Systems
Low-Latency Order Book
A C++20 matching engine with strict price-time priority, a dense tick-ladder book with O(1) best-quote lookup through a hierarchical bitmap, and allocation-free hot paths on core-pinned engine threads.
Matches orders under strict price-time priority on a dense tick-ladder book, with a three-to-four-tier hierarchical bitmap for O(1) best-bid and best-ask lookup and constant-time GTC, IOC, and fill-or-kill handling.
Removes allocation from the hot path with a slab arena over cache-aligned storage and Boost intrusive-list FIFOs at each price level, plus optional Linux 2 MiB huge-page backing and first-touch NUMA binding for low-jitter steady state.
Shards by symbol across engine threads pinned to isolated cores behind Vyukov-style bounded SPSC rings, parses FIX 4.4 with a zero-copy tag-value parser over std::string_view spans, and replays from any prefix to reproduce engine state bit-exactly.
Records each submit into an RDTSC HDR histogram, holding a 10 nanosecond median, 30 nanosecond p99, and 50 nanosecond p99.9 on a warm book under a CI latency gate, and checks output against a std::map reference engine by differential and property tests.