ker

Order Matching Engine

A high-performance order matching engine for financial exchanges, built with Go 1.21 as a study project.

Features

• Order Matching: SkipList-based matching for efficient price-level ordering
• Order Types: GTC, IOC, FOK, and POC (Post-Only/Pending-Or-Cancelled)
• Concurrency: Simultaneous order processing with goroutines and channels
• Order Cancellation: Full support for order revocation
• Snapshots: Order book state capture for recovery and analysis
• WAL: Write-Ahead Logging for data integrity and fast recovery
• Redo Processing: Error correction through redo log replay

Quick Start

// Create orders (negative Amount represents ask orders)
bidOrder := &types.KernelOrder{
    Amount: 100,
    Price:  200,
    Left:   100,
}
askOrder := &types.KernelOrder{
    Amount: -100,
    Price:  201,
    Left:   -100,
}

// Initialize acceptor
acceptor := initAcceptor(1, "test")
go acceptor.orderAcceptor()
acceptor.kernel.startDummyMatchedInfoChan()

// Submit orders
go func() {
    acceptor.newOrderChan <- bidOrder
    acceptor.newOrderChan <- askOrder
}()

See kernel_test.go for complete usage examples.

Architecture

Core Components

Data Structures

SkipList: Maintains order books sorted by price for efficient matching

priceBucket:

• l: List of orders at this price level
• Left: Total remaining amount

KernelOrder: 72-byte order struct with fixed-size fields for binary serialization

Channels

• matchedInfoChan: Matched order notifications
• errorInfoChan: Error reporting
• newOrderChan: Incoming orders
• orderReceivedChan: Order receipt confirmations

Testing

go test -v ./...
GOMAXPROCS=1 go test -bench=. -run=none -benchtime=1s -benchmem
./cover.sh  # HTML coverage report

TODO

• Monitoring integration
• Kernel data visualization

License

MIT License