jkred369 / tradingengine-ultra-low-latency Goto Github PK

Name: Jack Lu Last Update: 11/14/2020 Email: [email protected] C++ standard: C++17 GitHub full source codes: https://github.com/jacklu2030/TradingEngine-Ultra-Low-Latency

Attempt to Implement Ultra-Low Latency Trading Engine using C++17

Please refer to the "Trading_Order_Book_Architecture_Design_PDF.pdf" for detail architecture design

1. Performances

The number n below is the number of currently active limit prices in the market (it should be fairly small)

A) execute an order with brand new Limit price: O(log(n)) B) execute an order whose limit price currently exists in the order book: O(1) C) update an order: O(1) D). Cancel an order: O(1) E). Perform order book analysis: O(log(n))

2. Please run the project as you specified:

   cat sample_input.txt | ./run.sh

   Docker container of Debian:10 will be created by the command above, then c++ codes are compiled and deployed, and run.

Again, please refer to the "Trading_Order_Book_Architecture_Design_PDF.pdf" for detail architecture design of thread, memory layout, data structure, matching logic, etc.