vots

Very optimized trading system (vots) is a trading system developed in C++ and optimized for low latency operation.

Optimizations:

• Custom TCP and UDP socket programming for fast communication between trading ecosystem components.
• Concurrent execution framework that avoids context switching overhead.
  • Generic threading library with support for CPU core pinning.
  • Lock-free queues for sharing data between threads without blocking.
• Bespoke memory allocator and manager to avoid dynamic allocations and improve spatial locality.
• Asynchronous logger with efficient string operations to reduce I/O cost.

Components:

Trading Exchange

• Matching Engine
  • Limit Order Book
• Order Gateway Server
• Market Data Publisher

Market Participant

• Trading Engine
  • Feature Engine (tracking Fair Market Price & Aggressive Trade Quantity Ratio)
  • Order Manager
  • Risk Manager (tracking pre-trade risk)
  • Position Keeper
  • Liquidity Taker & Market Maker trading strategies
• Order Gateway Client
• Market Data Consumer

Running:

Vots was developed on ubuntu 22.04 for ARM architecture. To run and test it out on other machines, use the following to start a Docker container with the program files:

docker-compose build

docker-compose up -d

docker-compose exec dev bash

To run the entire system, a bash script is provided with the sample input of five clients. Note that this may be too many for most computers, and you can comment out clients as needed:

cd scripts && ./run_system.sh

Tear down:

docker-compose down