Limit Order Book & Matching Engine
Price-time priority limit order book with deterministic matching for market and limit orders, partial fills, and constant-time order lookup by ID.
- ▸O(log P) price-level updates and O(1) cancel via hash index + intrusive linked lists.
- ▸Benchmarked 1,000,000 synthetic events — 102,056 events/sec; p50 5.29 μs, p95 13.18 μs, p99 20.33 μs (Python).
- ▸Modular architecture separating order book state, matching logic, and benchmark harness.
102K evt/s
Throughput
5.29 μs
Latency p50
20.33 μs
Latency p99