https://github.com/robaho/cpp-trader
A financial exchange in C++ designed for algorithmic trading tests.
https://github.com/robaho/cpp-trader
cpp financial-markets fix fix-protocol trading-strategies
Last synced: 7 months ago
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A financial exchange in C++ designed for algorithmic trading tests.
- Host: GitHub
- URL: https://github.com/robaho/cpp-trader
- Owner: robaho
- Created: 2025-01-23T19:20:48.000Z (9 months ago)
- Default Branch: main
- Last Pushed: 2025-02-03T21:41:12.000Z (8 months ago)
- Last Synced: 2025-02-03T22:31:00.697Z (8 months ago)
- Topics: cpp, financial-markets, fix, fix-protocol, trading-strategies
- Language: C++
- Homepage:
- Size: 34.2 KB
- Stars: 1
- Watchers: 1
- Forks: 0
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
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README
## Summary
This is a C++ FIX based financial exchange designed for algorithmic testing.
__It is a work in progress and under active development.__
ToDo:
- ~~add market/limit order support including execution reports~~
- add multicast market data support for books and trades
- ~~cancel all orders and quotes when session disconnects~~
- possibly add [Nats](https://github.com/nats-io) messaging integration for trade distribution
## Building
The project depends on these other [robaho](https://github.com/robaho) projects.
- [cpp_fixed](https://github.com/robaho/cpp_fixed)
- [cpp_orderbook](https://github.com/robaho/cpp_orderbook)
- [cpp_fix_codec](https://github.com/robaho/cpp_fix_codec)
- [cpp_fix_engine](https://github.com/robaho/cpp_fix_engine)
All should be cloned and built at the same directory level. The `Makefile` includes and library locations can be changed if they are available in a different location.
The project builds by default using `make` and CLang. There is a `Makefile.gcc` for building using GCC.
use `./makeall.sh` to build `cpp-trader` and all dependent projects.
## Testing
use `bin/cpp-trader` to start the exchange.
use `cpp_fix_engine/bin/sample_client` or `cpp_fix_engine/massquote.sh` to start quoting against the exchange.
use `cpp_fix_engine/bin/sample_sendorder` to send a new order and wait for fill or timeout.
use `kill -USR1 ` where `pid` is the exchange process to dump all of the books.
use `make run_tests` to run all of the test cases.
## Performance
using the `cpp_fix_engine` boost fibers branch and
using `sample_client localhost -bench 75`, more than **165k quotes per second**.1
```
round-trip 834721 quotes, usec per quote 5.99514, quotes per sec 166801
```
as a comparison, using [go-trader](https://github.com/robaho/go-trader) and the Go fix client, it does about 45k quotes per second.
1These are ping-pong quotes, i.e. send quote, wait for quote ack, send next quote. Streaming quotes are considerably faster.
_Updated network timings coming soon._