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Adding support for 128-bit prices and quantities #33

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mycdev opened this issue May 18, 2022 · 0 comments
Open

Adding support for 128-bit prices and quantities #33

mycdev opened this issue May 18, 2022 · 0 comments

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@mycdev
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mycdev commented May 18, 2022

Hi, I am interested in using CppTrader for a crypto exchange that I am building. Current price and quantity types, uint64_t, is largely sufficient. But for additional safety, I would like to enable __uint128_t. I modified your CppTrader to support this. The slowdown is marginal. Would you be interested in taking a look at my changes? Or you would add the support yourself? Or it's not a priority for you? The work is quite straightforward.

The following results were obtained from running
cpptrader-performance-matching_engine on 20190730.BX_ITCH_50.

Using 64-bit prices and quantities.ITCH processing...Done!

Errors: 0

Processing time: 3.853 s
Total ITCH messages: 28734686
ITCH message latency: 134 ns
ITCH message throughput: 7456980 msg/s
Total market updates: 51832310
Market update latency: 74 ns
Market update throughput: 13451079 upd/s
Using 128-bit prices and quantities.ITCH processing...Done!

Errors: 0

Processing time: 4.413 s
Total ITCH messages: 28734686
ITCH message latency: 153 ns
ITCH message throughput: 6510991 msg/s
Total market updates: 51832310
Market update latency: 85 ns
Market update throughput: 11744680 upd/s
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