orderbook-rs

High-Performance Lock-Free Order Book Engine

A high-performance, thread-safe limit order book implementation written in Rust. This project provides a comprehensive order matching engine designed for low-latency trading systems, with a focus on concurrent access patterns and lock-free data structures.

Key Features

Lock-Free Architecture: Built using atomics and lock-free data structures to minimize contention and maximize throughput in high-frequency trading scenarios.
Multiple Order Types: Support for various order types including standard limit orders, iceberg orders, post-only, fill-or-kill, immediate-or-cancel, good-till-date, trailing stop, pegged, market-to-limit, and reserve orders with custom replenishment logic.
Thread-Safe Price Levels: Each price level can be independently and concurrently modified by multiple threads without blocking.
Advanced Order Matching: Efficient matching algorithm that correctly handles complex order types and partial fills.
Performance Metrics: Built-in statistics tracking for benchmarking and monitoring system performance.
Memory Efficient: Designed to scale to millions of orders with minimal memory overhead.

Design Goals

This order book engine is built with the following design principles:

Correctness: Ensure that all operations maintain the integrity of the order book, even under high concurrency.
Performance: Optimize for low latency and high throughput in both write-heavy and read-heavy workloads.
Scalability: Support for millions of orders and thousands of price levels without degradation.
Flexibility: Easily extendable to support additional order types and matching algorithms.

Use Cases

Trading Systems: Core component for building trading systems and exchanges
Market Simulation: Tool for back-testing trading strategies with realistic market dynamics
Research: Platform for studying market microstructure and order flow
Educational: Reference implementation for understanding modern exchange architecture

Status

This project is currently in active development and is not yet suitable for production use.