MatchingEngine

Simple Matching engine for trading platform

Brief description

This is simple matching engine that can perform up to 7 millions orders per second per trading symbol. It can hold order books for a number of symbols. It supports market and limit orders. There is unit tests and performance tests. And there is a OrderBookServer that can receive orders through UDP in string format.

Building project requirements

To build project the GNU g++ building environment with cmake must be installed. The Boost library must be also installed. The 'unit_test_framework' and the 'system' Boost components are needed for build. The build tested on g++ 9.3.0 vesion, cmake 3.16.3 version, and Boost 1.71.0 version.

Building project instructions

Ubuntu 20.04

• Ensure that these dependencies are installed by executing the next command:

sudo apt-get install g++ make cmake

• Install Boost

wget -O boost_1_72_0.tar.gz https://sourceforge.net/projects/boost/files/boost/1.72.0/boost_1_72_0.tar.gz/download
tar xzvf boost_1_72_0.tar.gz
cd boost_1_72_0/
sudo apt-get update
sudo apt-get install build-essential g++ python-dev autotools-dev libicu-dev libbz2-dev
./bootstrap.sh --prefix=/usr/local
sudo ./b2 --with=all -j 6 install
sudo ldconfig

• Build project by executing the do_make_build_release.sh script after all dependencies were installed .

Usage

Unit tests

Run the next command to execute unit tests.

./cmake-build-release/runUnitTests

Performance tests

Run the next command to execute performance tests.

./cmake-build-release/runPerformanceTests

Matching engine UDP server

Run the next command to start the matching engine UDP server.

./cmake-build-release/OrderBookServer <UDP port value>

The netcat can be used to check the server.

cat ./inputfile.csv | netcat -u 127.0.0.1 <UDP port value>

Documentation

Run the next command to open documentation.

nohup xdg-open ./documentation/html/index.html

Architectural Aspects

OrderBooksServer class

This class runs UDP server and receive orders as text. And it have its own thread to poll from socket.

OrderBooksProcessor class

This class runs two threads. One for the order books processing. And second for output to console.

OrderBooksContainer class

This class used as container for order books. It can contain one order book per trading symbol.

OrderBook class

This class contains logic for order books operation and matching.