The Problem
The Order Matcher (C#) lacks a high-speed mechanism to export trade events and order book updates to external C++ consumers without socket overhead.
The Solution
Implemented a cross-language "Snap-Exporter":
C++ Bridge: Created a C-API wrapper for Snap v3.0.
C# P/Invoke: Integrated
SnapExporter.cs
into the matching core.
Zero-Copy Streaming: Trade events are now streamed over SHM for sub-microsecond consumption.
Benefit
Allows high-performance C++ strategies to hook directly into the C# matching engine's trade flow with 10x lower latency than TCP.
The Problem
The Order Matcher (C#) lacks a high-speed mechanism to export trade events and order book updates to external C++ consumers without socket overhead.
The Solution
Implemented a cross-language "Snap-Exporter":
C++ Bridge: Created a C-API wrapper for Snap v3.0.
C# P/Invoke: Integrated
SnapExporter.cs
into the matching core.
Zero-Copy Streaming: Trade events are now streamed over SHM for sub-microsecond consumption.
Benefit
Allows high-performance C++ strategies to hook directly into the C# matching engine's trade flow with 10x lower latency than TCP.