High-Frequency-Trading-HFT-Order-Matching-Engine

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High-Frequency-Trading-HFT-Order-Matching-Engine

A comprehensive High-Frequency Trading (HFT) Order Matching Engine implemented in modern C++.

Features

  • Price-Time Priority Matching: FIFO within price levels.
  • Lock-Free Communication: Custom RingBuffer for inter-thread messaging.
  • Asynchronous Logging: Non-blocking trade logging to disk.
  • TCP Server: Accepts FIX-like order messages.
  • Client Simulator: Test client for sending orders.
  • Benchmarking: Performance measurement tools.
  • Configurable: Runtime configuration via Config struct.

Architecture

  • Gateway: Parses TCP messages into Orders, queues via RingBuffer.
  • MatchingEngine: Dedicated thread processes orders, matches bids >= asks.
  • Logger: Async thread logs trades.
  • TCPServer: Handles client connections.

Build

mkdir build
cd build
cmake ..
make

Executables: hft_engine, hft_client, hft_benchmark

Run

Server:

./build/hft_engine

Client:

./build/hft_client

Benchmark:

./build/hft_benchmark

Message Format

ORDER|id|symbol|side|price|quantity

Side: B (Buy), S (Sell)

Latency Optimizations

  • Lock-free SPSC RingBuffer.
  • Minimal allocations in hot path.
  • Separate threads for I/O, matching, logging.
  • High-resolution timing.

Project Structure

  • src/: Core engine code.
  • client/: Test client.
  • benchmark/: Performance tests.
  • tests/: Unit tests (placeholder).