README
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go-trader
A financial exchange written in Go including complete order book, fix protocol, and market data distribution.
Check out cpp_orderbook for a basic C++ version.
Uses quickfixgo or gRPC for client/server communication.
Uses UDP multicast for market distribution.
It uses the high-performance fixed point library fixed which I also developed.
There is a sample client with a command line GUI, a sample "market maker", and a sample "playback".
The exchange itself has a bare bones web interface, that uses web sockets to provide real-time book updates.
The exchange is designed to allow for easy back-testing of trading strategies. It supports limit and market orders.
There is a very simple sample "algo". The program structure is applicable to many strategies that use an entry and exit price. This can be run in conjunction with the 'marketmaker' sample to test the "algo". Hint: it has a 50/50 chance of being successful EXCEPT the market maker bid/ask spread must be accounted for - which makes it far less than a 50/50 chance of being profitable...
There are two different web interfaces available:
- the default interface at / uses Go templates and server side rendering
- the alternative UI is written with Lit, and is available at /lit
Use npm run build in the web_lit directory to build the Lit assets.
It was primarily developed to further my knowledge of Go and test its suitability for high-performance financial applications.
install
go get github.com/robaho/go-trader
build
go install github.com/robaho/go-trader/cmd/exchange
go install github.com/robaho/go-trader/cmd/client
go install github.com/robaho/go-trader/cmd/marketmaker
go install github.com/robaho/go-trader/cmd/playback
run
cd $GOPATH/src/github.com/robaho/go-trader/cmd
exchange &
marketmaker -symbol IBM
client
performance
Configuration:
- client machine is a Mac Mini M1, running OSX Sonoma
- server machine is a 4.0 ghz i7 iMac (4 core, 8 thread), running OSX Monterey
- using 1 gbit ethernet connection
- a quote is a double-sided (bid & ask)
- timings are measured from the quote message generation on the client, to the reception of the multicast market data on the client
using marketmaker -bench 75 -proto fix
75k+ round-trip quotes per second with an average latency of 1ms
using marketmaker -bench 150 -proto grpc
300k+ round-trip quotes per second with an average latency of 500us
The CPUs are saturated on both the client and server.
3 microsecs per roundtrip quote over the network !
REST api
access full book (use guest/password to login)
localhost:8080/api/book/SYMBOL
localhost:8080/api/stats/SYMBOL
screen shots
Directories