Low-Latency Matching Engine

A lightweight, high-performance matching engine built in Go with REST APIs using Echo.
Supports basic limit and market order matching with an in-memory order book.

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Features

• REST API built with Echo
• Limit and Market order support
• In-memory order book using heap-based priority queues
• Real-time trade execution
• Clean modular design (API, Algo, Types packages)
• Ready for WebSocket integration

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Project Structure

├── engine
│   ├── handlers
│   │   └── validateInput.go
│   ├── matchingAlgorithm.go
│   ├── orchestrator.go
│   └── submitOrderEntry.go
├── go.mod
├── go.sum
├── loadtest
│   ├── cancel_order.lua
│   ├── get_orderbook.lua
│   ├── get_status.lua
│   └── post_order.lua
├── main.go
├── Matching_Engine_Documentation.md
├── metrics
│   └── metrics.go
├── README.md
├── routes
│   ├── api
│   │   ├── get_orderbook.go
│   │   ├── order_cancel.go
│   │   ├── order.go
│   │   └── order_status.go
│   ├── health.go
│   └── metrics.go
├── run_bench.sh
└── types
    ├── heap.go
    ├── order.go
    ├── registry.go
    └── response.go

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Setup

1. Clone the Repository

git clone https://github.com/baync180705/low-latency-matching-engine.git
cd low-latency-matching-engine

2. Install Dependencies

go mod tidy

3. Run the Server

go run main.go

Server runs by default on http://localhost:8080

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Load Testing

Load Testing using wrk is supported

Test the Server

Make the shell script executable

chmod +x run_bench.sh

Run the script

./run_bench.sh

Benchmarks Obtained

Below are the benchmark results obtained from one of the test runs:

Metric	Value
Orders Received	391,896
Orders Matched	503,497
Orders Cancelled	74,380
Orders In Book	75
Trades Executed	316,321
Latency P50 (ms)	0.003
Latency P99 (ms)	0.073
Latency P99.9 (ms)	0.595315
Throughput (orders/sec)	22,870.64

Future Enhancements

• Metrics API
• WebSocket order/trade stream
• Persistent orderbook using Redis or PostgreSQL
• Amend orders