Fastest Matching Engine Algorithm
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The World's Fastest Matching Engine Algorithm
arXiv:2606.01183v1 Announce Type: new Abstract: Every electronic exchange relies on an order book whose storage layer determines matching latency. The dominant implementation -- linked lists chained through a balanced tree -- imposes two costs on every operation: pointer-chased traversal to reach the insertion point, and root-to-leaf search to locate the target price level. Under micro-burst conditions these costs produce tail-latency spikes that degrade market quality when liquidity is most...
The World's Fastest Matching Engine Algorithm
arXiv:2606.01183v2 Announce Type: replace Abstract: A single CPU core sustains 32 million order messages per second at sub-microsecond median wire-to-wire latency, up to 11 times faster than the best open-source matching engines on identical hardware. Scaled out, a single 96-core commodity server (~$1,630/month) sustains ~640 million messages per second across 10,000 symbols, over 20 times the provisioned capacity of the U.S. consolidated quote feed. We reach these numbers by attacking the...