Building the C++ Matching Engine

We spent the last chapter discussing the design of the electronic trading ecosystem we will build in this book. The first component we will start with is the matching engine at the exchange. In this chapter, we will focus on the task of building the order book of the exchange matching engine, based on orders that clients enter. We will implement the various data structures and algorithms needed to track these orders, perform matching when orders cross each other, and update the order book. Crossing means when a buy order has a price equal to or greater than a sell order and then can execute against each other, but we will discuss this in greater detail in this chapter. We will focus on achieving the lowest latencies possible in these operations, since the exchanges with the best infrastructure are likely to do the most business and be preferred by participants. For now, we will not worry about the details of the market data publisher and order gateway...