Exchange OrderBook
Project, 2024
Overview
High-frequency trading system and orderbook implementation following Chicago Mercantile Exchange standards for professional-grade trading.
Tools
- C++
- Redis
- PostgreSQL
- WebSocket
- FIX Protocol
Description
A complete trading system with orderbook implementation that follows Chicago Mercantile Exchange (CME) specifications.
Built to understand the low-level mechanics of how professional trading systems work, including order matching, price discovery, and market data distribution.
Features multiple order types, price-time priority matching, and real-time market data feeds capable of handling institutional trading volumes.
Features
CME Standards
Implements Chicago Mercantile Exchange order matching rules and protocols.
Multiple Order Types
Support for market, limit, stop-loss, iceberg, and other professional order types.
High Performance
Sub-microsecond order matching with optimized data structures and algorithms.
Real-time Feeds
Live market data distribution with tick-by-tick price and volume information.
Risk Management
Built-in position limits, margin requirements, and risk controls.
Results & Impact
Performance Metrics
- 50,000+ orders per second processing capability
- Sub-100 microsecond order matching latency
- 99.99% uptime in stress testing scenarios
- Professional-grade risk management systems
Professional Grade
Built to CME standards with institutional-level performance and reliability