A single-process equity exchange written in C++. Clients connect over TCP using the FIX 4.2 protocol to submit orders and receive execution reports. Market data is broadcast over UDP multicast as binary packets. A price-time priority matching engine runs on a dedicated thread.
See docs/ARCHITECTURE.md for the full component diagram and design decisions.
flowchart LR
Clients["Clients\n(FIX 4.2 / TCP\nport 5001)"]
Admin["Admin Client\n(plain TCP\nport 5002)"]
GW["FIX Gateway\n(QuickFIX acceptor)"]
ME["Matching Engine\n(single thread)"]
MDP["Market Data\nPublisher"]
MCast["UDP Multicast\n239.1.1.1:5003"]
Clients -->|"D / F"| GW
GW -->|"8"| Clients
GW -->|"Order / Cancel"| ME
ME -->|"Fill events"| GW
ME -->|"Fill events"| MDP
MDP -->|"binary packets"| MCast
Admin -->|"REGISTER"| ME
See docs/BENCHMARKS.md for methodology, scenario descriptions, and how to run.
Generate results and charts locally:
pip install rich matplotlib
python3 tests/bench.py --count 1000| Dependency | Version | Install |
|---|---|---|
| g++ or clang++ | C++14+ | system |
| CMake | 3.20+ | system |
| QuickFIX | 1.14+ | sudo apt install libquickfix-dev |
| OpenSSL | any | usually pre-installed |
sudo apt install libquickfix-devcmake -B build -DCMAKE_BUILD_TYPE=Debug
cmake --build build -j$(nproc)For a release build:
cmake -B build -DCMAKE_BUILD_TYPE=Release
cmake --build build -j$(nproc)The binary is placed at build/fix-exchange.
./build/fix-exchange config/exchange.cfgThe exchange starts a FIX acceptor on port 5001 and an admin gateway on port 5002. Session logs go to log/ and sequence number state to store/. Both directories are created automatically on first run. See docs/MESSAGES.md for the FIX message reference and UDP market data wire format.
Stop with Ctrl+C or SIGTERM.
To reset sequence numbers between runs, delete store/:
rm -rf store/A browser-based interface for placing orders and watching the live order book. See docs/UI.md for full details.
python3 -m venv .venv && . .venv/bin/activate
pip install -r requirements.txt
python3 ui/main.py # → http://localhost:8080Each server process claims one FIX session from the pool. Run two instances on different ports to get two independent clients that can trade against each other.
The test suite manages the exchange process itself — no manual server start required:
python3 tests/test_exchange.pyThe binary must be built first. Tests connect over raw TCP on port 5001 using hand-rolled FIX framing with no external Python libraries.
The config file is a QuickFIX acceptor config extended with an [EXCHANGE] section. See docs/CONFIGURATION.md for a full reference.
Key settings in config/exchange.cfg:
[DEFAULT]
BeginString=FIX.4.2
DataDictionary=spec/FIX42.xml
FileStorePath=store
FileLogPath=log
SocketAcceptPort=5001
[EXCHANGE]
Symbols=AAPL,MSFT,GOOG,AMZN
AdminPort=5002
MulticastGroup=239.1.1.1
MulticastPort=5003
SessionPool=8