TradeExchangeActorExample

Low-Latency Limit Order Book & Trade Matching Engine Prototype in C# / Akka.NET

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Overview

TradeExchangeActorExample is a reference architecture and performance prototype for an actor-based financial limit order book and order matching engine written in C# and Akka.NET.

It models high-concurrency order intake, price-time priority matching, and atomic user balance management using isolated actor state rather than shared-memory locks.

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Architectural Highlights

• Lock-Free Actor Concurrency:
  • OrderBookActor — Maintains bid/ask queues per trading pair (Symbol) and executes deterministic price-time matching.
  • BuyOrderActor / SellOrderActor (OrderActor) — Encapsulates individual order lifecycle, partial fills, and settlement notifications.
  • UserBalance — Tracks multi-currency account balances and reservation invariants.
• Rich Financial Domain Primitives:
  • Strongly-typed Money, Currency, Symbol, BuyOrder, and SellOrder domain value objects preventing cross-currency arithmetic errors (CurrencyMismatchException).
• Deterministic Throughput & Stress Benchmarking:
  • TradeExchange.Tests.Stress (OrderMatchBench.cs) — Throughput and allocation benchmarks powered by NBench to measure order matching latency under load.
  • TradeExchangeTests — Unit and actor-system integration tests (OrderProcessingTests, BalanceTests, Market).

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Project Structure

TradeExchangeActorExample/
├── TradeExchangeDomain/          # Core domain primitives (Money, Currency, Symbol, Orders) & Actors
│   ├── Actors/                   # OrderBookActor, BuyOrderActor, SellOrderActor, UserBalance
│   └── Orders/                   # Order, BuyOrder, SellOrder domain models
├── TradeExchangeTests/           # Functional & ActorSystem verification tests
├── TradeExchange.Tests.Stress/   # NBench high-throughput order matching benchmarks
└── TradeExchangeStressTests/     # Stress test runner

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Author

Andrey Leskov — CTO & Principal Systems Architect (illumi.one · LinkedIn).