HFT Engine

A high-performance, real-time order book created in C++ and a simulator with a web interface created in Python.

Live Demo

Live demo at hft-engine.onrender.com

Note: The demo takes approximately 30 seconds to load on first visit due to Render's cold start policy.

Features

• Simulated market generated using jump diffusion price modeling and orders using the Hawkes process
• Real-time order book, price chart, and trade tape visualization
• Shared and unique locks used to allow concurrent reads and thread-safe writes in order book.

Order Types

1. Market Orders

   • Immediate execution at the best available price
   • No price specified, takes liquidity from the order book

2. Limit Orders

   • Execution at a specified price or better
   • Adds liquidity to the order book
   • Can be partially filled

3. Iceberg Orders

   • Large orders split into smaller visible portions
   • Helps hide true order size
   • Maintains a specified display size

4. TWAP (Time-Weighted Average Price) Orders

   • Splits orders into equal slices over a specified duration
   • Reduces market impact
   • Configurable number of slices

5. Trickle Orders

   • Random-sized slices with random time intervals
   • More natural order flow appearance
   • Configurable min/max slice sizes and pause times