prajwaldp / exchange-microservices

Microservices for an exchange

How to build an Exchange

An implementation of an exchange based on the following:

• https://www.youtube.com/watch?v=b1e4t2k2KJY
• https://www.youtube.com/watch?v=dUMWMZmMsVE

Data Structures Used

1. Limit Order Book (A NASDAQ Workstation Style Book)

• Buys / Bids: Best prices to buy, sorted in decreasing order
• Sales / Offers: Best prices to sell, sorted in increasing order

Other entities: Market Participants, Instruments

Design Decisions

• Do we want to parallelize at the level of an instrument? i.e. maintain an orderbook datastructure for each instrument. Ocassionaly, we may want to touch two diffent instruments

Non-Functional Requirements

1. Scale, (3M messages/s, 10k symbols)
2. Fairness
3. Reliability
4. Durability

Microservices

1. Matching Engine
2. Canceller
3. Trade Reporter
4. Market Data (filtered versions of the raw transactions)

Cassandra Data Modeling

CREATE KEYSPACE fictitiousstockexchange
WITH REPLICATION = {
    'class': 'SimpleStrategy',
    'replication_factor':  1
};

USE fictitiousstockexchange;

CREATE TABLE bids (
    bid_time_uuid TIMEUUID,
    initiater_id TEXT,
    ticker_symbol TEXT,
    number_of_shares DOUBLE,
    bid_price DOUBLE,
    country TEXT,
    PRIMARY KEY ((country, ticker_symbol), initiater_id, bid_time_uuid)
);

CREATE TABLE asks (
    ask_time_uuid TIMEUUID,
    initiater_id TEXT,
    ticker_symbol TEXT,
    number_of_shares DOUBLE,
    ask_price DOUBLE,
    country TEXT,
    PRIMARY KEY ((country, ticker_symbol), initiater_id, ask_time_uuid)
);

CREATE TABLE transfers (
    transfer_time_uuid TIMEUUID,
    initiater_id TEXT,
    ticker_symbol TEXT,
    number_of_shares DOUBLE,
    credit BOOLEAN,
    share_price DOUBLE,
    country TEXT,
    PRIMARY KEY ((country, ticker_symbol), initiater_id, transfer_time_uuid)
);

Architecture

Note: The architecture has chnaged since I made this picture. Will change it once I have a stable version

Prerequites

1. Apache Kafka

~ ./$KAFKA_BIN/bin/zookeeper-server-start.sh ./$KAFKA_BIN/config/zookeeper.properties
~ ./$KAFKA_BIN/bin/kafka-server-start.sh ./$KAFKA_BIN/config/server.properties

2. Compile all sub-projects

~ mvn clean compile

This should also build Docker containers for all the services

3. Start all the services

~ docker-compose up -d

API

Create new bids

curl -X POST -H "Content-Type: application/json" -d '{"country": "US", "tickerSymbol": "AAPL", "initiaterId": "AAPL", "numberOfShares": 1000, "bidPrice": 40}' localhost:8002/bids