Exchange | Matching Engine

The exchange_matching module contains the fundamental "brain" of the exchange: the matching arithmetic and the orderbook data structures.

Overview

This module is designed for pure, deterministic execution. It has no knowledge of networking, threading, or database I/O. Given a new order, it either rests it in the book or matches it against existing liquidity to produce execution reports.

Key Responsibilities

• Maintain a strictly sorted Price-Time Priority orderbook (LOB).
• Implement the core match algorithm.
• Provide efficient O(1) or O(log N) price level lookups.
• Support Limit, Market, and IOC (Immediate or Cancel) order types.

Architecture

graph LR
    subgraph "exchange_matching"
        OB[OrderBook] -->|contains| BIDS(Bids Map)
        OB -->|contains| ASKS(Asks Map)
        MATCHER[Matcher] -->|mutates| OB
    end
 
    CMD(Partition Command) --> MATCHER
    MATCHER -->|generates| FILL(Execution Event)

Class Diagram

classDiagram
    class OrderBook {
        +add(Order*)
        +remove(Order*)
        +getBestBid() : double
        +getBestAsk() : double
        -m_bids: map~double, list~Order*~~
        -m_asks: map~double, list~Order*~~
    }
 
    class Matcher {
        +match(Order* incoming) : vector~Trade~
        -processMarketOrder(Order*)
        -processLimitOrder(Order*)
    }
 
    Matcher --> OrderBook : Operates On

Component Responsibilities

Component	Description
**OrderBook**	A highly optimized container segmenting limit orders by price and arrival time.
**Matcher**	The logic block that iterates through the opposite side of the book until the incoming order is filled or the price crosses.

Critical Design Conventions

• Purity: No mutex usage or blocking calls. All synchronization is handled at the routing level before calls enter the matching logic.
• Zero Allocations: During the match loop, existing order pointers are moved; no new heap objects are created for resting orders.