Awesome

Summary

This is a C++ implementation of a financial exchange. It is inspired by the Go version in go-trader.

It uses 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.