QuickTrade

This project was created as an exercise to test and implement a variety of techniques in an ultra-low-latency environment.

Goals

• Write human readable view of in-memory book every 10 messages
• Write machine-readable series of mid-quotes
• On each trade message, write total quantity traded at most recent trade price
• Gracefully handle various garbage messages

Development and Testing Environment

• Processor: Apple M2
• OS: macOS v15.1.1
• Kernel: v24.1.0
• Clang Version: Apple clang version 16.0.0
• Boost Version: v1.86.0
• Perl Version: v5.34.1

Creating a sample Input File

To create a sample input for this project, execute the following command:

  perl OrderGenerator.pl > orders.txt

Running Tests

To run tests, execute the following commands:

  chmod +x runTest.sh
  ./runTest.sh

Running Build

To run the build of this project, execute the following commands:

  chmod +x runBuild.sh
  ./runBuild.sh

Performance Metrics

Performance results for [testLogger()] (unit: nanoseconds)
  Samples:         1000
  Min:              816
  Max:           133762
  Mean:            1361
  Median:           898
  
  [Percentiles]
  10th:             857
  20th:             857
  50th:             898
  70th:             980
  90th:            1021
  95th:            1061
  99th:            3961

[Feed Handler Statistics]
  Corrupt Messages                      782
  Good Messages:                     116377
  Duplicate Adds:                        66
  Trades Missing Orders:                703
  Cancels for Missing ID's:             723
  Modifies for Missing ID's:            734
  Crossed Book:                       20005
  Invalid Quantities:                   732
  Invalid Prices:                       870
  Invalid IDs:                          739