eliquinox / jLOB

L3 Order Book and Matching Engine Implementaion in Java

jLOB

L3 Order Book and Matching Engine

jLOB has all the basic capabilities of a functional exchange. Custom business logic can be defined by implementing orderbook listeners. It currently supports HTTP and FIX protocol communication.

There is also a UI repository that allows interacting with the orderbook. Full sample deployment: https://lob.eliquinox.com/

Configuration

PersistenceLimitOrderBookListener.java defines logic for storing orderbook events and caching orderbook state. Events are stored in PostgreSQL and orderbook state is cached in Redis. Reference config.local.yaml defines parameters for local execution of the application:

database:
  host: 127.0.0.1
  name: jlob
  port: 5432
  username: postgres
  password: postgres

redis:
  host: 127.0.0.1
  port: 6379

Create and start these dependencies accordingly.

Reference FIX server and FIX client configurations are provided in fix.server.cfg and fix.client.cfg accordingly.

Quickstart

To start the service:

gradle runBook

The task will create needed JOOQ classes and run DB migrations, creating needed tables. It will then start HTTP and FIX servers on http://127.0.0.1:4567 and tcp://127.0.0.1:9877.

Import jLOB.postman_collection.json into Postman to start exploring the API.

jLOB supports the following endpoints:

GET /book

Retrieves the current state of the orderbook:

Example response:

{
    "bids": {
        "90": {
            "side": "BID",
            "price": 90,
            "placements": [
                {
                    "uuid": "77b778eb-4304-41f8-9a75-3113c459907a",
                    "timestamp": {
                        "seconds": 1587682193,
                        "nanos": 398559000
                    },
                    "side": "BID",
                    "price": 90,
                    "size": 100
                }
            ]
        }
    },
    "offers": {
        "100": {
            "side": "OFFER",
            "price": 100,
            "placements": [
                {
                    "uuid": "6a6a90cc-3f7d-4514-b70e-dca1e1706415",
                    "timestamp": {
                        "seconds": 1587682203,
                        "nanos": 9953000
                    },
                    "side": "OFFER",
                    "price": 100,
                    "size": 100
                }
            ]
        }
    }
}

POST /book

Sends an order to the orderbook.

Example Request:

{
    "side": "offer",
    "price": 100,
    "size": 100000
}

Example Response:

{
    "uuid": "e08f8a3b-f38b-4a72-a2a9-2ae0cb8c9d1f",
    "timestamp": {
        "seconds": 1587682282,
        "nanos": 259523000
    },
    "side": "OFFER",
    "price": 100,
    "size": 10000
}

DEL /book

Cancels a given amount of an existing order.

Example Request:

{
    "id": "e08f8a3b-f38b-4a72-a2a9-2ae0cb8c9d1f",
    "size": 20
}

Example Response:

{
    "placementUuid": "e08f8a3b-f38b-4a72-a2a9-2ae0cb8c9d1f",
    "timestamp": {
        "seconds": 1587682397,
        "nanos": 728419000
    },
    "size": 20
}

POST /vwap

Retrieves a volume-weighted average price from the orderbook, given a side and a size of a hypothetical order.

Example Request:

{
    "action": "bid",
    "size": 10000
}

Example Response:

{
    "price": 100.00
}