https://github.com/amankrx/matching-engine-rs
Building a fast matching engine in Rust for efficient processing of an ITCH order book.
https://github.com/amankrx/matching-engine-rs
itch limit-order-book matching-engine orderbook rust trading
Last synced: 5 months ago
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Building a fast matching engine in Rust for efficient processing of an ITCH order book.
- Host: GitHub
- URL: https://github.com/amankrx/matching-engine-rs
- Owner: amankrx
- License: mit
- Created: 2023-06-07T16:20:30.000Z (over 2 years ago)
- Default Branch: main
- Last Pushed: 2023-10-23T12:04:16.000Z (almost 2 years ago)
- Last Synced: 2024-08-04T04:09:12.266Z (about 1 year ago)
- Topics: itch, limit-order-book, matching-engine, orderbook, rust, trading
- Language: Rust
- Homepage:
- Size: 79.1 KB
- Stars: 23
- Watchers: 2
- Forks: 4
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
- License: LICENSE
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README
# matching-engine-rs
[](LICENSE)
[](https://semver.org/)
[](https://github.com/amankrx/matching-engine-rs)
This is an attempt to implement a matching engine with Rust. Currently, I have created an implementation of a Limit Order Book. The LOB offers fast processing of the ITCH data clocking at 11.3 Million messages per second (or a latency of 88 ns) as tested on my [local machine](#device-specifications). Checkout the [Performance](#performance) section for more information.
## Table of Contents
- [Project Structure](#project-structure)
- [Build, Run, and Test](#build-run-and-test)
- [Device Specifications](#device-specifications)
- [Performance](#performance)
- [ITCH Specifications](#itch-specifications)
- [Contributing](#contributing)
- [Credits](#credits)
- [License](#license)
## Project Structure
These project consists of two libraries:
- **[itch-parser](itch-parser)**: This library is responsible for managing the processing of *NASDAQ ITCH 5.0* protocol data. It parses the useful fields that will be required for the Limit Order Book. The remaining fields are skipped using placeholders. Check out the folder's [README](itch-parser/README.md) for more information.
- **[optimized-lob](optimized-lob)**: This library contains a streamlined and efficient implementation of a Limit Order Book (LOB). It is worth noting that the LOB simply stores a few useful fields that will be required for creating a LOB. It just keeps an aggregate quantities at each level. Check out the folder's [README](optimized-lob/README.md) for more information.
Apart from that, there is a testing suite for both libraries that can be found in the "[tests](tests)" directory.
## Build, Run, and Test
Make sure you have Rust installed. Also, you must download the NASDAQ ITCH 5.0 data whose instructions are available in the [ITCH Specifications](#ITCH-Specifications).
All of these operations are performed in the `tests` directory.
```bash
cd tests
```
### Build
```bash
cargo build
```
or
```bash
cargo build --release
```
### Running the LOB
```bash
ITCH_DATA=PATH_TO_ITCH_DATA_FILE cargo run
```
or
```bash
ITCH_DATA=PATH_TO_ITCH_DATA_FILE cargo run --release
```
### Running the ITCH parser
```bash
ITCH_DATA=PATH_TO_ITCH_DATA_FILE cargo run -- --itch-parser
```
or
```bash
ITCH_DATA=PATH_TO_ITCH_DATA_FILE cargo run --release -- --itch-parser
```
### Testing
```bash
cargo test
```
## Device Specifications
At the time of testing:
```text
Device: MacBook Air M2
CPU architecture: Apple M2
CPU logical cores: 8
CPU physical cores: 8
RAM total: 16 GB
RAM free: 11.5 GB
```
## Performance
### ITCH Processing
```text
ITCH Parser Processing...
Success...
ITCH Parsing Statistics:
Total Messages: 268744780
Total Time: 6.082 seconds
Speed: 44189583 msg/second
Latency: 22 ns
```
### LOB Performance
```text
LOB Processing...
Success...
Performance Metrics:
Total Messages: 268744780
ITCH Latency: 88 ns
Total Time: 23.660 seconds
Speed: 11358746 msg/second
Orderbook Statistics:
Total Add Orders: 118631456
Total Execute Orders: 5822741
Total Cancel Orders: 2787676
Total Delete Orders: 114360997
Total Replace Orders: 21639067
```
## ITCH Specifications
The project follows the `Nasdaq TotalView-ITCH 5.0` standard for the processing of data.
- [Protocol Specifications](http://www.nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/NQTVITCHSpecification.pdf)
- [Binary Specification File](http://www.nasdaqtrader.com/content/technicalSupport/specifications/dataproducts/binaryfile.pdf)
- ITCH data can be downloaded from their website: https://emi.nasdaq.com/ITCH/Nasdaq%20ITCH/
I have specifically used their `12302019.NASDAQ_ITCH50` data whose compressed file can be downloaded from [here](https://emi.nasdaq.com/ITCH/Nasdaq%20ITCH/12302019.NASDAQ_ITCH50.gz).
## Contributing
Contributions to matching-engine-rs are welcome! If you encounter any issues, have suggestions, or would like to add new features, please feel free to open an issue or submit a pull request. Note that I'm still learning my way around Rust and trading systems, so any feedback is appreciated!
## License
This project is licensed under the [MIT License](LICENSE).