Order Matching Engine

A high-performance order matching engine built in Rust that processes buy and sell orders with real-time OHLC (Open, High, Low, Close) tracking.

Features

• Real-time Order Matching: Processes buy and sell orders with price-time priority
• OHLC Tracking: Maintains Open, High, Low, Close price data with timestamps
• Interactive CLI: Command-line interface for entering orders
• Efficient Data Structures: Uses binary heaps and indexed maps for optimal performance
• UUID Order Tracking: Each order is uniquely identified with UUIDs
• Comprehensive Order Book Display: Shows current state of buy and sell orders

Architecture

The project is structured into several key modules:

• engine/order_book.rs: Core order matching logic with OrderBook struct
• engine/types.rs: Data structures including Order and Side enums
• engine/ohlc.rs: OHLC price tracking with OhlcTracker
• utils/input.rs: CLI input handling for order entry

Technical Implementation

Order Book Structure

The OrderBook uses:

• IndexMap: For price-level order queues with insertion order preservation
• BinaryHeap: For efficient price priority management
• VecDeque: For FIFO order processing within price levels

Float Handling

The OrderedF64 wrapper enables floating-point prices to be used as hash keys and in binary heaps by implementing Ord, Hash, and Eq traits.

Matching Algorithm

1. Price-Time Priority: Orders are matched based on best price first, then by arrival time
2. Partial Fills: Orders can be partially filled across multiple matches
3. Quantity Management: Automatic quantity updates and order removal when fully filled

Installation

Prerequisites

• Rust 1.86.0 or later
• Cargo package manager

Dependencies

[dependencies]
chrono = "0.4.41"      # Date/time handling
indexmap = "2.9.0"     # Ordered hash maps
uuid = "1.16.0"        # UUID generation

Setup

1. Clone the repository:

git clone <repository-url>
cd order-matching-engine

2. Build the project:

cargo build

3. Run the application:

cargo run

Usage

Command Line Interface

The engine accepts orders through a simple CLI format:

>> buy 100.50 10
>> sell 101.00 5
>> buy 100.75 15

Format: <side> <price> <quantity>

• Side: buy or sell
• Price: Decimal number (e.g., 100.50)
• Quantity: Integer number of shares/units

Example Session

Enter orders (buy/sell price qty):
>> buy 100.00 10
Order Book:
SELL:
BUY:
100.00 qty:10 id:a1b2c3d4-e5f6-7890-abcd-ef1234567890
--------------------------

>> sell 99.50 5
Trade executed: 100.00 @ a1b2c3d4-e5f6-7890-abcd-ef1234567890 (qty: 5)
OHLC [2025-07-07T10:30:45.123Z] => O: 100.00, H: 100.00, L: 100.00, C: 100.00
Order Book:
SELL:
BUY:
100.00 qty:5 id:a1b2c3d4-e5f6-7890-abcd-ef1234567890
--------------------------

Key Components

Order Structure

pub struct Order {
    pub id: Uuid,           // Unique identifier
    pub side: Side,         // Buy or Sell
    pub price: f64,         // Order price
    pub qty: u32,           // Quantity
    pub timestamp: i64,     // Creation timestamp
}

OHLC Tracking

The OhlcTracker maintains:

• Open: First trade price
• High: Highest trade price
• Low: Lowest trade price
• Close: Most recent trade price
• Timestamp: Last trade timestamp

Matching Logic

1. Buy Orders: Match against sell orders with price ≤ buy price
2. Sell Orders: Match against buy orders with price ≥ sell price
3. Price Priority: Best prices are matched first
4. Time Priority: Earlier orders at same price are matched first

Performance Characteristics

• Order Insertion: O(log n) where n is number of price levels
• Order Matching: O(log n) for price lookup, O(1) for quantity matching
• Memory Usage: Efficient with minimal allocations during matching
• Scalability: Handles thousands of orders with sub-millisecond latency

Development

Running Tests

cargo test

Building for Release

cargo build --release

Code Structure

src/
├── main.rs              # Application entry point
├── engine/
│   ├── mod.rs          # Engine module declarations
│   ├── order_book.rs   # Core matching engine
│   ├── types.rs        # Data structures
│   └── ohlc.rs         # OHLC tracking
└── utils/
    ├── mod.rs          # Utility module declarations
    └── input.rs        # CLI input handling

Future Enhancements

• WebSocket API for real-time order streaming
• Persistence layer for order history
• Market data export functionality
• Performance benchmarking suite
• Multi-symbol support
• Advanced order types (stop-loss, iceberg orders)

License

This project is open source and available under the MIT License.

Contributing

Contributions are welcome! Please feel free to submit pull requests or open issues for bugs and feature requests.