exchange-core

by mzheravin

mzheravin /exchange-core

Ultra-fast matching engine written in Java based on LMAX Disruptor, Eclipse Collections, Real Logic ...

573 Stars 300 Forks Last release: 3 months ago (exchange-core-0.5.3) Apache License 2.0 249 Commits 7 Releases

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exchange-core

Build Status Javadocs Language grade: Java

Exchange-core is an open source market exchange core based on LMAX Disruptor, Eclipse Collections (ex. Goldman Sachs GS Collections), Real Logic Agrona, OpenHFT Chronicle-Wire, LZ4 Java, and Adaptive Radix Trees.

Exchange-core includes: - orders matching engine - risk control and accounting module - disk journaling and snapshots module - trading, admin and reports API

Designed for high scalability and pauseless 24/7 operation under high-load conditions and providing low-latency responses: - 3M users having 10M accounts in total - 100K order books (symbols) having 4M pending orders in total - less than 1ms worst wire-to-wire target latency for 1M+ operations per second throughput - 150ns per matching for large market orders

Single order book configuration is capable to process 5M operations per second on 10-years old hardware (Intel® Xeon® X5690) with moderate latency degradation:

|rate|50.0%|90.0%|95.0%|99.0%|99.9%|99.99%|worst| |----|-----|-----|-----|-----|-----|------|-----| |125K|0.6µs|0.9µs|1.0µs|1.4µs|4µs |24µs |41µs | |250K|0.6µs|0.9µs|1.0µs|1.4µs|9µs |27µs |41µs | |500K|0.6µs|0.9µs|1.0µs|1.6µs|14µs |29µs |42µs | | 1M|0.5µs|0.9µs|1.2µs|4µs |22µs |31µs |45µs | | 2M|0.5µs|1.2µs|3.9µs|10µs |30µs |39µs |60µs | | 3M|0.7µs|3.6µs|6.2µs|15µs |36µs |45µs |60µs | | 4M|1.0µs|6.0µs|9µs |25µs |45µs |55µs |70µs | | 5M|1.5µs|9.5µs|16µs |42µs |150µs|170µs |190µs| | 6M|5µs |30µs |45µs |300µs|500µs|520µs |540µs| | 7M|60µs |1.3ms|1.5ms|1.8ms|1.9ms|1.9ms |1.9ms|

Latencies HDR Histogram

Benchmark configuration: - Single symbol order book. - 3,000,000 inbound messages are distributed as follows: 9% GTC orders, 3% IOC orders, 6% cancel commands, 82% move commands. About 6% of all messages are triggering one or more trades. - 1,000 active user accounts. - In average ~1,000 limit orders are active, placed in ~750 different price slots. - Latency results are only for risk processing and orders matching. Other stuff like network interface latency, IPC, journaling is not included. - Test data is not bursty, meaning constant interval between commands (0.2~8µs depending on target throughput). - BBO prices are not changing significantly throughout the test. No avalanche orders. - No coordinated omission effect for latency benchmark. Any processing delay affects measurements for next following messages. - GC is triggered prior/after running every benchmark cycle (3,000,000 messages). - RHEL 7.5, network-latency tuned-adm profile, dual X5690 6 cores 3.47GHz, one socket isolated and tickless, spectre/meltdown protection disabled. - Java version 8u192, newer Java 8 versions can have a performance bug

Features

  • HFT optimized. Priority is a limit-order-move operation mean latency (currently ~0.5µs). Cancel operation takes ~0.7µs, placing new order ~1.0µs;
  • In-memory working state for accounting data and order books.
  • Event-sourcing - disk journaling and journal replay support, state snapshots (serialization) and restore operations, LZ4 compression.
  • Lock-free and contention-free orders matching and risk control algorithms.
  • No floating-point arithmetic, no loss of significance is possible.
  • Matching engine and risk control operations are atomic and deterministic.
  • Pipelined multi-core processing (based on LMAX Disruptor): each CPU core is responsible for certain processing stage, user accounts shard, or symbol order books shard.
  • Two different risk processing modes (specified per symbol): direct-exchange and margin-trade.
  • Maker/taker fees (defined in quote currency units).
  • Two order books implementations: simple implementation ("Naive") and performance implementation ("Direct").
  • Order types: Immediate-or-Cancel (IOC), Good-till-Cancel (GTC), Fill-or-Kill Budget (FOK-B)
  • Testing - unit-tests, integration tests, stress tests, integrity/consistency tests.
  • Low GC pressure, objects pooling, single ring-buffer.
  • Threads affinity (requires JNA).
  • User suspend/resume operation (reduces memory consumption).
  • Core reports API (user balances, open interest).

Installation

  1. Install library into your Maven's local repository by running
    mvn install
  2. Add the following Maven dependency to your project's
    pom.xml
    :
    exchange.core2
    exchange-core
    0.5.0
    
    

Alternatively, you can clone this repository and run the example test.

Usage examples

Create and start empty exchange core: ```java // simple async events handler SimpleEventsProcessor eventsProcessor = new SimpleEventsProcessor(new IEventsHandler() { @Override public void tradeEvent(TradeEvent tradeEvent) { System.out.println("Trade event: " + tradeEvent); }

@Override
public void reduceEvent(ReduceEvent reduceEvent) {
    System.out.println("Reduce event: " + reduceEvent);
}

@Override public void rejectEvent(RejectEvent rejectEvent) { System.out.println("Reject event: " + rejectEvent); }

@Override public void commandResult(ApiCommandResult commandResult) { System.out.println("Command result: " + commandResult); }

@Override public void orderBook(OrderBook orderBook) { System.out.println("OrderBook event: " + orderBook); }

});

// default exchange configuration ExchangeConfiguration conf = ExchangeConfiguration.defaultBuilder().build();

// no serialization Supplier serializationProcessorFactory = () -> DummySerializationProcessor.INSTANCE;

// build exchange core ExchangeCore exchangeCore = ExchangeCore.builder() .resultsConsumer(eventsProcessor) .serializationProcessorFactory(serializationProcessorFactory) .exchangeConfiguration(conf) .build();

// start up disruptor threads exchangeCore.startup();

// get exchange API for publishing commands ExchangeApi api = exchangeCore.getApi(); ```

Create new symbol: ```java // currency code constants final int currencyCodeXbt = 11; final int currencyCodeLtc = 15;

// symbol constants final int symbolXbtLtc = 241;

// create symbol specification and publish it CoreSymbolSpecification symbolSpecXbtLtc = CoreSymbolSpecification.builder() .symbolId(symbolXbtLtc) // symbol id .type(SymbolType.CURRENCYEXCHANGEPAIR) .baseCurrency(currencyCodeXbt) // base = satoshi (1E-8) .quoteCurrency(currencyCodeLtc) // quote = litoshi (1E-8) .baseScaleK(1000000L) // 1 lot = 1M satoshi (0.01 BTC) .quoteScaleK(10_000L) // 1 price step = 10K litoshi .takerFee(1900L) // taker fee 1900 litoshi per 1 lot .makerFee(700L) // maker fee 700 litoshi per 1 lot .build();

future = api.submitBinaryDataAsync(new BatchAddSymbolsCommand(symbolSpecXbtLtc)); ```

Create new users: ```java // create user uid=301 future = api.submitCommandAsync(ApiAddUser.builder() .uid(301L) .build());

// create user uid=302 future = api.submitCommandAsync(ApiAddUser.builder() .uid(302L) .build()); ```

Perform deposits: ```java // first user deposits 20 LTC future = api.submitCommandAsync(ApiAdjustUserBalance.builder() .uid(301L) .currency(currencyCodeLtc) .amount(2000000_000L) .transactionId(1L) .build());

// second user deposits 0.10 BTC future = api.submitCommandAsync(ApiAdjustUserBalance.builder() .uid(302L) .currency(currencyCodeXbt) .amount(10000000L) .transactionId(2L) .build()); ```

Place orders: ```java // first user places Good-till-Cancel Bid order // he assumes BTCLTC exchange rate 154 LTC for 1 BTC // bid price for 1 lot (0.01BTC) is 1.54 LTC => 154000000 litoshi => 10K * 15400 (in price steps) future = api.submitCommandAsync(ApiPlaceOrder.builder() .uid(301L) .orderId(5001L) .price(15400L) .reservePrice(15_600L) // can move bid order up to the 1.56 LTC, without replacing it .size(12L) // order size is 12 lots .action(OrderAction.BID) .orderType(OrderType.GTC) // Good-till-Cancel .symbol(symbolXbtLtc) .build());

// second user places Immediate-or-Cancel Ask (Sell) order // he assumes wost rate to sell 152.5 LTC for 1 BTC future = api.submitCommandAsync(ApiPlaceOrder.builder() .uid(302L) .orderId(5002L) .price(15_250L) .size(10L) // order size is 10 lots .action(OrderAction.ASK) .orderType(OrderType.IOC) // Immediate-or-Cancel .symbol(symbolXbtLtc) .build()); ```

Request order book:

java
future = api.requestOrderBookAsync(symbolXbtLtc, 10);

GtC orders manipulations: ```java // first user moves remaining order to price 1.53 LTC future = api.submitCommandAsync(ApiMoveOrder.builder() .uid(301L) .orderId(5001L) .newPrice(15_300L) .symbol(symbolXbtLtc) .build());

// first user cancel remaining order future = api.submitCommandAsync(ApiCancelOrder.builder() .uid(301L) .orderId(5001L) .symbol(symbolXbtLtc) .build()); ```

Check user balance and GtC orders:

java
Future report = api.processReport(new SingleUserReportQuery(301), 0);

Check system balance:

java
// check fees collected
Future totalsReport = api.processReport(new TotalCurrencyBalanceReportQuery(), 0);
System.out.println("LTC fees collected: " + totalsReport.get().getFees().get(currencyCodeLtc));

Testing

  • latency test: mvn -Dtest=PerfLatency#testLatencyMargin test
  • throughput test: mvn -Dtest=PerfThroughput#testThroughputMargin test
  • hiccups test: mvn -Dtest=PerfHiccups#testHiccups test
  • serialization test: mvn -Dtest=PerfPersistence#testPersistenceMargin test

TODOs

  • market data feeds (full order log, L2 market data, BBO, trades)
  • clearing and settlement
  • reporting
  • clustering
  • FIX and REST API gateways
  • cryptocurrency payment gateway
  • more tests and benchmarks
  • NUMA-aware and CPU layout custom configuration

Contributing

Exchange-core is an open-source project and contributions are welcome!

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