stoqey / dior

Christian Dior 💃🕺👗👔📈📉 - (Order Matching Engine) - match hundreds of thousands of orders per second

Christian Dior

Order Matching Engine - match hundreds of thousands of orders per second

Tech

• Couchbase for Orders/Trades storage
• Influx for marketdata storage quote/query
• uWebsocket for TCP/UDP

• Order types
  • market order - execute an order as fast as possible, cross the spread
  • limit order - execute an order with a limit on bid/ask price (e.g. $x or less for a bid, or $y or more for an ask)
• Order params
  • AON - all or nothing, don't allow partial fills
  • IOC - immediate or cancel, immediately fill what's possible, cancel the rest
  • FOK - AON+IOC, immediately match an order in full (without partial fills) or cancel it

TODO

• ✅ stop orders
• ✅ GFD, GTC, GTD parameters
• logic surrounding the order book - trading hours, pre/after market restrictions
• basic middle & back office functionalities - risk assessment, limits
• ✅ Websocket: TCP/UDP server that accepts orders
• ✅ HTTP: TCP/UDP server that accepts orders
• ✅ reporting market volume, share price
• ✅ reporting acknowledgments & updates to clients (share price, displayed/hidden orders...)
• Master-slave cluster, auto-re-elect master
• Same-sync
• Tradebook cronjobs

Market behaviour

Market orders are always given priority above all other orders, then sorted according to time of arrival.

• orders are FIFO based
  • bids - price (descending), time (ascending)
  • asks - price (ascending), time (ascending)
  • quantity does not matter in sorting

When a match occurs between two limit orders the price is set on the bid price. Bid of $25 and ask of $24 will be matched at $25.

Architecture

Order book & trade books are per-instrument objects, one order book can only handle one instrument.

• OrderBook (Order model) - stores active orders in memory, db & handles order matching

• TradeBook (Trade model) - stores daily trades in memory, db & provides additional data about trading

• Historical Orders (OrderRecord model) - persistent storage of all historical orders

OrderBook

• Order model/collection is used to persist all orders in couchbase
• All orders whether active/or not are stored in couchbase under the Order collection
• When an Order has been filled it is deleted from the Order collection and a copy of it is stored in OrderRecords

TradeBook

• All trades are saved in the Trade collection of couchbase

Acknowledgements

• Matching system full documentation

  • https://gist.github.com/jdrew1303/e06361070468f6614d52216fb91b79e5

• Practical .NET for Financial Markets by Samir Jayaswal and Yogesh Shetty

  • excellent reading material for functional and technical details about financial markets
  • good explanation of the order matching algorithm

• https://web.archive.org/web/20110219163448/http://howtohft.wordpress.com/2011/02/15/how-to-build-a-fast-limit-order-book/

  • insight into technical aspects regarding trading speed, efficiency...

• https://www.investopedia.com/investing/basics-trading-stock-know-your-orders/

  • great summary of order types

• https://github.com/enewhuis/liquibook

  • inspiration for some of the data structures and approaches to the problem

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