UnlimitedOrderBook

Welcome to UnlimitedOrderBook, a C++ project created based on my findings and personal vision for the implementation of a stock 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.

Currently Supported

Order Types

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).

Order Parameters

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.

TODO

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

Market Behavior

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

Order Prioritization and Sorting

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.

Market Price Determination

The market price is set at the last trade price.

Stop Orders Activation

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.

Limit Order Matching

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.

Architecture

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.

Directory information

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...

How to use

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

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