OrderForge

• OrderForge is a high-performance C++ order matching engine, designed with speed and simplicity in mind.
• OrderForge is free to use for educational, non-commercial, and certain small business purposes, as defined by the Polyform Small Business License.

Benchmark Results

The engine can insert/remove/match up to:

• Logging Enabled: 2.4 million orders/second.
• Logging Disabled: 2.7 million orders/second.

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Highlights

Hashed Linked List

• Hashed linked list is an efficient data structure for an exchange matching engine.
• Operations:
  • push_back(insert order): O(1)
  • remove(cancel order): O(1)
• This structure combines the simplicity of linked list iteration with the efficiency of O(1) lookup, mapped by OrderId.
• Hashed Linked List nodes use a custom pool allocator to avoid costly allocations

Logging

• The specialized logging system offloads formatting and logging to another thread.
• The main engine thread only needs to copy around 100 bytes for each order log.
• This setup significantly speeds up the process compared to formatting and logging in the main thread.

Matching Engine

• The Matching Engine is integral to the order matching process. It receives a crossing order and matches it against passive orders.
• Tracked Data:
  • Crossing order
  • Matched passive orders
  • Trades generated
  • Quantity filled

Scaled Int

• Scaled Int ensures precise handling of small floating-point numbers by scaling up doubles at the point of construction. These scaled values are used consistently throughout the engine, maintaining accuracy in computations.

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Getting Started

1. demo_run.cpp, where the demo application provides a clear overview of the interface.
2. order_forge/order_book.h for insights into the core functionality.
3. order_forge/matching_engine.h to understand the order matching logic.
4. order_forge/book_level.h to examine the Hashed Linked List, the backbone behind many of the engine's operations.

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Running the Demo App

Getting the demo app running is straightforward:

// required packages
apt install cmake git build-essential protobuf-compiler

git clone https://github.com/hamish-mackie/OrderForgeMatchingEngine.git
cd OrderForgeMatchingEngine
mkdir build-release && cd build-release
cmake -DCMAKE_BUILD_TYPE=Release ..
make
./applications/order_forge_matching_engine_demo/app_demo_run

Cmake

include(FetchContent)

FetchContent_Declare(
        order_forge
        GIT_REPOSITORY https://github.com/hamish-mackie/OrderForgeMatchingEngine.git
        GIT_TAG main  # Replace with a specific tag or branch if needed
)

FetchContent_MakeAvailable(order_forge)

License

https://polyformproject.org/licenses/small-business/1.0.0