This is a long-term project devoted to building open-source trading technologies that meet state-of-the-art performance and reliability standards. The idea is to provide building blocks that fintech companies can reuse to build the next class of innovative financial products.
mkdir build && cd build
cmake ..
make
This will build the header-only libraries and test suites.
Building small, reusable, and testable components and abstractions that remain relevant as use cases and technologies evolve.
| module | lang | description | release |
|---|---|---|---|
| book | C++ | a modular, extensible, high-throughput limit order book | released |
| depth | C++ | an aggregate depth order book with arbitrary precision and number of levels | released |
| margin-utils | C++ | a set of utility classes for margin trading and automatic liquidation | upcoming |
| mm-quotes | C++ | generates orders given a stream of quotes from market makers | upcoming |
| router | C++ | seamless, real-time routing of orders to multiple external exchanges. integrates with the limit order book via the routable plugin. | upcoming |
| observer | C++ | a template-based wrapper for implementing the observer pattern. Can use Intel TBB Concurrent Queues or lock-free queues under the hood. | upcoming |
| ohlc | C++ | incremental generation of OHLC data and indicators given a stream of trade data. | upcoming |
| clearing-house | C++ | real-time balance settlement and netting given a stream of trade data. also performs fees/rebates calculations | upcoming |
| wsfix | C++ | streams market data via WebSocket compressed with the FAST algorithm. includes a WebAssembly package for decompression | upcoming |
| depth-chart | JS | a real-time, interactive depth chart built with D3 | upcoming |
This project is created and currently maintained by L. Bensaadi. If you are interested in contributing, feel free to contact me.