1. Architect

The trading exchange is designed with a modular architecture that enhances its performance and scalability.

2. Server

The server serves as the backbone of the trading exchange, utilizing the UDP (User Datagram Protocol) for communication. This protocol is selected for its low-latency characteristics, essential in trading environments where every millisecond matters. However, it’s important to note that UDP can lead to packet loss, which may not be ideal for trading. As such, a future transition to TCP (Transmission Control Protocol) is planned to ensure more reliable communication, providing guaranteed delivery of messages. The server efficiently processes incoming client requests and dispatches them to the matching engine.

• Asynchronous Handling: Implemented using Boost.Asio, the server can handle multiple requests concurrently without blocking, allowing it to serve numerous clients simultaneously while maintaining high responsiveness.

2.1 Matching Engine

The matching engine is the core component responsible for executing trades by matching buy and sell orders based on specific criteria. Its architecture includes several key features:

• Multi-Orderbook Support: The engine supports multiple orderbooks, each corresponding to a different trading symbol (e.g., stock, commodity).

  • AtPriceOrderMap: This structure is designed to maintain orders with the same price. Each price level contains an AtPriceOrder which groups orders that share the same price point. Orders are prioritized based on their submission time, ensuring fairness in execution.

  • Hashtable Utilization: By using a hashtable (implemented with std::array), the matching engine achieves constant-time complexity for lookups, allowing for quick access to active orders.

• Top of Book (TOB): The engine maintains a Top of Book (TOB) for both buy and sell sides, facilitating immediate access to the best available prices.

  • Buy Side TOB: Represents the highest buy price currently available. The next AtPriceOrder in the sequence is the next highest order, ensuring that the market is transparent for buyers.

  • Sell Side TOB: Represents the lowest sell price, with the subsequent order being the next smallest price. This mechanism promotes competitive pricing in the market.

• Order Management: The OrderManager component is critical for managing the lifecycle of orders. It handles:

  • Order Creation: Facilitates the submission of new orders into the orderbook.
  • Order Expiry: Responsible for removing orders that are no longer valid (e.g., due to time constraints or market conditions).

2.2 FIFO Queue

To enable efficient communication between the server and the matching engine, a thread-safe MPMC (Multi-Producers, Multi-Consumers) queue is utilized. This design allows multiple threads to produce and consume messages concurrently without risking data corruption.

• Output Streaming:
  • Standard Output (Stdout): Used for streaming results from the matching engine, ensuring that all output is managed in a thread-safe manner to prevent data races.
  • Standard Log (Stdlog): Employed for logging performance metrics, allowing for detailed monitoring of system performance. Example log messages include:
    • Perf|OrderBook|Add|Execution|111: Indicates that an order was added, with an execution time of 111 milliseconds.
    • Perf|OrderBook|Cancel|Execution|50: Indicates that an order was canceled, with an execution time of 50 milliseconds.

3. Improvements

To enhance the functionality and performance of the trading exchange, several improvements are planned:

• Protocol Support: Develop an interface for the server to support additional communication protocols, such as TCP/IP. This would provide flexibility for clients to connect using various network protocols, improving usability.

• FIX Protocol Implementation: Integrate the FIX (Financial Information eXchange) protocol, a standardized messaging protocol for the real-time exchange of securities transactions. This would enhance interoperability with other trading systems and brokers.

• Lock-Free Queue Development: Create a lock-free queue to minimize contention between threads. This would enhance performance in high-frequency trading scenarios where order flow can be extremely high.

• Performance Optimization: Conduct performance profiling and optimization to identify bottlenecks within the system, ensuring that the exchange can handle increased loads efficiently.

• Object Pool Implementation: Introduce an object pool to manage the allocation and deallocation of objects. This technique reduces the overhead of dynamic memory allocations, leading to improved performance and reduced latency.

By focusing on these enhancements, the trading exchange aims to deliver a robust, scalable, and high-performance platform that meets the demands of modern financial markets.