ridulfo / Order-Matching-Engine

400k orders per second at a 2.5 μs (avg.) latency order matching engine in python

Order-Matching-Engine

(work in process)

Single orderbook on one thread:

On average, the engine takes 2.5μs to process an order. This means that the engine can ingest and process 400k orders per second (on 3 GHz Intel Core i7, 16 GB 1600 MHz DDR3) using the pypy interpreter. More benchmarks to come.

Multiple orderbooks, one thread per orderbook:

On average, the engine takes 1.18μs to process an order. This means that the engine can ingest and process 850k orders per second (on 3 GHz Intel Core i7, 16 GB 1600 MHz DDR3) using the pypy interpreter. More benchmarks to come.