Matching Engine

A high-performance, low-latency order matching engine written in Java.

Prerequisites

• Java 25 or later
• Maven 3.6+

Features

• Order Management: Add, match, and cancel orders for multiple financial instruments
• Real-time Matching: Efficient price-time priority matching algorithm
• Event Publishing: Publishes trade and order events to downstream consumers

Architecture

The matching engine is built using modern Java technologies optimised for low latency:

• Agrona: High-performance data structures and utilities
• Simple Binary Encoding (SBE): Efficient binary encoding for request messages
• LMAX Disruptor: High-throughput inter-thread messaging library for event processing. Each instance is written to by a single thread, which mitigates the need for more expensive CAS operations by the internal sequencer

Core Components

• MatchingEngine: Main engine managing multiple order books
• OrderBook: Individual order book implementation with price levels
• OrderPool: Memory pool for order objects to eliminate allocations on the hot path. This is critical for avoiding garbage collection pauses
• Event publishers for trade and order updates