Limit Order Books and Exchange Matching Engines: Price-Time vs Pro-Rata Priority, ITCH/OUCH Protocols, Co-Location, FPGA Tick-to-Trade, and Flash Crashes

Deep End Era. Engineering with Sankalp · Oct 29, 2026 · 1h 18m

Every time you buy a share of stock or hedge an interest-rate future, your order enters a deterministic state machine operating in tens of nanoseconds inside a biometric data center in New Jersey or Illinois. In the opening episode of Series Seven, we open up the C++ and Verilog internals of the Exchange Matching Engine and the Limit Order Book: O(1) price-level arrays and doubly-linked queues, Price-Time FIFO versus Pro-Rata matching, NASDAQ ITCH 5.0 and OUCH binary wire protocols, equal-length optical fiber co-location, FPGA cut-through tick-to-trade pipelines, and the minute-by-minute…