Licence : All samples are "Public Domain" code http://en.wikipedia.org/wiki/Public_domain_software
Sections :
1. Introduction
2. Limit orders and order matching engines
3. FIX ( Financial Information Exchange ) protocol
4. Build dependencies
5. Runtime dependencies
6. How to build
7. Server parameters and running the server
8. Example log messages with FIX
9. Functional testing
10. Unit testing with GoogleTest
11. Coding and other guidelines
12. TODO List
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1. Introduction : A multithreaded order matching engine written in C++11 using FIX protocol 4.2 .
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It targets both Linux ( tested on CentOS and Ubuntu ) and Windows systems ( tested on Windows 8.1).
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It uses STL,Boost and also platform specific APIs ( POSIX, a few NP POSIX calls and WindowsAPIs) in some places, QuickFix for FIX protocol.
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It supports GCC4.8 and MSVC120 (VS2013). See "source/compiler_portability"
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Additionally used GoogleTest for unit testing, Bash for Linux test scripts and Powershell for Windows test scripts.
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Currently supports only limit orders and currently doesn`t support TIF.
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See end of this readme for future plans.
Regarding the implementation details and performance gain in multithreading and other considerations , please see the article on :
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2. Limit orders and order matching engines : For limit orders please see : https://en.wikipedia.org/wiki/Order_%28exchange%29#Limit_order
Basically a limit order is an order which you specify a maximum price for the security you want to buy. As for the terminology a limit order to buy is called a "bid" and a limit order to sell is called an "ask".
An order matching engine matches the ask orders and the bid orders. This implementation places the highest bid order on top of bids table and places the lowest ask order on top of asks table. Then it chekcs the bids and asks and tries to match the orders. And then it sends status reports back to the owners of the orders. A status of an order can be :
- "accepted" : the server accepted the order and it will be processed
- "filled" : the order matched
- "partially filled" , meaning that some trading happened , but still more to process
- "rejected" , if order type is not supported.
- "canceled" , if a client wants to cancel an order ,and if the order is canceled , the server informs the client
For general information about the trading systems and the order types , please see : http://www.investopedia.com/university/intro-to-order-types/
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3. FIX ( Financial information exchange ) protocol : It is a session based TCP protocol that carries financial security transcation data.
For more information , please see https://en.wikipedia.org/wiki/Financial_Information_eXchange .
For the time being, this projectis using opensource QuickFix engine and FIX specification 4.2.
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4. Build dependencies : For Linux , the project is built and tested with GCC4.8 only on CentOS7.
As for Windows it is using MSVC1200(VS2013). An important note about VS2013 , its version shouldn`t be later then Update2 as the project is using C++11 curly brace initialisation in MILs and MSVC rollbacked that feature starting from Update3 :
In the libraries side :
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Boost 1.59 : Using only template based part of Boost and a compacted version of Boost is in dependencies directory, therefore you don`t need to do anything. The compacting command is as below :
bcp --boost=c:\boost_1_59_0 shared_ptr scoped_ptr any optional tokenizer format c:\boost -
QuickFix & its requirements : For Windows you don`t need to do anything as the static library for Windows is already in dependencies directory. For Linux you need to apply the steps on http://www.quickfixengine.org/quickfix/doc/html/install.html
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5. Runtime dependencies : For Windows, you have to install MSVC120 runtime : https://www.microsoft.com/en-gb/download/details.aspx?id=40784
For Linux, you need GNU Libstd C++ 6 runtime and QuickFIX runtime.
How to install Quickfix runtime on Linux ( tested on Ubuntu ) :
1. Navigate to dependencies/quickfix/linux_runtime
2. sudo chmod +x ./install_quickfix_runtime.sh
3. sudo ./install_quickfix_runtime.sh
Note : This script will copy shared object to library path, create soft links, will add library path to /etc/ld.so.conf and finally execute ldconfig.
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6. How to build :
How to build the project on Linux :
cd build/linux
make clean
make debug OR make release
How to build the project on Linux using Netbeans 8.0.2 C++ IDE:
Open Netbeans.
Open the project from the project directory. ( Choose "nbproject" directory )
Build the project inside Netbeans IDE.
Why Netbeans : In Netbeans, it is too straightforward to setup remote debugging, therefore it is quite convenient to build and debug on Linux from Windows via SSH and Samba. You can see an article about this setup here in my blog. It is for Debian but it should be trivial to apply it to any other distribution : https://nativecoding.wordpress.com/2014/10/24/configuring-a-debian-virtual-machine-for-linux-c-development-via-windows-step-by-step/
How to build the project on Windows :
You can build with Visual Studio 2013
Go to "build/windows" directory
Use SLN file to launch VS with the project
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7. Server parameters and running the matching engine : The engine executable looks for "ome.ini" file. Here is the list of things you can set :
FILE_LOGGING_ENABLED enables/disables logging
CONSOLE_OUTPUT_ENABLED enables/disables output to stdout
CENTRAL_ORDER_BOOK_PIN_THREADS_TO_CORES whether to pin threads of the threadpool to different CPU cores
HYPER_THREADING if hyperthreading is off and pinning is on ,then it will pin threads to only cores with an even index
CENTRAL_ORDER_BOOK_QUEUE_SIZE_PER_THREAD Queue size per worker thread in the central order book`s thread pool
LOG_BUFFER_SIZE Maximum buffer size for the logging system as it is built on a ring buffer.
You will also need to specify security symbols. The order matching engine`s thread pool will create a worker thread for each symbol. For specifying symbols in ini file, you need to use brackets as below :
SYMBOL[]=MSFT
SYMBOL[]=AAPL
SYMBOL[]=INTC
SYMBOL[]=GOOGL
You will also need to have "quickfix_FIX42.xml" and "quickfix_server.cfg" files to be in the same directory with OME executable. You can find them in "bin" directory.
Once you start the ome executable , initially you will see a screen like this :
06-02-2016 16:22:00 : INFO , Main thread , starting
06-02-2016 16:22:00 : INFO , Thread pool , Thread(0) MSFT starting
06-02-2016 16:22:00 : INFO , Thread pool , Thread(1) AAPL starting
06-02-2016 16:22:00 : INFO , Thread pool , Thread(2) INTC starting
06-02-2016 16:22:00 : INFO , Thread pool , Thread(3) GOOGL starting
06-02-2016 16:22:00 : INFO , Thread pool , Thread(4) QCOM starting
06-02-2016 16:22:00 : INFO , Thread pool , Thread(5) QQQ starting
06-02-2016 16:22:00 : INFO , Thread pool , Thread(6) BBRY starting
06-02-2016 16:22:00 : INFO , Thread pool , Thread(7) SIRI starting
06-02-2016 16:22:00 : INFO , Thread pool , Thread(8) ZNGA starting
06-02-2016 16:22:00 : INFO , Thread pool , Thread(9) ARCP starting
06-02-2016 16:22:00 : INFO , Thread pool , Thread(10) XIV starting
06-02-2016 16:22:00 : INFO , Thread pool , Thread(11) FOXA starting
06-02-2016 16:22:00 : INFO , Thread pool , Thread(12) TVIX starting
06-02-2016 16:22:00 : INFO , Thread pool , Thread(13) YHOO starting
06-02-2016 16:22:00 : INFO , Thread pool , Thread(14) HBAN starting
06-02-2016 16:22:00 : INFO , Thread pool , Thread(15) BARC starting
06-02-2016 16:22:00 : INFO , Incoming message dispatcher , Thread starting
06-02-2016 16:22:00 : INFO , Outgoing message processor , Thread starting
06-02-2016 16:22:00 : INFO , FIX Engine , Acceptor started
Available commands :
display : Shows all order books in the central order book
quit : Shutdowns the server
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8. Example log message from the engine : The engine produces log messages below when it receives 1 buy order with quantity 1 and 1 sell order with quantity 1 for the same symbol :
06-02-2016 20:16:09 : INFO , FIX Engine , New logon , session ID : FIX.4.2:OME->TEST_CLIENT1
06-02-2016 20:16:09 : INFO , FIX Engine , Sending fix message : 8=FIX.4.2�9=154�35=8�34=5�43=Y�49=OME�52=20160206-20:16:09.295�56=TEST_CLIENT1�122=20160206-20:15:03.955�6=0�11=4�14=0�17=18�20=0�37=4�38=1�39=0�54=1�55=MSFT�150=0�151=1�10=000�
06-02-2016 20:16:09 : INFO , FIX Engine , Sending fix message : 8=FIX.4.2�9=155�35=8�34=6�43=Y�49=OME�52=20160206-20:16:09.295�56=TEST_CLIENT1�122=20160206-20:15:03.955�6=0�11=5�14=0�17=19�20=0�37=5�38=2�39=0�54=2�55=GOOGL�150=0�151=2�10=070�
06-02-2016 20:16:09 : INFO , FIX Engine , Sending fix message : 8=FIX.4.2�9=155�35=8�34=7�43=Y�49=OME�52=20160206-20:16:09.295�56=TEST_CLIENT1�122=20160206-20:15:03.971�6=0�11=6�14=0�17=20�20=0�37=6�38=1�39=0�54=1�55=GOOGL�150=0�151=1�10=060�
06-02-2016 20:16:09 : INFO , FIX Engine , Sending fix message : 8=FIX.4.2�9=164�35=8�34=8�43=Y�49=OME�52=20160206-20:16:09.295�56=TEST_CLIENT1�122=20160206-20:15:03.971�6=1�11=4�14=1�17=21�20=0�31=1�32=1�37=4�38=1�39=2�54=1�55=MSFT�150=2�151=0�10=168�
06-02-2016 20:16:09 : INFO , FIX Engine , Sending fix message : 8=FIX.4.2�9=164�35=8�34=9�43=Y�49=OME�52=20160206-20:16:09.295�56=TEST_CLIENT1�122=20160206-20:15:03.971�6=1�11=3�14=1�17=22�20=0�31=1�32=1�37=3�38=1�39=2�54=2�55=MSFT�150=2�151=0�10=169�
06-02-2016 20:16:09 : INFO , FIX Engine , Sending fix message : 8=FIX.4.2�9=156�35=8�34=10�43=Y�49=OME�52=20160206-20:16:09.295�56=TEST_CLIENT1�122=20160206-20:15:03.971�6=0�11=7�14=0�17=23�20=0�37=7�38=1�39=0�54=1�55=GOOGL�150=0�151=1�10=108�
06-02-2016 20:16:09 : INFO , FIX Engine , Sending fix message : 8=FIX.4.2�9=154�35=8�34=11�43=Y�49=OME�52=20160206-20:16:09.295�56=TEST_CLIENT1�122=20160206-20:15:03.971�6=0�11=8�14=0�17=24�20=0�37=8�38=1�39=8�54=1�55=xxx�150=8�151=1�10=110�
06-02-2016 20:16:09 : INFO , FIX Engine , Sending fix message : 8=FIX.4.2�9=166�35=8�34=12�43=Y�49=OME�52=20160206-20:16:09.295�56=TEST_CLIENT1�122=20160206-20:15:03.971�6=1�11=6�14=1�17=25�20=0�31=1�32=1�37=6�38=1�39=2�54=1�55=GOOGL�150=2�151=0�10=027�
06-02-2016 20:16:09 : INFO , FIX Engine , Sending fix message : 8=FIX.4.2�9=166�35=8�34=13�43=Y�49=OME�52=20160206-20:16:09.295�56=TEST_CLIENT1�122=20160206-20:15:03.971�6=1�11=5�14=1�17=26�20=0�31=1�32=1�37=5�38=2�39=1�54=2�55=GOOGL�150=1�151=1�10=028�
06-02-2016 20:16:09 : INFO , FIX Engine , Sending fix message : 8=FIX.4.2�9=166�35=8�34=14�43=Y�49=OME�52=20160206-20:16:09.295�56=TEST_CLIENT1�122=20160206-20:15:03.971�6=1�11=7�14=1�17=27�20=0�31=1�32=1�37=7�38=1�39=2�54=1�55=GOOGL�150=2�151=0�10=033�
06-02-2016 20:16:09 : INFO , FIX Engine , Sending fix message : 8=FIX.4.2�9=166�35=8�34=15�43=Y�49=OME�52=20160206-20:16:09.295�56=TEST_CLIENT1�122=20160206-20:15:03.971�6=1�11=5�14=2�17=28�20=0�31=1�32=1�37=5�38=2�39=2�54=2�55=GOOGL�150=2�151=0�10=034�
06-02-2016 20:16:09 : INFO , FIX Engine , Receiving fix message : 8=FIX.4.2�9=123�35=D�34=15�49=TEST_CLIENT1�52=20160206-20:16:09.342�56=OME�11=1�21=1�38=1�40=2�44=1�54=2�55=MSFT�59=0�60=20160206-20:16:09�10=124�
06-02-2016 20:16:09 : INFO , FIX Engine , New order message received :8=FIX.4.2�9=123�35=D�34=15�49=TEST_CLIENT1�52=20160206-20:16:09.342�56=OME�11=1�21=1�38=1�40=2�44=1�54=2�55=MSFT�59=0�60=20160206-20:16:09�10=124�
06-02-2016 20:16:09 : INFO , Central Order Book , New order accepted, client TEST_CLIENT1, client order ID 1
06-02-2016 20:16:09 : INFO , Outgoing message processor , Processing ACCEPTED for order : Client TEST_CLIENT1 Client ID 1 Symbol MSFT Side SELL
06-02-2016 20:16:09 : INFO , Thread pool , MSFT thread got a new task to execute
06-02-2016 20:16:09 : INFO , FIX Engine , Sending fix message : 8=FIX.4.2�9=125�35=8�34=23�49=OME�52=20160206-20:16:09.342�56=TEST_CLIENT1�6=0�11=1�14=0�17=113�20=0�37=1�38=1�39=0�54=2�55=MSFT�150=0�151=1�10=079�
06-02-2016 20:16:09 : INFO , Central Order Book , Order processing for symbol MSFT took 0000000 milliseconds , num of processed orders : 0
06-02-2016 20:16:09 : INFO , FIX Engine , Receiving fix message : 8=FIX.4.2�9=123�35=D�34=16�49=TEST_CLIENT1�52=20160206-20:16:09.342�56=OME�11=2�21=1�38=1�40=2�44=1�54=1�55=MSFT�59=0�60=20160206-20:16:09�10=125�
06-02-2016 20:16:09 : INFO , FIX Engine , New order message received :8=FIX.4.2�9=123�35=D�34=16�49=TEST_CLIENT1�52=20160206-20:16:09.342�56=OME�11=2�21=1�38=1�40=2�44=1�54=1�55=MSFT�59=0�60=20160206-20:16:09�10=125�
06-02-2016 20:16:09 : INFO , Central Order Book , New order accepted, client TEST_CLIENT1, client order ID 2
06-02-2016 20:16:09 : INFO , Outgoing message processor , Processing ACCEPTED for order : Client TEST_CLIENT1 Client ID 2 Symbol MSFT Side BUY
06-02-2016 20:16:09 : INFO , Thread pool , MSFT thread got a new task to execute
06-02-2016 20:16:09 : INFO , FIX Engine , Sending fix message : 8=FIX.4.2�9=125�35=8�34=24�49=OME�52=20160206-20:16:09.342�56=TEST_CLIENT1�6=0�11=2�14=0�17=114�20=0�37=2�38=1�39=0�54=1�55=MSFT�150=0�151=1�10=082�
06-02-2016 20:16:09 : INFO , Central Order Book , Order processing for symbol MSFT took 0000000 milliseconds , num of processed orders : 2
06-02-2016 20:16:09 : INFO , Outgoing message processor , Processing FILLED for order : Client TEST_CLIENT1 Client ID 2 Symbol MSFT Side BUY
06-02-2016 20:16:09 : INFO , FIX Engine , Sending fix message : 8=FIX.4.2�9=135�35=8�34=25�49=OME�52=20160206-20:16:09.342�56=TEST_CLIENT1�6=1�11=2�14=1�17=115�20=0�31=1�32=1�37=2�38=1�39=2�54=1�55=MSFT�150=2�151=0�10=001�
06-02-2016 20:16:09 : INFO , Outgoing message processor , Processing FILLED for order : Client TEST_CLIENT1 Client ID 1 Symbol MSFT Side SELL
06-02-2016 20:16:09 : INFO , FIX Engine , Sending fix message : 8=FIX.4.2�9=135�35=8�34=26�49=OME�52=20160206-20:16:09.342�56=TEST_CLIENT1�6=1�11=1�14=1�17=116�20=0�31=1�32=1�37=1�38=1�39=2�54=2�55=MSFT�150=2�151=0�10=002�
06-02-2016 20:16:11 : INFO , FIX Engine , Logout , session ID : FIX.4.2:OME->TEST_CLIENT1
Note 1: To parse the fix message which can be seen above , you can use one of the online FIX parsers :
http://fixdecoder.com/fix_decoder.html
http://fixparser.targetcompid.com/
Note 2: The executables and scripts help you to send orders to the engine , however if you want to send custom FIX messages, you can use :
MiniFIX , http://elato.se/minifix/download.html , Windows only with a GUI
QuickFixMessanger , https://github.com/jramoyo/quickfix-messenger
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9. Functional testing : There is a prebuilt executable for both Linux and Windows which can send specified ask/bid orders to the order matching engine.
Under "test_functional" directory :
1. Modify test_data.txt which has the orders to send to the engine as you wish.
2. Modify the arrays declared on top of client_automated_test.sh/client_automated_test.ps1 script files in order to configure the number of clients. You should provide a name for each client.
3. For firing Linux test client(s), you can use client_automated_test.sh Bash script.
4. For firing Windows test client(s), you can use client_automated_test.bat which drives client_automated_test.ps1 Powershell script.
5. After firing the script, it will be executing all orders in test_data.txt file per client that is declared in the script file.
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10. Unit testing with GoogleTest : The project uses GoogleTest 1.7. You can find a makefile and vcproj under "test_unit" directory.
Building and running unit test on Linux : You have to build and install Google Test 1.7 first , the instructions for CentOS and Ubuntu :
$ wget http://googletest.googlecode.com/files/gtest-1.7.0.zip
$ unzip gtest-1.7.0.zip
$ cd gtest-1.7.0
$ ./configure
$ make
$ sudo cp -a include/gtest /usr/include
On CentOS
$ sudo cp -a lib/.libs/* /usr/lib64
On Ubuntu
$ sudo cp -a lib/.libs/* /usr/lib/
Then you can either use Makefile or Netbeans project files under "test_unit" directory.
Building and running unit test on Windows : You can use VisualStudio solution in "test_unit" directory.
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11. Coding and other guidelines :
Source code and file/directory naming conventions :
Directory names lower_case_word
File names lower_case_word
Include guards _HEADER_H_
Macros UPPER_CASE_WORD
Enums UPPER_CASE_WORD
Namespace names lower_case_word
Class names CamelCase
Method names pascalCase
Variable names pascalCase
Member variables starts with m_
Directories/Namespaces As in Boost, there is a namespace per directory
Source code indentations and new line usage :
4 spaces, no tabs ( This needs to be setup in VS )
By default Netbeans editor uses spaces for tabs
Needs to be set in VS2013 : https://msdn.microsoft.com/en-gb/library/ms165330(v=vs.90).aspx
New lines : Unix CR only ( \n ) , VisualStudio can handle it even though Windows is \r\n
Inclusions : Using forward slash as it works for both Linux and Windows :
#include <concurrent/thread.h>
Warning level used for GCC : -Wall
Warning level used for MSVC : /W3
Precompiled header file usage : On Windows , the project is using /FI ( Force include parameter, therefore no need to include the pch header everywhere ) and specified the pch header to be precompiled_header.h. Note that this breaks edit-and-continue in Visual Studio. For Linux , there is pch rule to enable it in the makefile ( build/linux/Makefile) , but currently that rule is not being used since it doesn`t appear as it is doing much improvement as on Windows.
For GCC see https://gcc.gnu.org/onlinedocs/gcc/Precompiled-Headers.html
For MSVC 120 see https://msdn.microsoft.com/en-us/library/8c5ztk84(v=vs.120).aspx
MSVC120 C++11 Limitations : Curly brace initialisation at MILs and noexcept is not supported. For noexcept usage please see compiler_portability/noexcept.h .
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12. Todo List :
Benchmarking & Microbenchmarking : Will add probes for SystemTap for Linux, might add performance test cases using existing GoogleTest project
Concurrency : MPMC and MPSC lockfree container implementations , currently only SPSC bounded queue is lock free.
Memory : 3rd party memory allocators support : jemalloc, intelTBB, tcMalloc, Lockless. Currently the engine is using a set of CPU cache aligned allocators in "source/memory".
Other considerations for future :
Order matching : Adding other order types ( market orders, stop loss order) , order update and market data request support, TIF support
Exchange connectivity : Support ITCH ( London Stock Exchange & NASDAQ ) and/or FIX engines , interested in using Libtrade : https://github.com/libtrading/libtrading
Compiler support : Use of CMake, upgrading supported compiler versions and enabling use of C++14/C++17, experimental Clang and IntelC++Compiler
Concurrency : Experiment order book processing on GPU with CUDA
OS Support : Solaris11
New feature : Event broadcasting and sample feed handlers
New feature : Visualisation of transactions with OpenGL/Vulkan. See links below :
http://parasec.net/transmission/order-book-visualisation/
Valve is sponsoring LunarG which is working on Vulkan drivers and SDK which is likely to be available this year :
New feature : Save events in a database
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