Welcome to LimitOrderBook, a C++ project created based on my findings and personal vision for the implementation of exchange, with a primary focus on OrderBook functionality. This project serves as a platform for my exploration into various concepts, learning C++, and gaining insights into the workings of financial exchanges.

• Market Order: Execute an order as fast as possible, crossing 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).

• STOP: Stop order, set a stop price which will activate the order once the market price crosses it.
• AON (All or Nothing): Don't allow partial fills.
• IOC (Immediate or Cancel): Immediately fill what's possible, cancel the rest.
• FOK (Fill or Kill): AON+IOC, immediately match an order in full (without partial fills) or cancel it.

• Basic orderbook functionalities
• Add Trade repository and order repository
• Add server functionalities
• GFD, GTC, GTD orders
• Implement a proper way of doing orderbook snapshots
• Perform comprehensive benchmarking
• Add Python bindings
• Implement risk assessment and limits

In the UnlimitedOrderBook, market orders always take precedence over other orders and are sorted based on the time of arrival.

• Orders are processed on a first-in-first-out (FIFO) basis.
  • For Bids:
    • Sorted by price (descending) and then by time of arrival (ascending).
  • For Asks:
    • Sorted by price (ascending) and then by time of arrival (ascending).
  • Quantity does not influence the sorting process.

• The market price is set at the last trade price.

• Stop Bids are activated when the market price is above or equal to the stop price.
• Stop Asks are activated when the market price is below or equal to the stop price.

• When a match occurs between two limit orders, the price is set based on the bid price.
  • Example: A Bid of $25 and an Ask of $24 will be matched at $25.

The exchange contains information about existing instruments, and each instrument has its own orderbook. Each object communicates with others using a lock-free ring buffer.

• exchange: Exchange functionalities
• orderbook: Orderbook functionalities
• data_structures: All data structures used in the project (order, limit, trade...)
• storage: RBTree implementation used as in-memory storage
• server: Seastar server
• order repository: Persistent storage of orders in RocksDB
• trade repository: Persistent storage of trades in ScyllaDB
• utils: Lock-free ring buffer implementation, thread pool implementation, UUID generator...

1. Start the project by running the following command in the project root:

   docker-compose up -d

   This will build the UnlimitedOrderBook image, and it may take some time.

2. In the postman/ directory, you can find a collection of API requests to play around with.

3. For local development (developed and tested on linux OS), follow these steps:

   • If needed, install dependencies (check them out before running command):

     sudo ./install-dependencies.sh

   • Start ScyllaDB locally:

      docker run --name trade-repository -d -v $(pwd)/scylla/:/etc/scylla/ scylladb/scylla --smp 1 --memory 750M --overprovisioned 1 --api-address 0.0.0.0
      sudo docker exec -it trade-repository cqlsh -f etc/scylla/trade-repository.txt

   Note: wait for a least 30 sec for scylladb to boot up before running second command.

   • Compile and start the project:

     mkdir -p build
     sudo cmake -DCMAKE_BUILD_TYPE=Release ..
     sudo make -j4 
     ./UnlimitedOrderBook

   Supported flags are:

   • --server_name: Specifies the server name. Default value is "UnlimitedExchange".
   • --server_address: Sets the IP address on which the server will listen. Default is "0.0.0.0".
   • --server_port: Configures the port on which the server will listen. Default is 8000.
   • --trade_repository_address: Defines the IP address of the Scylla database used as the trade repository. Default is "172.17.0.2".
   • --trade_repository_batch_size: Sets the batch size for inserting into the trade repository. Currently, only a batch size of 1 is supported, so the value should be set to 1.
   • --rocksdb_dir: Specifies the directory for the order RocksDB. Default is "./order_rocksdb".
   • --ringbuffer_size: Configures the ringbuffer size. Default is 1024 (same for all instances).
   • --instrument_init_file: Sets the path for the initial instrument information file. Default is "../init/instruments.txt".

• How to Build a Fast Limit Order Book
• Basics of Trading Stocks: Know Your Orders
• ScyllaDB
• Seastar
• RocksDB
• simdjson
• stduuid