Low-Latency C++ Matching Engine
Limit-order book: naïve STL → 14.7M ops/sec via mmap + bitmap O(1)
C++17Memory-mapped I/OLock-freeCache optimization
Production-grade limit-order book with four evolving versions showcasing systems optimization. Eliminated dynamic allocation via intrusive linked lists and lock-free object pools. Replaced linear O(n) best-bid/ask with O(1) bitmap lookups using __builtin_clzll. Memory-mapped file ingestion reduced data load from seconds to microseconds.
- › 74× speedup from V1 naïve → V4 optimised
- › ~5.3ns internal latency per order processed
- › O(1) bid/ask via __builtin_clzll bitmap lookup
- › mmap ingestion: 5.8s → 78ms for 1.15M orders