Live High-Frequency Trading Exchange Engine

Overview

This project is a high-performance, low-latency exchange engine designed for High-Frequency Trading (HFT). It provides efficient order matching, real-time market data processing, and concurrent trade execution using optimized C++ code and lock-free data structures.

The engine is built with multi-threading, memory pooling, and low-latency networking to ensure rapid trade execution and seamless order processing. It is suitable for hedge funds, proprietary trading firms, and developers building their own exchange infrastructure.

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Features

• Ultra-low latency order matching using efficient lock-free queues
• Multi-threaded architecture for handling high trade volumes
• Memory pool management for optimized performance
• Logging and debugging support for monitoring exchange activity
• Modular C++ design for easy expansion and customization
• Build system using CMake for easy compilation

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Directory Structure

Live-High-Frequency-Trading-Exchange-Engine/  
│── .ccls-cache/                        # Cached files for CCLS (C++ language server)  
│── .idea/                               # JetBrains IDE configuration files  
│── .vscode/                             # VS Code settings and configurations  
│── Exchange Matching Engine/            # Core components of the exchange engine  
│── ExecutablesFile✅/                    # Stores compiled executable files  
│── build/                               # Build output directory  
│── cmake-build-debug/                   # Debug mode build artifacts  
│── cmake-build-release/                 # Release mode build artifacts  
│── CMakeLists.txt                        # CMake configuration for building the project  
│── LockFreeQueue.cpp                     # Implementation of a lock-free queue  
│── LockFreeQueues.h                      # Header file for lock-free queue  
│── SocketApi.h                           # Socket API definitions for networking  
│── logger.cpp                            # Logging implementation  
│── logging.h                             # Logging header file  
│── macros.h                              # Project-wide macro definitions  
│── main.cpp                              # Main entry point of the application  
│── memory_pool.cpp                       # Memory pool implementation  
│── memory_pool.h                         # Memory pool header file  
│── thread.cpp                            # Thread management implementation  
│── thread_utils.h                        # Thread utility functions  
│── thread_utils.tpp                      # Thread-related template definitions  
│── time_utils.h                          # Time utility functions  

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How the Project Works

1. Order Matching Engine

The Exchange Matching Engine is responsible for:

• Receiving incoming orders (buy/sell)
• Matching them using an order book
• Executing trades and updating market data

2. Lock-Free Queues for Low-Latency Processing

The project uses lock-free queues (from LockFreeQueue.cpp) to handle large volumes of order data without blocking threads, ensuring maximum throughput.

3. Networking with Socket API

SocketApi.h provides network communication functionality, allowing external clients to connect and send trading instructions to the engine.

4. Multi-Threaded Trade Execution

• Uses thread_utils.h for efficient parallel processing of orders.
• memory_pool.cpp ensures efficient memory allocation for order processing.
• Orders are stored, matched, and executed in real-time.

5. Logging & Debugging Support

• logger.cpp provides real-time logging of exchange activity.
• Debugging tools allow monitoring of trade execution performance.

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Installation & Setup

Prerequisites

Make sure you have the following installed:

• C++ Compiler (GCC/Clang/MSVC)
• CMake (Version 3.10 or later)
• Linux/macOS/Windows (Linux is recommended for production HFT environments)

Build Instructions

1. Clone the repository:

   git clone https://github.com/ranjan2829/Live-High-Frequency-Trading-Exchange-Engine.git
   cd Live-High-Frequency-Trading-Exchange-Engine

2. Create a build directory and run CMake:

   mkdir build && cd build
   cmake ..
   make -j4  # Use multiple cores for faster compilation

3. Run the exchange engine:

   ./exchange_engine

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How to Use

Step 1: Start the Matching Engine

Run the compiled executable:

./exchange_engine

This will start the order-matching process and wait for incoming trading requests.

Step 2: Connect via Socket API

Use a trading client to send orders via SocketApi.h. Example request format:

BUY 100 AAPL 150.25  
SELL 50 TSLA 200.75  

Step 3: Monitor Logs

Check logger.cpp for trade execution logs:

tail -f trade_logs.txt

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Performance Optimization

• Memory Pooling reduces heap allocations.
• Lock-Free Queues avoid thread blocking.
• Efficient Multithreading enables parallel order processing.

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Future Enhancements

• Implement FIX protocol for standard trade messaging.
• Add REST API for easier integrations.
• Improve latency profiling with hardware-based timestamping.

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License

This project is private. If you are interested in purchasing a license, please contact the owner.

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Contact

For any queries or licensing, please contact Ranjan at:

• GitHub: @ranjan2829

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🚀 Happy Trading! 🚀