3 ms·
A Rust matching engine + OUCH/SoupBinTCP order-entry gateway, built to understand what production exchange connectivity actually looks like under the hood. ITC
by astha-mishra 2mo ago
A Rust matching engine + OUCH/SoupBinTCP order-entry gateway, built to understand what production exchange connectivity actually looks like under the hood.
ITCH 5.0 replay, top-100 symbols: 5.6M book ops/sec single-threaded, p50 100ns (book management, 0 trades). Flat-array levels took cancel at depth-1000 from 78µs to sub-µs vs BTreeMap; BBO is a cached field read. OUCH gateway p50 ~10µs order-to-ack over loopback with software timestamps.
https://github.com/AsthaMishra/matching-engine https://github.com/AsthaMishra/matching-engine
It was super fun to build it. Keeping minimal allocations on hot path and watching every microsecond was quite addictive