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
Install library into your Maven's local repository by running mvn install
Add the following Maven dependency to your project's pom.xml:
exchange.core2
exchange-core
0.5.0
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 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 report = api.processReport(new SingleUserReportQuery(301), 0);
Check system balance:
// check fees collected
Future 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!