
Parse LOBSTER CSV files 06_data_formats.md, FeedHandler.cpp
Export LOB snapshots to CSV 06_data_formats.md, Exporter.hpp
Profile and benchmark 07_performance_guide.md
Write a new test 08_testing_guide.md

Module Dependencies

Order.hpp  (no deps)
    |
    +-- OrderBook.hpp  -->  OrderBook.cpp
    |       |
    |       +-- MatchingEngine.hpp  -->  MatchingEngine.cpp
    |               |
    |               +-- FeedHandler.hpp  -->  FeedHandler.cpp
    |
    +-- Latency.hpp  (header-only)
    +-- Logger.hpp   (header-only)
    +-- MemoryPool.hpp (header-only)
    +-- RingBuffer.hpp (header-only)
    +-- Exporter.hpp   (header-only, depends on Latency + MatchingEngine)

ML module (code/ai_models/, depends on core headers):
    FeatureExtractor.hpp/cpp
    MidPricePredictor.hpp/cpp
    OrderFlowPredictor.hpp/cpp
    AnomalyDetector.hpp/cpp
    MLPipeline.hpp/cpp  (depends on all four above)