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
- 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).
- Install library into your Maven's local repository by running
mvn install - Add the following Maven dependency to your project's
pom.xml:
<dependency>
<groupId>exchange.core2</groupId>
<artifactId>exchange-core</artifactId>
<version>0.5.3</version>
</dependency>
Alternatively, you can clone this repository and run the example test.
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<ISerializationProcessor> 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<SingleUserReportResult> report = api.processReport(new SingleUserReportQuery(301), 0);Check system balance:
// check fees collected
Future<TotalCurrencyBalanceReportResult> totalsReport = api.processReport(new TotalCurrencyBalanceReportQuery(), 0);
System.out.println("LTC fees collected: " + totalsReport.get().getFees().get(currencyCodeLtc));- 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
- 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
Exchange-core is an open-source project and contributions are welcome!
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