Building a Matching Engine

Discussion in 'Programming' started by clearinghouse, Dec 10, 2012.

  1. Are there any open source projects that have simple matching engines that accept FIX tags? I want to build a simulation engine to accept and respond to simple orders for a fake asset class (let's call it "The Widget").

    I want the matching engine to have two modes, a kind of "pure" mode where it reflects true bids/offers posted. Then I want a fake mode where it'll pretend it fills based on a trade feed.

    Any starting points or special literature? I don't want to reinvent the wheel and performance doesn't have to be super awesome. Just functional. Something in C++ would be great, but any language for a reference implementation would be fine. (Just writing this in case someone links me that weird NASDAQ Foxpro link, although if I get desperate enough I'll even use that. :)
  2. 2rosy