A series of stress tests were performed to assess the overall performance of the matching engine package.
The testing methodology is geared to establish realistic performance metrics that represent typical everyday use, and avoids any attempt to optimize order flow. It should also be noted that the monitoring processes which track these tests will result in a small reduction in overall performance.
For the purpose of this article we can consider the matching engine package to be composed of two key components:
- An order book
- A matching process
The orderbook contains an ordered list of all open orders. New orders are inserted into the orderbook at the correct price and time priority location to ensure that the list stays ordered. With each new order insertion, the matching process identifies whether any of the open orders can be matched, and then if necessary processes matches and updates the orderbook.Read more