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match-engine-core High-performance digital currency, foreign exchange, stock trading, and spot matching engine

Matchmaking system

中文 | English

High-performance digital currency, foreign exchange, stock trading, and spot matching engine

Function list:

    1. Supports multiple trading strategies: FOK, FAK, GTC
    1. Rich open interfaces to facilitate quick access to mainstream payment systems and rapid development
    1. Flexible parameter configuration capability, various transaction parameter configurations take effect in real time
    1. Stable architecture, supporting high concurrency and horizontal expansion

Main Specifications：

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

Latencies HDR Histogram

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.

Features

  • 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).