An implement of a matching engine in Rust. Implementation of a Limit Order Book only. The Limit OrderBook process the ITCH data at 4.89 Million messages per second as tested on my local device.
cargo buildor
cargo build --release## make sure ITCH binary data and executables are in same dir.
./<executable binary>MacBook Air M2
Parser Metrics:
ITCH Parsing Statistics:
Total Messages: 240017065
Total Time: 8.658 seconds
Rate: 27721741 msg/second
Latency: 36 ns
Metrics:
Total Messages: 240017065
ITCH Latency: 204 ns
Total Time: 49.028 seconds
Rate: 4895546 msg/second
Orderbook State:
Total Add Orders: 117145568
Total Execute Orders: 5722824
Total Cancel Orders: 2787676
Total Delete Orders: 114360997
Nasdaq TotalView-ITCH 5.0
- Protocol Specifications
- ITCH DATA download page: https://emi.nasdaq.com/ITCH/Nasdaq%20ITCH/