LP-007: CLOB Matching Engine

Abstract

The Lux CLOB is a high-performance central limit order book matching engine that operates as an SEC-registered Alternative Trading System. It supports equities, options, futures, and digital assets with sub-microsecond matching latency.

Implementations

Architecture

┌──────────────┐     ┌──────────────┐     ┌──────────────┐
│  FIX Gateway │     │  REST/WS API │     │  NATS Cluster │
│  (port 9878) │     │  (port 8085) │     │  (multi-node) │
└──────┬───────┘     └──────┬───────┘     └──────┬───────┘
       │                    │                    │
       └────────────┬───────┘────────────────────┘
                    │
              ┌─────┴─────┐
              │  Matching  │
              │  Engine    │
              │            │
              │ Order Book │
              │ Price-Time │
              │ Priority   │
              └─────┬──────┘
                    │
         ┌──────────┼──────────┐
         │          │          │
    ┌────┴───┐ ┌────┴───┐ ┌───┴────┐
    │ Market │ │ Trade  │ │ Risk   │
    │ Data   │ │ Report │ │ Engine │
    └────────┘ └────────┘ └────────┘

Order Types

• Limit, Market, Stop, Stop-Limit
• IOC (Immediate or Cancel), FOK (Fill or Kill), GTC (Good til Cancel)
• Iceberg (hidden quantity), Pegged (dynamic price)

FIX Protocol

The engine accepts orders via FIX 4.4 over TCP or ZeroMQ:

• NewOrderSingle (D), OrderCancelRequest (F), OrderCancelReplaceRequest (G)
• ExecutionReport (8), OrderCancelReject (9)
• MarketDataRequest (V), MarketDataSnapshotFullRefresh (W)

Multi-Node Consensus

For distributed deployments, the engine uses NATS JetStream for order replication across nodes. Leader election via Raft ensures exactly-once execution.

Price Feeds

Aggregated from multiple sources:

• CoinGecko, CoinMarketCap (crypto)
• Alpaca, IBKR (equities)
• CurrencyCloud (FX)
• On-chain DEX oracles (LP-9040)

References

Lux Research Papers

• lux-lightspeed-dex — Core matching engine design and benchmarks
• lux-perpetuals-derivatives — Perpetual futures matching
• lux-evm-precompiles — LP-9020 on-chain CLOB precompile
• lux-oracle-infrastructure — Price feed integration
• lux-data-availability — Market data availability layer
• lux-defi-hft-formal-verification — Formal verification of HFT protocols

External Standards

• FIX 4.4: Financial Information eXchange Protocol
• CME SPAN: Standard Portfolio Analysis of Risk
• ITCH 5.0: NASDAQ market data protocol