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AlignmentSystems / MatchingEngine

A toy implementation of a matching engine. Don't use this in the real world, it's a toy!
MIT License
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Cancel-on-disconnect #2

Closed JohnGreenan closed 9 months ago

JohnGreenan commented 10 months ago

This is something a proper matching engine must have. The challenge is to implement the logic at a scale that fits the use-case – consider the logic in an institutional equity exchange versus an institutional options exchange. The throughput requirement is quite different in each case. Do you “spoof” incoming FIX cancel messages or iterate through an orderbook in-memory and remove affected messages?

JohnGreenan commented 9 months ago

Linked to kill-switch. Connection drops, so fire the kill switch for the connection.

Same comment about collection of orders from a counterparty. Collection of OrderIds rather than the actual order.

Implement a mass-cancel interface?

JohnGreenan commented 9 months ago

Implemented in https://github.com/AlignmentSystems/MatchingEngine/pull/38 #38