Orderbook Trading

Overview

This project demonstrates a time-priority based orderbook where clients react to subscribed price events and make trading decisions.

Information:

• Architecture Components: Overview of components and their relationships
• End-to-end sequence diagrams: Example use cases from price generation to trading
• Client & Orderbook decisions: How services perform decisions based on events
• Instrument Subscriptions: Client-Gateway instrument subscription handling
• Execution delivery: Queue, scan, and replay limits between the orderbook gateway and the client

Usage

The services are run in docker-compose via just commands but you may use docker commands directly from the justfile.

Build Services

This builds the price generator, price aggregator, market data gateway, client, orderbook, and orderbook gateway programmes.

just build

To build a specific service check the justfile.

Start Services

The default starts with 10 clients, 5 orderbook gateways, and 5 orderbooks (1 gateway and 1 orderbook for each instrument).

just start

To start with a different number of clients specify a number

just start 5

To view telemetry about the services navigate to http://localhost:3000/dashboards

Stop Services

The services are in-memory however telemetry is persistent.

Stop and retain telemetry

just stop

Stop and delete telemetry

just remove