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CoinTossX: An open-source low-latency high-throughput matching engine
arXiv - CS - Distributed, Parallel, and Cluster Computing Pub Date : 2021-02-22 , DOI: arxiv-2102.10925
Ivan Jericevich, Dharmesh Sing, Tim Gebbie

We deploy and demonstrate the CoinTossX low-latency, high-throughput, open-source matching engine with orders sent using the Julia and Python languages. We show how this can be deployed for small-scale local desk-top testing and discuss a larger scale, but local hosting, with multiple traded instruments managed concurrently and managed by multiple clients. We then demonstrate a cloud based deployment using Microsoft Azure, with large-scale industrial and simulation research use cases in mind. The system is exposed and interacted with via sockets using UDP SBE message protocols and can be monitored using a simple web browser interface using HTTP. We give examples showing how orders can be be sent to the system and market data feeds monitored using the Julia and Python languages. The system is developed in Java with orders submitted as binary encodings (SBE) via UDP protocols using the Aeron Media Driver as the low-latency, high throughput message transport. The system separates the order-generation and simulation environments e.g. agent-based model simulation, from the matching of orders, data-feeds and various modularised components of the order-book system. This ensures a more natural and realistic asynchronicity between events generating orders, and the events associated with order-book dynamics and market data-feeds. We promote the use of Julia as the preferred order submission and simulation environment.

中文翻译:

CoinTossX:开源的低延迟高吞吐量匹配引擎

我们部署并演示了CoinTossX低延迟,高吞吐量,开源匹配引擎,以及使用Julia和Python语言发送的订单。我们将展示如何将其部署到小型本地台式机测试中,并讨论更大规模的本地托管,以及同时管理和由多个客户管理的多种交易工具。然后,我们考虑到大型工业和仿真研究用例,使用Microsoft Azure演示了基于云的部署。该系统通过使用UDP SBE消息协议的套接字公开并与之交互,并且可以使用使用HTTP的简单Web浏览器界面进行监视。我们提供一些示例,展示如何将订单发送到系统以及使用Julia和Python语言监控的市场数据供稿。该系统是用Java开发的,使用Aeron Media Driver作为低延迟,高吞吐量消息传输,通过UDP协议以二进制编码(SBE)提交订单。该系统将订单生成和仿真环境(例如基于代理的模型仿真)与订单,数据馈送和订单簿系统的各种模块化组件的匹配分开。这样可以确保生成订单的事件以及与订单簿动态和市场数据馈送相关的事件之间更自然,更现实的异步性。我们提倡使用Julia作为首选的订单提交和模拟环境。从订单,数据馈送和订单簿系统的各种模块化组件的匹配中得出。这样可以确保生成订单的事件以及与订单簿动态和市场数据馈送相关的事件之间更自然,更现实的异步性。我们提倡使用Julia作为首选的订单提交和模拟环境。从订单,数据馈送和订单簿系统的各种模块化组件的匹配中得出。这样可以确保生成订单的事件以及与订单簿动态和市场数据馈送相关的事件之间更自然,更现实的异步性。我们提倡使用Julia作为首选的订单提交和模拟环境。
更新日期:2021-02-23
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