matching-engine

A simple, high-performance order book and matching engine in Rust.

Features

• Price-time priority (FIFO) continuous matching
• Limit orders and Market orders
• O(log N) insert/match via BTreeMap price levels
• O(1) cancel lookup via FxHashMap
• Zero-allocation hot path (caller-owned fill buffer)
• Integer tick prices — no floating point

Project Structure

src/
  lib.rs              Library exports
  types.rs            Order, Fill, Side, OrderType
  orderbook.rs        Order book + matching engine
  main.rs             Benchmark runner
  bench/
    harness.rs        Timing infrastructure + Reporter
    scenarios.rs      7 benchmark scenarios
benches/
  engine.rs           Criterion microbenchmarks
results/
  mac/                Benchmark results from macOS
  linux/              Benchmark results from Linux

Quick Start

cargo run --release     # run latency benchmark (saves to results/)

Benchmark Scenarios

Scenario	What it measures
Passive Insert	Limit order that doesn't cross — pure BTreeMap + HashMap insert
Aggressive Fill	Take 1 lot from best price — match + partial fill
Multi-Level Sweep	Large order crossing N price levels
Market Order	Aggressive fill with no price limit
Cancel	Remove a resting order by ID
Cancel Hot Level	Cancel from a single price with 10–10K queued orders
Mixed Workload	Realistic flow: 65% cancel, 25% insert, 10% fill

Each scenario reports latency percentiles: p50, p99, p99.9, p99.99, min, max.

Deployment Tuning

See docs/tuning.md for OS and hardware-level optimizations: CPU pinning, core isolation, frequency scaling, memory locking, NUMA, etc.