High-Frequency Trading Intermediate

Lesson Promise

By the end of this lesson, you will understand how exchange matching engines pair orders using price-time priority, how market data feeds broadcast updates in binary protocols, and how feed handlers parse data at line rate.

Narration Draft

"An exchange's matching engine is a data structure — typically a sorted map of price levels, each with a FIFO queue of orders. When a market order arrives, it sweeps through price levels. The engineering challenge is doing this in under a microsecond per message. Market data feeds broadcast every book change using compact binary protocols like ITCH and OUCH, and feed handlers must parse every byte as fast as it arrives."

Visual Sequence

1. Scene 1 — Order book sweep: market order consuming multiple price levels
2. Scene 2 — Matching engine architecture: lock-free queues, memory pools, skip lists
3. Scene 3 — ITCH message format: binary protocol walkthrough
4. Scene 4 — Total latency breakdown from order entry to confirmation

Companion Material

• Article: The Matching Engine
• Article: Market Data Feeds
• Trace: Trace a Market Order
• Diagram: Order Book State
• Practice: Match Orders from a Feed
• Learning Path: HFT Intermediate