Short reference notes on the systems ideas behind my matching engine. Each one is a page I wished existed when I was stuck.
- HFT Matching Engine: Build Log and Lessons: three architectures, 823K to 2.72M orders/sec, and the systems idea behind each jump
- Order Book Design: price storage, order queues, trade reporting and price representation, with the trade-offs
- Cache Locality: why a flat array beats a tree on a hot path
- C++ Systems Programming: zero-cost abstractions, intrusive structures, RAII and the memory model