Struct MatchingEngine

pub struct MatchingEngine<const N: usize = 8> { /* private fields */ }

L2 Matching Engine with const generic order queue sizing

Type Parameters

• N: Maximum number of orders per price level (default: 8) Optimized for typical HFT scenarios with multiple orders at each price level

Implementations

impl<const N: usize> MatchingEngine<N>

pub fn new( book: Arc<OrderBook>, queue_model: QueueModel, allow_partial_fills: bool, _self_trade_prevention: bool, ) -> Self

Create a new L2 matching engine

pub fn with_conservative_params( book: Arc<OrderBook>, queue_model: QueueModel, allow_partial_fills: bool, _self_trade_prevention: bool, market_impact: MarketImpact, conservative_params: ConservativeParams, ) -> Self

Create with custom conservative parameters

pub fn submit_order(&self, order: Order) -> SmallExecutionVec<Execution>

Submit a new order

pub fn cancel_order(&self, order_id: u64) -> bool

Cancel an order

pub fn process_trade( &self, side: OrderSide, price: Decimal, quantity: Decimal, timestamp_ns: u64, ) -> SmallExecutionVec<Execution>

Process a trade event and check for fills

pub fn get_orders_at_level( &self, side: OrderSide, price: Decimal, ) -> SmallVec<[Order; N]>

Get active orders at a price level

pub fn clear(&self)

Clear all orders