Labels: component: matching-engine, priority: low, language: c++
Description
Extend the existing single-symbol C++ matching engine to support multiple symbols concurrently.
Scope
- Maintain a separate order book per symbol.
- Shared event loop that dispatches incoming orders and market data updates to the correct book.
- Thread-safety considerations: either single-threaded with multiplexing or lock-free per-symbol books.
- Expose the multi-symbol engine to Python via pybind11 so the replay engine and fill simulator can optionally use it.
Rationale
This is lower priority because the Python fill simulator handles mid-frequency backtesting adequately. The multi-symbol matching engine becomes necessary when researching cross-asset strategies or when queue-position-sensitive simulation fidelity is required.
Depends on: Existing single-symbol matching engine.
Labels:
component: matching-engine,priority: low,language: c++Description
Extend the existing single-symbol C++ matching engine to support multiple symbols concurrently.
Scope
Rationale
This is lower priority because the Python fill simulator handles mid-frequency backtesting adequately. The multi-symbol matching engine becomes necessary when researching cross-asset strategies or when queue-position-sensitive simulation fidelity is required.
Depends on: Existing single-symbol matching engine.