/matchingEngine

A multi-threaded, high performance market order matching engine.

Apache License 2.0Apache-2.0

MatchingEngine

A multi-threaded, high performance market order matching engine.

Introduction

The computer driven markets for instruments like stocks and exchange traded stock options, have transformed finance and the flow of capital. These markets are enabled by order matching engines (and the infrastructure that supports this software).

Before computer trading networks and matching engines, stocks where traded on cavernous exchange floors and transaction costs where high. When electronic trading fully matured, floor traders were a fading anachronism and transaction costs had been reduced to pennies a share in many cases. Electronic trading could not exist without advanced network infrastructure, but without the software matching engines no shares would change hands.

The computer trading networks, the matching engine software has also created a concentrated nexus of potential failure. Failures in these systems have increased as the frequency and volume on the electronic networks has increased. The position of order matching engines in the trading infrastructure makes these systems of interest not only to computer scientists but also to computational finance and risk management.

Matching engines match buy and sell orders that are submitted to electronic trading networks, like NASDAQ. The electronic trading networks came being as the stock markets were being deregulated, with trading moving to penny increments.

For more details see the Matching Engine Wiki.