Built with Rust for Blazing-Fast Performance

License: MIT Rust Build Status

The Lighting Match Engine Core is a minimal, lighting-fast matching engine designed for a single purpose: matching orders with extreme speed and reliability.

It's a focused, no-frills engine that you can build upon. Each instance serves a single product, making it highly efficient and scalable.

• ⚡️ Blazing Fast: Written in Rust, it's designed for performance. We're talking nanosecond-level precision.
• 💪 Reliable: With minimal dependencies (only Tokio for networking), the engine is incredibly stable.
• 💡 Simple & Focused: It does one thing and does it well: matching. No unnecessary features, no bloat.
• 🌐 Universal: Use it for a wide range of products:
  • Stocks & Cryptocurrencies
  • Futures & Options
  • Forex & Commodities
  • NFTs & Real Estate
  • ...and much more!

• Order Types: Market and Limit orders.
• Matching Policies: Price-first, time-first.
• High Precision: Time is measured in nanoseconds.
• Lean & Mean: 50-byte package size for efficient network communication.
• In-Memory Processing: All operations happen in memory for maximum speed.
• UDP Multicast: Orders are received via UDP multicast for low-latency communication.

Get up and running in minutes!

1. Start the Engine:

   cargo run -- --prodid 7 --tag FIX009 --test-order-book-size 10k

   This command starts an engine instance for product 7 with the tag FIX009 and a test order book of 10,000 buy and sell orders.

2. Submit an Order:

   Clone our command-line tool and submit an order:

   git clone https://github.com/philipgreat/match-engine-cmd-tool
   cd match-engine-cmd-tool
   cargo run -- submit --order-type=sell --product-id=7 --price=1 --quantity=1 --price-type=limit

3. See the Magic:

You'll see a match result like this:

test screen shot

That's an internal match time(core-matching latency) of just 3346 nanoseconds with 1M asks and bids respectively!

The engine follows a simple, robust workflow:

1. Rebuild Order Book: The order book is rebuilt from an order book fuel server (not included in this project).
2. Receive Orders: The engine listens for incoming order requests via UDP.
3. Match Orders: The core matching logic is executed.
4. Broadcast Results: Matching results are broadcast to the network.

This engine is the core of a trading system. You'll need to build the surrounding systems to create a complete solution.

In Scope:

• A simple, robust, and fast matching engine.

Out of Scope:

• Product Management System
• Market Data System
• Order Management System (OMS)
• Risk Management System
• ...and other external systems.

We welcome contributions from the community! Whether you want to fix a bug, add a feature, or improve the documentation, we'd love to have your help.

This project is licensed under the MIT License.

Have questions or want to get involved?

• Telegram: https://t.me/philip_is_online