Low Latency Order Book

A C++ project implementing a low-latency order book. Inspiration from the CPPCon 2024 talk 'When Nanoseconds Matter' by David Gross

Structure

• include/orderbook/: Public header files.
• src/: Source files.
• tests/: Unit tests.
• build/: Build directory.

Build

mkdir build
cd build
cmake ..
cmake --build . --config Release

Results

Note on Normalization:

• x64 (Ryzen 8945HS): Measured in CPU cycles. Converted using estimated ~5.0 GHz (Divide by 5).
• ARM (Apple M2): Measured in 24 MHz timer ticks. Converted using 41.67 ns per tick (Multiply by 41.67).

x64 (Ryzen 8945HS)

Metric	Map (Cycles)	Map (ns)	Vector (Cycles)	Vector (ns)
p50	560	112	600	120
p90	1800	360	2000	400
p99	3440	688	3520	704
p99.9	5440	1088	5640	1128

ARM (Apple M2)

Metric	Map (Ticks)	Map (ns)	Vector (Ticks)	Vector (ns)
p50	42	1,750	42	1,750
p90	84	3,500	125	5,209
p99	167	6,959	375	15,626
p99.9	1167	48,629	625	26,044