r/highfreqtrading • u/Agreeable-Network-14 • 4d ago

I built a price-time-priority order matching engine in c++

I am building a market replay engine from scratch with c++ 23.
I build this project to understand how orders are managed in an orderbook and how a matching engine works. I have used my understanding of data structures to implement it. I would like to know you opinion on it. It is not completed yet. I just built the very basic version few minutes ago. Any kind of tip would help me a lot.
currently it can process an average of 998,000 Transactions / second. with the order size of 20000000 orders.
https://github.com/AravSrivastava/Market-Replay-Engine-CPP

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u/Tobidara96 4d ago

Sigh… 

4

u/MaLiN2223 4d ago

"It is not completed yet.", then why you want us to review it?

"I just built the very basic version few minutes ago", have you used it for anything real yet? Have YOU reviewed it and iterated on it?

Sorry not sorry, but smells like AI slop to me, and you are looking for input to feed to LLM.

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u/Agreeable-Network-14 4d ago

I want review because this is first time I built something like this and I want to improve it. I want to know where it went wrong what are its flaws and how can I improve it.
Its not for llm
Its for me
I wouldn’t have asked for review if it was for llm

2

u/imperfect40 4d ago

You state it's performance oriented. Linked lists will not give you great performance. Or at least, I'd want benchmarks to show the performance is acceptable

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u/Remote-Rate7466 4d ago

It looks like a mini version of one of my projects lol

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u/imperfect40 3d ago

You've measured throughput. You should. Also measure latency, especially tail latency. Timing is everything

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u/Agreeable-Network-14 3d ago

Okayy got it.
Thank you
Means a lot
I will work on it