As an academic exercise, I wanted to take on building a matching engine in C++. The purpose here is to iterate through the process of measuring and improving performance.<\/p>\n\n\n\n
I imagine the initial requirements as naive, with later iterations including removal of floating point calculations, variable precision, 128-bit integers, “dust” handling (may be more of an implementation question than a performance one).<\/p>\n\n\n\n
This engine will be strictly single-threaded and purposeful. It is hoped that the input will be clean and optimized (which could be offloaded) to improve throughput.<\/p>\n\n\n\n
Tooling will be sparse, on purpose. The idea here is not a discussion of the intricacies of the tools, but how tweaks to code affects speed.<\/p>\n\n\n\n
The engine will receive limit orders that specify the asset held, the asset to be bought, and the desired price. It will include a sequential id, externally guaranteed to be unique (such a key could be analyzed later… we’ll see…).<\/p>\n\n\n\n
Once received, the order is processed and if not immediately filled, what is left over is placed on the order book.<\/p>\n\n\n\n
Simple, right? There are many details yet to be sorted out. So we will get started! I will edit this post with links to my future posts on the subject. Stay tuned!<\/p>\n\n\n\n
For the first cut of the order book, see this GitHub commit.<\/a><\/p>\n\n\n\n