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 messaging integration for trade distribution
The project depends on these other robaho projects.
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.
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 <pid> where pid is the exchange process to dump all of the books.
use make run_tests to run all of the test cases.
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 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.