exchange-core

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

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:

<dependency>
    <groupId>exchange.core2</groupId>
    <artifactId>exchange-core</artifactId>
    <version>0.5.0</version>
</dependency>

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

Usage examples

Create and start empty exchange core:

// 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<ISerializationProcessor> 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:

// 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.CURRENCY_EXCHANGE_PAIR)
        .baseCurrency(currencyCodeXbt)    // base = satoshi (1E-8)
        .quoteCurrency(currencyCodeLtc)   // quote = litoshi (1E-8)
        .baseScaleK(1_000_000L) // 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:

// 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:

// first user deposits 20 LTC
future = api.submitCommandAsync(ApiAdjustUserBalance.builder()
        .uid(301L)
        .currency(currencyCodeLtc)
        .amount(2_000_000_000L)
        .transactionId(1L)
        .build());

// second user deposits 0.10 BTC
future = api.submitCommandAsync(ApiAdjustUserBalance.builder()
        .uid(302L)
        .currency(currencyCodeXbt)
        .amount(10_000_000L)
        .transactionId(2L)
        .build());

Place orders:

// 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 => 1_5400_0000 litoshi => 10K * 15_400 (in price steps)
future = api.submitCommandAsync(ApiPlaceOrder.builder()
        .uid(301L)
        .orderId(5001L)
        .price(15_400L)
        .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:

future = api.requestOrderBookAsync(symbolXbtLtc, 10);

GtC orders manipulations:

// 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:

Future<SingleUserReportResult> report = api.processReport(new SingleUserReportQuery(301), 0);

Check system balance:

// check fees collected
Future<TotalCurrencyBalanceReportResult> 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!