MatchCore

A C++17 limit-order-matching engine — the core of a low-latency trading system.

MatchCore powers the matching layer at Vellum Markets, a (fictional) electronic exchange. It maintains a price-time-priority order book per symbol, crosses incoming orders against resting liquidity, enforces pre-trade risk limits, and recycles order memory through an object pool to stay off the heap on the hot path.

Architecture

MatchingEngine          routes orders, applies risk, owns the order pool
  └─ OrderBook (per symbol)   price-time priority, matching, resting book
       └─ PriceLevel          FIFO queue of orders at one price
  └─ RiskManager              pre-trade notional limit checks
  └─ OrderPool                recycles Order objects to avoid heap churn

File	Responsibility
include/order.h	Order, Fill, enums
include/order_book.h / src/order_book.cpp	Book + matching logic
include/matching_engine.h / src/matching_engine.cpp	Top-level engine, threading, stats
include/risk_manager.h	Pre-trade risk checks
include/object_pool.h	Order memory pool
src/main.cpp	Demo
tests/test_matching.cpp	Assertion tests

Build & run

cmake -S . -B build
cmake --build build
./build/matchcore_demo      # demo
ctest --test-dir build      # tests

Requires CMake ≥ 3.16 and a C++17 compiler (g++ / clang++). The dev container sets this up automatically.

Domain notes

• Prices are integer ticks (e.g. cents) — never floating point.
• Price-time priority: best price first; within a price, oldest order first.
• Notional = price × quantity. Risk limits are per symbol.
• The engine is meant to be called concurrently from multiple market-data threads.