CEX Matching Engine

Overview

A centralized exchange matching engine built from scratch: a Rust core with one engine thread per trading pair, streaming fills through Redis pub/sub to a TypeScript/Bun WebSocket layer. Load-tested at ~5,000 orders/sec with zero errors.

How it works

1. 01

   BTreeMap orderbook per pair (BTC/USDT, ETH/USDT, SOL/USDT) with FIFO price-time priority and partial fills.

2. 02

   Prices stored as fixed-point integers (×10⁸) to avoid floating-point rounding.

3. 03

   One engine thread per trading pair, fed through its own mpsc channel.

4. 04

   Redis pub/sub carries fills and book updates to a TypeScript/Bun WebSocket layer for client fan-out.

5. 05

   PostgreSQL ledger for persisted orders and balances.

How it evolved

1. In-memory TypeScript prototype with Express and bcrypt.
2. Rust/Actix-web prototype with JWT auth, REST registration, USD and multi-asset deposits, and balance queries, using worker threads with mpsc and oneshot channels.
3. Current architecture: per-pair Rust engine threads, Redis pub/sub, and Bun WebSocket fan-out.