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 in Typescript using Lit and the Rest api, 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

90k+ round-trip quotes per second with an average latency of 1ms

updates per second 72707, max ups 72707,  avg rtt 832us, 10% rtt 595us 99% rtt 5365us
updates per second 90279, max ups 90279,  avg rtt 830us, 10% rtt 0us 99% rtt 4515us
updates per second 89215, max ups 90279,  avg rtt 840us, 10% rtt 0us 99% rtt 4851us

using marketmaker -bench 250 -proto grpc

400k+ round-trip quotes per second with an average latency of 600us

updates per second 410094, max ups 414584,  avg rtt 609us, 10% rtt 0us 99% rtt 2390us
updates per second 411559, max ups 414584,  avg rtt 607us, 10% rtt 0us 99% rtt 2455us
updates per second 412884, max ups 414584,  avg rtt 605us, 10% rtt 0us 99% rtt 2270us

The CPUs are saturated on both the client and server.

less than 3 microseconds 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

robaho/go-trader