https://github.com/robaho/cpp_orderbook

a financial exchange in C++
https://github.com/robaho/cpp_orderbook

cpp20 exchange fix fixprotocol trading

Last synced: about 1 month ago
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a financial exchange in C++

• Host: GitHub
• URL: https://github.com/robaho/cpp_orderbook
• Owner: robaho
• Created: 2024-06-17T19:32:29.000Z (6 months ago)
• Default Branch: main
• Last Pushed: 2024-10-15T22:13:43.000Z (2 months ago)
• Last Synced: 2024-10-20T08:16:09.656Z (2 months ago)
• Topics: cpp20, exchange, fix, fixprotocol, trading
• Language: C++
• Homepage:
• Size: 3.55 MB
• Stars: 2
• Watchers: 2
• Forks: 0
• Open Issues: 0
• Metadata Files:
  • Readme: README.md

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README

        
## Summary

This is a C++ implementation of a financial exchange. It is inspired by the Go version in [go-trader](https://github.com/robaho/go-trader).

It uses [cpp_fixed](https://github.com/robaho/cpp_fixed) to perform fixed decimal point integer math.

It supports limit and market orders.

## Building

Remove `fixed.h` , and run `make all` to obtain the latest version of the fixed point decimal library.

## Usage

See `exchange.h` for the public api. `orderbook.h` is the internal single threaded order book management.

## Performance

Running OSX on a 8-core 4.0 ghz Intel processor (only 4 real cores) with a single instrument.

```

Insert orders at 5.5M per second.

Insert orders with 30% trade match, 4M per second.

Cancel orders at 4M per second.

```

Running same hardware with an instrument per core:

```

Insert orders at 21M per second.

Insert orders with 31% trade match, 17M per second.

Cancel orders at 15M per second.

```

Since the test is fully cpu bound, only the 4 real cores can be utilized but still achieving a linear speedup. This is achieved using a few highly efficient lock-free structures.

It could probably bit a faster, but the design biases towards readability and safety.

See `benchmark_test.cpp` and `benchmark_multithread_test.cpp` for the performance tests.

## Next Steps

Add FIX protocol acceptor to enable testing with `go-trader` client.