Electronic Exchange 📡 📈 💵

This is a program to demonstrate key components of an electronic exchange via C++ and ASIO.

Features 💡

1. Efficient Limit Order Book 💨:
   1. Add and cancel orders in O(1) time complexity.
   2. Executions are done in O(log k), where k is the size of the best matching price.
2. Custom Server-Client interface 📶
   1. Net Repository is a custom server-client interface built using ASIO for low-level server-client communication via TCP.
   2. The ExchangeServer.h is a sample implementation of the net_server.h interface of the Net Repository. This file can be expanded to implement additional functionality such as more sophisticated client authentication.
   3. The MarketParticipantSample.cpp is a sample implementation of the net_client.h interface of the Net Repository. This file can be expanded to implement additional functionality such as automated order placement based on quantitative models.
3. Database Support 💾
   1. All orders, executions, client information, and registered instruments are synced with a database to save and recover the state of the exchange.

Installation 🔧

1. Install PostgreSQL.
2. Use the SQL script located in Exchange/DB/exchange.sql to set up the database on your local system.
3. Install pqxx.
   1. Edit the CMakeLists.txt to correctly link the pqxx library to the program.
4. Install ASIO.
   1. Edit the CMakeLists.txt to correctly link the ASIO library to the program.
   2. Ensure you have ASIO_STANDALONE defined to avoid using the Boost version.
5. Clone the Net Repository.
   1. Edit the CMakeLists.txt to correctly link the Net library to the program.
6. Run the Server application: LimitOrderBook.
7. Set up the database using option 0.
8. Ensure you have clients registered and instruments listed.
   1. Set the client IP as 127.0.0.1 since all connections will be local.
9. Start the server using option 3.
10. Run sample client application: Client 1.
11. Run sample client application: Client 2.
12. You should now be able to connect with registered client names to the server and send in your orders.

Order Book Files

1. OrderBookManager.h: Holds pointers to all active LOB objects.
2. LOB.h: Maintains several data structures to provide efficient operations for the limit order book.
3. Limit.h: Defines a limit object as a doubly linked list of orders to be used in a binary tree.
4. Execution.h: Defines an execution object to store necessary information for an execution.
5. Order.h: Defines an order object with all necessary information to operate the limit order book.

Some Implementation Notes

1. MessagingQueue.h: Thread-Safe Queue.
2. CentralMessageSystem.h: The application uses a publisher-subscriber pattern to distribute messages to different components. Each class can subscribe to a message topic using a callback function. The CentralMessageSystem acts as a dispatcher by constantly dispatching messages to the subscribers of that message type. All messages are stored as pointers, so their type can be determined at runtime.
3. DBConnection.h: The application uses a PostgreSQL database to store data. The DBConnection.h class provides an instance of a connection to the database with an API called query. This API writes queries to a connected database and returns the results.

Contribution 🤝

1. Expansion: I would love to see new ideas to expand this project. Feel free to submit pull requests for proposed changes and expansions.
2. Python Integration: If anyone is interested in exposing Python API's for this library please contact me, as Python and C++ integration really interests me.

Contact - Issues 📬

1. If you have any issues, feel free to open an issue on the repo.
2. If your issue is not resolved, feel free to contact me via email.