This project implements the limit order book as an application on top of the network stack using protocols modeled after those deployed by CBOE. The system is asynchronous (through Asio) and capable of running in real-time with appropriate hardware configuration. The system supports human interaction through command line interfaces and algorithmic trading using the binary order entry system and data feed.

Requirements

g++ (or clang++)
- C++17 support
scons
uniform endian-ness of networked machines
- network packets are sent in host byte order for speed

Network Optimization

Depending on your platform and environment, some setup may be required to achieve high input throughput from listening data feeds.

Debian

maximize the UDP buffer size (check this value using sudo sysctl).

sudo sysctl -w net.core.rmem_max=26214400

force explicit CPU affinity using taskset for each process.

MacOS

No addition setup is necessary for MacOS platforms.

Usage

Vendor code

Many vendor submodules are necessary to accomplish this project, be sure to clone them all using the following command from the top-level of the project:

git submodule init

git submodule update

Testing

To run the unit test-suite for the project, run:

scons test

Compilation

To compile all the application included in the project, run:

scons

Order Entry Server

The order entry system presented in this document is modeled after Version 2.3.6 of the CBOE US Equities Binary Order Entry Specification. The order entry server application takes a single command line parameter, a path to a JSON configuration file following the schema:

{
    "port": 6001,
    "feed": {
        "group": "239.0.0.1",
        "port": 30001,
        "ttl": 0,
        "outbound_interface": "localhost"
    },
    "accounts": [
        {"username": "USR1", "password": "abadpassword"},
        {"username": "USR2", "password": "abadpassword"}
    ]
}

port is the port number for the order entry service that clients will connect to
feed is and object with parameters for the data feed
- group is the IP multi-cast group for the data feed
- port is the port to target for the multi-cast data feed
- ttl is the TTL for the data feed
- outbound_interface is the IP address of the interface to send packets on
accounts is a list of users that can connect and trade on the server

Command Line Order Entry Application

The order entry system presented in this document is modeled after Version 2.3.6 of the CBOE US Equities Binary Order Entry Specification. The command line order entry application takes a single command line parameter, a path to a JSON configuration file following the schema:

{
    "host": "localhost",
    "port": 6001
}

host is the order entry server IP address to connect to
port is the port that the service is running at on the remote host

Data Feed Receivers

The depth of book data feed presented in this document is modeled after Version 2.40.28 of the CBOE US Equities/Options Multicast Depth of Book (PITCH) Specification. All the multi-cast receivers accept a JSON file with the same schema:

{
    "listen": "0.0.0.0",
    "group": "239.0.0.1",
    "port": 30001
}

listen is the interface to listen for packets on
group is the multi-cast group to join
port is the port to bind to and receive packets on

Applications

echo logs all messages received to the terminal
- the book at each tick is output as well
heartbeat refreshes the terminal with the top of book data every 1s
csv writes a CSV with tick-wise L1 bars to standard output