Matching Engine · price-time priority
Bid—
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How it worksBehind the demo
01
Price-time priority
Orders queue at each price level in the order they arrived. Best price trades first; ties go to whoever got there first. Real exchanges match the same way.
02
O(1) cancels
A hash map points from order id straight to the order's node in the book, so a cancel unlinks it immediately. No scanning.
03
Partial fills
A big order eats through the opposing side level by level. Anything left over rests in the book as the new best quote.
Order Book click to fill the ticket
Spread
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Last —
New Order
Trade Tape
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Order Flow Simulator
Generates resting limits, aggressive markets, and cancels around the mid so the book stays alive. Everything you see is the engine matching in real time.
Design · ordered price levels + FIFO queues + id→order map · O(1) best quote, O(1) cancel, O(log P) to find a price level. Levels live in a sorted array here, so opening or closing one also shifts it; the Python and C++ engines use an ordered map.
Trades print at the resting order's price, so price improvement accrues to the aggressor. Client-side port of the Python engine.
Symbol prices are illustrative starting seeds, not a live quote feed. The simulator drives movement from there.
Trades print at the resting order's price, so price improvement accrues to the aggressor. Client-side port of the Python engine.
Symbol prices are illustrative starting seeds, not a live quote feed. The simulator drives movement from there.