Low-Latency Market-Making Engine
Category: Systems / C++
Date: March 2026
About this project
A C++20 event-driven market-making and execution engine: limit order book, order management, a pre-trade risk gate with kill switch, and an exchange simulator, on a fully deterministic single-queue event loop. 28 unit tests, ~109 assertions. Against a random-walk feed the sample run loses money by design, to adverse selection, which is the point: it's the engine and the microstructure that are the work, not a tuned PnL.
Challenges
Designing clean module boundaries (book / OMS / risk / simulator), keeping the event loop deterministic, and modelling fills and latency realistically.
Learnings
Market microstructure, low-latency systems design in C++, and how adverse selection punishes a naive quoting strategy.