HFT Vega Course

Development of an application for high-frequency trading as part of a course from the Vega Institute.

Usage

Build and run the standalone target

Use the following command to build and run the executable target.

cmake -S standalone -B build/standalone
cmake --build build/standalone
./build/standalone/Greeter --help

Build and run test suite

Use the following commands from the project's root directory to run the test suite.

cmake -S test -B build/test
cmake --build build/test
CTEST_OUTPUT_ON_FAILURE=1 cmake --build build/test --target test

# or simply call the executable:
./build/test/GreeterTests

To collect code coverage information, run CMake with the -DENABLE_TEST_COVERAGE=1 option.

Run clang-format

Use the following commands from the project's root directory to check and fix C++ and CMake source style. This requires clang-format, cmake-format and pyyaml to be installed on the current system.

cmake -S test -B build/test

# view changes
cmake --build build/test --target format

# apply changes
cmake --build build/test --target fix-format

See Format.cmake for details. These dependencies can be easily installed using pip.

pip install clang-format==14.0.6 cmake_format==0.6.11 pyyaml

Build the documentation

The documentation is automatically built and published whenever a GitHub Release is created. To manually build documentation, call the following command.

cmake -S documentation -B build/doc
cmake --build build/doc --target GenerateDocs
# view the docs
open build/doc/doxygen/html/index.html

To build the documentation locally, you will need Doxygen, jinja2 and Pygments installed on your system.

Build everything at once

The project also includes an all directory that allows building all targets at the same time. This is useful during development, as it exposes all subprojects to your IDE and avoids redundant builds of the library.

cmake -S all -B build
cmake --build build

# run tests
./build/test/GreeterTests
# format code
cmake --build build --target fix-format
# run standalone
./build/standalone/Greeter --help
# build docs
cmake --build build --target GenerateDocs

Additional tools

The test and standalone subprojects include the tools.cmake file which is used to import additional tools on-demand through CMake configuration arguments. The following are currently supported.

Sanitizers

Static Analyzers

Static Analyzers can be enabled by setting -DUSE_STATIC_ANALYZER=<clang-tidy | iwyu | cppcheck>, or a combination of those in quotation marks, separated by semicolons. By default, analyzers will automatically find configuration files such as .clang-format. Additional arguments can be passed to the analyzers by setting the CLANG_TIDY_ARGS, IWYU_ARGS or CPPCHECK_ARGS variables.

Ccache

Ccache can be enabled by configuring with -DUSE_CCACHE=<ON | OFF>.

NikolaySimakov/HFT-vega-course