https://github.com/jmakov/fsm

A performance oriented implementation of a state machine for order processing
https://github.com/jmakov/fsm

cpp cpp20 hft hft- trading

Last synced: about 1 year ago
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A performance oriented implementation of a state machine for order processing

• Host: GitHub
• URL: https://github.com/jmakov/fsm
• Owner: jmakov
• License: apache-2.0
• Created: 2023-02-23T15:40:34.000Z (about 3 years ago)
• Default Branch: main
• Last Pushed: 2023-06-18T20:30:26.000Z (almost 3 years ago)
• Last Synced: 2024-12-20T22:34:30.685Z (over 1 year ago)
• Topics: cpp, cpp20, hft, hft-, trading
• Language: C++
• Homepage:
• Size: 2.49 MB
• Stars: 7
• Watchers: 3
• Forks: 0
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

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README

          
# A performance oriented implementation of a state machine

## Design decisions

- Based on benchmark this implementation is based on the CRTP visitor pattern as it seem to be the fastest between LLVM 15 and GCC 12.1 (pictured). 

![Clang 15](assets/bench-clang15.png) ![GCC 12.1](assets/bench-gcc12.1.png)

- Header only library

- No internal/external events, no pre/post transition actions, no explicit guards other than preventing invalid 

transitions (see examples).

- The initial state is implicitly defined with the first element in `states`.

TODO:

- handle leveraged markets (e.g. margin calls)

## Usage

Run benchmarks:

```shell

mkdir build && cd build

cmake ..

make all

./bin/benchmark_StaticPolymorphism

```

## Examples

In `example/OrderFSM.hpp` we show how to implement this state graph of an order with IOT, IOK, GTD and GTC.

![State graph](assets/state_graph.jpg)