Synopsis

A equity exchange order matching engine implemented in Q running on KDB+.

Motivation

The best way of learning something is actually doing it, I'm learning KDB+ and Q by implementing a fully featured exchange order matching engine. Feactures/TODOs will be changed/udpated as I progress.

Installation

It is developed and tested on MacOS only at this monment.

Steps for installation and verification:

1. Download and install KDB+ personal edition on default path;
2. Download/Clone the repository;
3. Edit global.q to modify data directories accordingly;
4. Run server from command line: ./q qex/main.q -p 5000
5. Run client from another command line: ./q
6. Test in KDB+ console

h:hopen (`::5000:`brokera:`password)

o1:(`sym`side`otype`osize) ! (`ABC;`BUY;`MARKET;100)

o2:(`sym`side`otype`timeinforce`osize`limitprice) ! (`ABC;`BUY;`LIMIT;`GOODFORDAY;100;500)

h(`.qex.Submit; `NEW; o1)
h(`.qex.Submit; `NEW; o2)

o:(`id`sym) ! (2;`ABC)
h(`.qex.Submit; `CANCEL; o)

7. Open another console as brokerb

h:hopen (`::5000:`brokerb:`password)

o1:(`sym`side`otype`osize) ! (`ABC;`SELL;`MARKET;10)

o2:(`sym`side`otype`timeinforce`osize`limitprice) ! (`ABC;`SELL;`LIMIT;`GOODFORDAY;10;500)

h(`.qex.Submit; `NEW; o1)
h(`.qex.Submit; `NEW; o2)

o:(`id`sym) ! (2;`ABC)
h(`.qex.Submit; `CANCEL; o)

Usage

TO be added.

Tests

Use qCumber to run the test, assume KX developer is installed at $AXLIBRARIES_HOME and configured in your Q environment.

\l $AXLIBRARIES_HOME/qcumber.q_
.qu.runTestFolder `:tests/

Performance Tests

TO be added.

TODO

• Coding style check
• Unit testing
• Refactor code to use vector language style instead of procedure
• More client APIs (Market data)
• A market maker implementation
• A member implementation (algo trading)
• Performance Testing
• GUI
• use CUDA for performance optimization