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XCHG

An order-matching and exchange system for testing trading bots. Part of the software suite to be used by Trading @ Georgia Tech club.

Features

  • Support for market, limit, stop-loss, and stop-limit orders
  • Support for IOC (immediate-or-cancel) and AON (all-or-nothing) trades
  • Ability to query book for BBO, volume, etc.
  • Support for 2^16 simultaneous trading agents
  • Listing by ticker

Ideas

  • Book stratification by ticker, direction, and order-type (how to best stratify on order-type?)
  • TCP-based communication to each port, with option for local or remote trading bots
  • Atomic execution with an order queue -- we need to be fast for this to work
  • UI to view book + orders in real-time (TUI or web server + HTML)

Bugs/issues

  • Should Book::bbo really return the best price from the opposite side of the book?
  • Should Book::{bbo,directional_volume} really be template functions?
  • We can simplify book operations by making add/remove/update methods instead of directly operating on map + vector
  • We probably don't need an unordered_map for the book (but this makes deleting orders slower!)

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C++ order-matching engine

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