Price Matching Engine

A high-performance price matching engine for Solana-based trading applications. It listens to on-chain events to a program, maintains an in-memory order book, and provides an API for querying the current state.

Features

• Real-Time Event Processing: Listens to Solana on-chain events via WebSocket and processes them in real-time.
• In-Memory Order Book: Maintains a high-performance, in-memory order book.
• Order Management: Handles order creation, cancellation, updates, and fills.
• HTTP API: Exposes an HTTP server to query the order book and system state.
• Database Integration: Persists event history to a PostgreSQL database.

Installation

1. Clone the repository:

   git clone https://github.com/thris/matching-engine.git
   cd matching-engine

Project Structure

The project is organized into several modules:

• api.rs: Handles API requests.
• engine.rs: The core matching engine logic.
• events.rs: Event definitions and handling.
• lib.rs: Crate root and utility functions.
• main.rs: The main application entry point.
• order.rs: Order-related data structures and logic.
• price.rs: Price calculation and related functions.
• processor.rs: Event processing and dispatching.
• server.rs: The HTTP server implementation.
• state.rs: Manages the application's state.
• types.rs: Common data types used throughout the application.

Key Dependencies

• tokio: Asynchronous runtime for Rust.
• axum: Web application framework.
• serde: Framework for serializing and deserializing Rust data structures.
• solana-client: Solana RPC client.
• sqlx: Asynchronous SQL toolkit for Rust.
• tracing: A framework for instrumenting Rust programs to collect structured, event-based diagnostic information.