mkdir build && cd build
cmake ..
make
This will build the header-only libraries and test suites.
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.
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.