/stock-exchange-simulation

Microservices-based stock exchange simulation with order entry gateway, matching engine, clearing & settlement, market data feed etc.

Primary LanguageC++

Stock Exchange Simulation

stock_exchange

This project implements a stock exchange simulation using a microservices architecture. To build and deploy the exchange locally, run

docker compose build
docker compose up

System Overview

Core Services

  • order-entry-gateway

    • Recieves order requests
    • Converts valid order requests into sequenced orders
    • Sends orders to matching-engine
    • Sends order reports to market-data-feed

  • matching-engine

    • Maintains a separate, in-memory order book for each security listed on the exchange
    • Recieves orders and matches them against the corresponding order book
    • Sends execution requests for matched orders to clearinghouse
    • Sends trade reports and price updates to market-data-feed

  • clearinghouse

    • Receives execution requests
    • Clears and settles valid execution requests
    • Sends settlement reports to market-data-feed

  • market-data-feed

    • Recieves and stores data received from every other service
    • Provides an API for data access that includes both REST and WebSocket endpoints

Additional Components

  • Persistence

    The services share a Postgres server with two databases: clearing_data and market_data.

    • clearing_data maintains a record of account balances for traders as well as a securities deposit to track share holdings
    • market_data stores reports from other services, as well as price updates from matching-engine

  • Inter-service communication

    Services communicate via a RabbitMQ server. The server contains a direct exchange named stock_exchange that all messages are published to. This exchange maintains three durable queues to which messages are routed to and consumed from:

    • order_entry
    • order_execution
    • data_feed

  • Market participants

    To simulate market participants, the project includes the trading-bots directory containing Python-based traders. A trader submits orders to the gateway according to a particular strategy (e.g., a random walk).

    market-data-feed offers endpoints for retrieving data related to each trader, such as:

    • /holdings/{securityId}/{clientId}: current share holdings of a trader, for a given security
    • /balance/{clientId}: current account balance of a trader

    Each trader starts with an initial balance of $10,000, which varies based on their trading activity. Hence, trading bots can be tested against each other and evaluated according to their final share holdings and account balances.