I see a comment about ITCH in there... Are you modeling your interface after NASDAQ's ITCH/OUCH interfaces? If so, I think it would be interesting to look at the protocol specifications for all of the other major US equity exchanges. I think they are all freely-downloadable.
I was using ITCH data to try to test the matching algorithm. However, I found that the number of hidden trades made it fairly poor for validation, which was what I was most interested in.
I _was_ using the ITCH format for messages and switched away from it. I may revisit that decision in the future.
I agree that it would be really interesting to look at the messaging protocols of real exchanges, and I have made a quick stab at it. But I am focused on getting something very simple working right now.
If you wanted to play around with ITCH files the executable generated in the itch directory will run any ITCH file through the matching engine sort of like a debugger, allowing you to step forwards and backwards in time and see how the internal state of the matching engine changes.
