github.com/cyanly/gotrade

GoTrade is a FIX protocol electronic trading and order management system written in Golang, structured for typical multi-asset instituional use

Status

This project is currently more of a proof of concept. It is no where near in completeness of a commerical product. This public repo serves as mostly for the purpose of experimenting and share of ideas.

Getting Started

$ go get -u github.com/cyanly/gotrade

Features

• [x] Trade in real-time via FIX through the broker-neutral API.
• [x] Normalized FIX order flow behavior across multiple FIX versions and asset classes.
• [x] Pure Go.
  • [x] Platform neutral: write once, build for any operating systems and arch (Linux/Windows/OSX etc).
  • [x] Native code performance.
  • [x] Ease of deployment.
  • [x] Lack of OOP verbosity, works for small and big teams.
• [x] Protobuf.
  • [x] Binary encoding format, efficient yet extensible.
  • [x] Easy Language Interoperability (C++, Python, Java, C#, Javascript, etc).
  • [x] Protocol backward compatibility.

Design

└─ gotrade/
   ├─ core/                 -> The low-level API that gives consumers all the knobs they need
   │  ├─ order/
   │  │  └─ execution/
   │  ├─ service/
   └─ proto/...             -> Protobuf messaging protocol of various entities
   └─ services/             -> Core services managing multi-asset order flow
   │  ├─ orderrouter/       -> Centralized management facility for multi-asset global order flow
   │  ├─ marketconnectors/  -> Managing FIX connection to each trading venue, also performs pre-trade risk checks
   │
   └─cmd/...                -> Command-line executables, binary build targets

Examples

Pre-Requisites:

• Go 1.4 or higher
• go get github.com/erikstmartin/go-testdb
• go get github.com/nats-io/gnatsd

The best way to see goTrade in action is to take a look at tests (see Benchmark section below):
OrderRouter and MarketConnector test cases will mock a testdb and messaging bus for end-to-end, message to message test.

$ cd $GOPATH/src/github.com/cyanly/gotrade/services/orderrouter
$ go test -v 

$ cd $GOPATH/src/github.com/cyanly/gotrade/services/marketconnectors/simulator
$ go test -v 

Benchmark

Machine: Intel Core i5 CPU @ 2.80GHz` + `Ubuntu 14.04 Desktop x86_64

• test/benchmark/client2fix_test.go
• CL ⇒ OR:
  Client send order protobuf to OrderRouter(OR)
• OR ⇒ MC:
  OrderRouter process order and dispatch persisted order entity to target MarketConnector
• MC ⇒ FIX:
  MarketConnector translate into NewOrderSingle FIX message based on the session with its counterparty
• FIX ⇒ MC:
  MarketConnector received FIX message on its order, here Simulator sending a fully FILL execution
• EXE ⇒ CL:
  MarketConnector publish processed and persisted Execution onto messaging bus, here our Client will listen to

Included:

• from order to FIX to a fully fill execution message to execution protobuf published back
• serialsing/deserialsing mock order into protobuf messages
• Request/Publish and Response/Subscribe via NATS.io message bus
• Time spent in the Linux TCP/IP stack
• Decode FIX messages and reply by a simulated broker

Excluded:

• Database transaction time (hard-wired to an inline mock DB driver)

Result: 0.176ms per op, 5670 order+fill pairs per sec