MATCHING-ENGINE

Key Flow Components:

1. Order Validation Pipeline
   • Basic validation (price, quantity, tick size)
   • Risk checking with position limits
   • Market status validation
2. Time-in-Force Logic
   • FOK: Pre-check availability before execution
   • IOC: Execute immediately, cancel remainder
   • GTC/DAY: Remain in book if partially filled
3. Matching Engine Flow
   • Price-time priority execution
   • Self-trade prevention strategies
   • Position and metrics updates
4. Order Lifecycle Management
   • Modification: Cancel-and-replace pattern
   • Cancellation: Validated removal

Notable Design Patterns:

• Fail-fast validation: Validate before execution
• Atomic operations: Each trade is atomic
• Comprehensive metrics: Track all operations
• Clean error propagation: Properly handled errors

Fast/Slow Path Analysis

1. Order Entry Paths

• Market Order Execution
• Limit Order Processing

2. Validation Paths

• Order Validation

3. Matching Engine Core Paths

• Trade Execution
• Self-Trade Prevention

4. Data Access Paths

• Best Price Queries
• Order Lookup

5. Memory Allocation Paths

• Trade Creation

Implementation Roadmap

Phase 1: Foundation

// Core matching engine
✅ Basic order types (Market, Limit)
✅ Price-time priority
✅ Core TIF support (GTC, IOC, FOK)
✅ Basic risk checks
✅ Audit trail

Phase 2: Performance

// Performance optimization
✅ Latency optimization (<50μs)
✅ Throughput optimization (>100K/s)
✅ Memory optimization
✅ Lock-free structures

Phase 3: Advanced Features

// Advanced functionality
✅ Complex order types
✅ Self-trade prevention
✅ Market data distribution
✅ Risk management
✅ Session management

Phase 4: Enterprise

// Enterprise features
✅ Disaster recovery
✅ Monitoring & alerting
✅ Regulatory compliance
✅ External integrations

Key Performance Targets

Metric	Target	Industry Standard
Latency	< 10μs	< 100μs
Throughput	> 1M orders/sec	> 100K orders/sec
Availability	99.99%	99.9%
Recovery Time	< 30 seconds	< 5 minutes
Data Integrity	100%	99.99%