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04.2026
Ultra-Low-Latency Order Matching Engine
A deterministic C++20 limit order matching engine with FIFO price-time priority, preallocated memory pools, FastAPI gateway, and real-time WebSockets.
C++PythonFastAPIWebSocketsNext.jsTypeScriptDocker
Introduction
An ultra-low latency, deterministic order matching engine implemented in modern C++20, engineered for predictable execution speeds, minimal jitter, and zero dynamic memory allocation in the critical path.
Architectural Highlights
- C++20 Deterministic Core: Implements FIFO price-time priority matching with support for limit orders, market orders, partial fills, and instant cancellations.
- Pre-Allocated Memory Pools: Cuts heap allocation overhead completely during order matching to eliminate garbage collection delays and minimize CPU cache misses.
- Fixed-Point Arithmetic: Utilizes 64-bit integer fixed-point arithmetic for price and quantity calculations to guarantee zero floating-point rounding errors and cross-platform determinism.
- Python Bindings via pybind11: Bridges high-performance C++ execution with an asynchronous FastAPI gateway.
- Real-Time Streaming: Broadcasts trades and Level-2 order-book market depth over low-latency WebSockets.
- Trading Terminal: Responsive Next.js 14 frontend with Zustand state management, order entry widgets, and live depth charts.