Nyquestro is a lock-free, limit-order-book matching engine written in safe Rust.
The goal is to explore ultra-low-latency market-microstructure design by building every layer—from atomic price buckets to real-time market-data fan-out—without resorting to unsafe blocks or OS locks.
- Rust 2024 Edition – starting point; everything else will grow organically
- TBD – no external crates yet
- Type-safe primitives –
OrderId,Side,Px,Qty,Ts - Flat-combining slab allocator – O(1) inserts/removes, epoch GC
- Atomic price buckets – intrusive FIFO lists per price level
- Deterministic matcher loop – price-time sweep with partial-fill handling
- Immutable event frames – zero-allocation structs for quotes & fills in progress
- Engine error enum – recoverable vs fatal classifications in progress
- Config loader – TOML / env with hot-reload signal
- Ergonomic JSON CLI – local smoke tests, example payloads
- FIX 4.2 / 4.4 TCP acceptor – tag=value parser, heartbeat, resend logic
- Binary UDP gateway – little-endian framing, SO_REUSEPORT sharding
- ITCH-Lite multicast publisher – depth 0/1 snapshots & incremental updates
- WebSocket bridge – canned demo UI for workshops
- gRPC control plane – query stats, toggle risk checks
- Limit, Market, IOC, FOK support
- Cancel / Cancel-Replace – atomic modify flow
- Minimum tick-size enforcement
- Self-match prevention – “cancel oldest” / “cancel newest” policies
- Iceberg orders – displayed vs total quantity tracking
- Pegged orders – midpoint / last-sale peg logic
- Cross-asset matching – shard-aware book routing
- SP/MC ring bus – cache-padded cursors, wait-free consumer pop
- NUMA-aware thread pinning – auto topology detect & affinity set
- Prefetch & branch-hint macros –
core::intrinsics::assumehelpers - Batch cancel sweep – vectorised cancels with single CAS per level
- Lock-free free-list – recycled order nodes to avoid allocator churn
- AF_XDP ingress prototype – zero-copy packet RX path (stretch)
- SIMD price comparison – 4-wide compare in sweep inner loop (stretch)
- Fat-finger limits – price & size deviation thresholds per session
- Position & PnL tracker – real-time inventory bounds
- Kill-switch VAR monitor – rolling variance window with circuit breaker
- Order throttles – per-IP / per-session rate caps
- Audit-trail journal – immutable append-only event log (JSON-lines)
- FIX drop-copy stream – outbound mirror for compliance
- Structured tracing spans – microsecond-grained timing
- Latency HDR histogram – max, p99, p99.9 export
- Flamegraph scripts – one-liner
./scripts/profile.sh - Cache-miss counters –
perf statintegration - Hardware timestamp hooks – PTP-enabled NIC tracepoints (stretch)
- Prometheus metrics – gauges for depth, throughput, latency
- Synthetic order-flow replayer – Nasdaq L2 ITCH → engine feed
- Determinism test suite – replay vs golden output hash
- Property-based tests – QuickCheck on price-time ordering
- Fuzz harness – libFuzzer corpus for malformed FIX / UDP frames
- CI matrix – MSRV check, clippy, fmt, criterion micro-bench
- Input sanitisation – rigid frame length & field validation
- Memory-safety audit –
cargo-miri,cargo-tarpaulin - Crash-only design – idempotent recovery on restart
- Graceful shutdown – SIGTERM drains ring bus, flushes journals
- Process isolation guide – systemd unit & seccomp profile
- WebAssembly back-tester – compile core to WASM, browser replay UI
- GPU order-book prototype – CUDA warp-level build experiment
- On-chain DEX adapter – Solana / Ethereum bridge demo
- eBPF uprobe telemetry – near-zero-overhead per-instruction heat maps
- Dynamic WASM risk plug-ins – hot-swap policy engine
- GitHub Actions pipeline – clippy, fmt, benches, docker image
- Dual MIT / Apache-2 licence – invites commercial contribution
- GitHub Discussions & templates – bug, feature, question
- Code-owners & review rules – lock core crates, open gateway crates
- Crates.io publishing –
nyquestro-core,nyquestro-gw,nyquestro-proto - Docker compose demo – engine + WebSocket UI + Grafana dashboard
- Annotated blog series – data-structure deep dives, latency tricks