Liquibook is a blazing fast C++, open source, limit order book matching engine which provides low-level components for order matching and aggregate depth tracking. Liquibook is a framework which supports the implementation of a simple order book - the part of a matching engine focused on a single trading instrument. It works with your design choices, and works with any protocol. Liquibook achieves a high-level of memory efficiency by performing minimal copying of data to internal structures. It supports rapid inserts - between 2 and 2.5 million inserts per second.
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