From 886eb0710daeaf81e88c00b842566acb94568090 Mon Sep 17 00:00:00 2001 From: robert engels Date: Wed, 19 Feb 2020 09:53:16 -0600 Subject: [PATCH 01/52] Create LICENSE --- LICENSE | 674 ++++++++++++++++++++++++++++++++++++++++++++++++++++++++ 1 file changed, 674 insertions(+) create mode 100644 LICENSE diff --git a/LICENSE b/LICENSE new file mode 100644 index 0000000..f288702 --- /dev/null +++ b/LICENSE @@ -0,0 +1,674 @@ + GNU GENERAL PUBLIC LICENSE + Version 3, 29 June 2007 + + Copyright (C) 2007 Free Software Foundation, Inc. + Everyone is permitted to copy and distribute verbatim copies + of this license document, but changing it is not allowed. + + Preamble + + The GNU General Public License is a free, copyleft license for +software and other kinds of works. + + The licenses for most software and other practical works are designed +to take away your freedom to share and change the works. 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If not, see . + +Also add information on how to contact you by electronic and paper mail. + + If the program does terminal interaction, make it output a short +notice like this when it starts in an interactive mode: + + Copyright (C) + This program comes with ABSOLUTELY NO WARRANTY; for details type `show w'. + This is free software, and you are welcome to redistribute it + under certain conditions; type `show c' for details. + +The hypothetical commands `show w' and `show c' should show the appropriate +parts of the General Public License. Of course, your program's commands +might be different; for a GUI interface, you would use an "about box". + + You should also get your employer (if you work as a programmer) or school, +if any, to sign a "copyright disclaimer" for the program, if necessary. +For more information on this, and how to apply and follow the GNU GPL, see +. + + The GNU General Public License does not permit incorporating your program +into proprietary programs. If your program is a subroutine library, you +may consider it more useful to permit linking proprietary applications with +the library. If this is what you want to do, use the GNU Lesser General +Public License instead of this License. But first, please read +. From 6567edccb1d50873c3e4338b6c87eed3a4be0dbb Mon Sep 17 00:00:00 2001 From: robert engels Date: Mon, 20 Apr 2020 18:42:36 -0500 Subject: [PATCH 02/52] Update README.md --- README.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/README.md b/README.md index 689c822..891d124 100644 --- a/README.md +++ b/README.md @@ -1,6 +1,6 @@ # go-trader -A financial exchange written in Go. +A financial exchange written in Go including complete order book, fix protocol, and market data distribution. Uses quickfixgo or gRPC for client/server communication. From 2e6cf750e0f21a9d498c40778de84fc761318014 Mon Sep 17 00:00:00 2001 From: robert engels Date: Sat, 16 Dec 2023 21:40:04 -0600 Subject: [PATCH 03/52] add go module support --- go.mod | 32 +++++++++++++++++++++++++++++ go.sum | 65 ++++++++++++++++++++++++++++++++++++++++++++++++++++++++++ 2 files changed, 97 insertions(+) create mode 100644 go.mod create mode 100644 go.sum diff --git a/go.mod b/go.mod new file mode 100644 index 0000000..fc92118 --- /dev/null +++ b/go.mod @@ -0,0 +1,32 @@ +module github.com/robaho/go-trader + +go 1.21.0 + +require ( + github.com/VividCortex/gohistogram v1.0.0 + github.com/gernest/hot v0.0.0-20171015095712-0f9b762dc7c0 + github.com/golang/protobuf v1.5.3 + github.com/pkg/errors v0.9.1 + github.com/quickfixgo/enum v0.1.0 + github.com/quickfixgo/field v0.1.0 + github.com/quickfixgo/fix44 v0.1.0 + github.com/quickfixgo/quickfix v0.9.0 + github.com/robaho/fixed v0.0.0-20230815003229-929de1ea03c3 + github.com/robaho/gocui v0.3.0 + github.com/shopspring/decimal v1.3.1 + golang.org/x/net v0.19.0 + google.golang.org/grpc v1.60.0 +) + +require ( + github.com/armon/go-proxyproto v0.1.0 // indirect + github.com/fsnotify/fsnotify v1.7.0 // indirect + github.com/mattn/go-runewidth v0.0.9 // indirect + github.com/nsf/termbox-go v1.1.1 // indirect + github.com/quickfixgo/tag v0.1.0 // indirect + golang.org/x/sys v0.15.0 // indirect + golang.org/x/text v0.14.0 // indirect + google.golang.org/genproto/googleapis/rpc v0.0.0-20231002182017-d307bd883b97 // indirect + google.golang.org/protobuf v1.31.0 // indirect + gopkg.in/fsnotify.v1 v1.4.7 // indirect +) diff --git a/go.sum b/go.sum new file mode 100644 index 0000000..b16bc34 --- /dev/null +++ b/go.sum @@ -0,0 +1,65 @@ +github.com/VividCortex/gohistogram v1.0.0 h1:6+hBz+qvs0JOrrNhhmR7lFxo5sINxBCGXrdtl/UvroE= +github.com/VividCortex/gohistogram v1.0.0/go.mod h1:Pf5mBqqDxYaXu3hDrrU+w6nw50o/4+TcAqDqk/vUH7g= +github.com/armon/go-proxyproto v0.1.0 h1:TWWcSsjco7o2itn6r25/5AqKBiWmsiuzsUDLT/MTl7k= +github.com/armon/go-proxyproto v0.1.0/go.mod h1:Xj90dce2VKbHzRAeiVQAMBtj4M5oidoXJ8lmgyW21mw= +github.com/davecgh/go-spew v1.1.1 h1:vj9j/u1bqnvCEfJOwUhtlOARqs3+rkHYY13jYWTU97c= +github.com/davecgh/go-spew v1.1.1/go.mod h1:J7Y8YcW2NihsgmVo/mv3lAwl/skON4iLHjSsI+c5H38= +github.com/fsnotify/fsnotify v1.7.0 h1:8JEhPFa5W2WU7YfeZzPNqzMP6Lwt7L2715Ggo0nosvA= +github.com/fsnotify/fsnotify v1.7.0/go.mod h1:40Bi/Hjc2AVfZrqy+aj+yEI+/bRxZnMJyTJwOpGvigM= +github.com/gernest/hot v0.0.0-20171015095712-0f9b762dc7c0 h1:MPCE/0Mv8AeAdMbsCHtnCzJGAolmelhvVskLRFj3Itc= +github.com/gernest/hot v0.0.0-20171015095712-0f9b762dc7c0/go.mod h1:5kHRa4zL3iFMaTlmfEQpfJ5yB+W3Um3KGJBBbDui308= +github.com/golang/protobuf v1.5.0/go.mod h1:FsONVRAS9T7sI+LIUmWTfcYkHO4aIWwzhcaSAoJOfIk= +github.com/golang/protobuf v1.5.3 h1:KhyjKVUg7Usr/dYsdSqoFveMYd5ko72D+zANwlG1mmg= +github.com/golang/protobuf v1.5.3/go.mod h1:XVQd3VNwM+JqD3oG2Ue2ip4fOMUkwXdXDdiuN0vRsmY= +github.com/google/go-cmp v0.5.5/go.mod h1:v8dTdLbMG2kIc/vJvl+f65V22dbkXbowE6jgT/gNBxE= +github.com/google/go-cmp v0.5.9 h1:O2Tfq5qg4qc4AmwVlvv0oLiVAGB7enBSJ2x2DqQFi38= +github.com/google/go-cmp v0.5.9/go.mod h1:17dUlkBOakJ0+DkrSSNjCkIjxS6bF9zb3elmeNGIjoY= +github.com/mattn/go-runewidth v0.0.9 h1:Lm995f3rfxdpd6TSmuVCHVb/QhupuXlYr8sCI/QdE+0= +github.com/mattn/go-runewidth v0.0.9/go.mod h1:H031xJmbD/WCDINGzjvQ9THkh0rPKHF+m2gUSrubnMI= +github.com/mattn/go-sqlite3 v1.14.18 h1:JL0eqdCOq6DJVNPSvArO/bIV9/P7fbGrV00LZHc+5aI= +github.com/mattn/go-sqlite3 v1.14.18/go.mod h1:2eHXhiwb8IkHr+BDWZGa96P6+rkvnG63S2DGjv9HUNg= +github.com/nsf/termbox-go v1.1.1 h1:nksUPLCb73Q++DwbYUBEglYBRPZyoXJdrj5L+TkjyZY= +github.com/nsf/termbox-go v1.1.1/go.mod h1:T0cTdVuOwf7pHQNtfhnEbzHbcNyCEcVU4YPpouCbVxo= +github.com/pkg/errors v0.9.1 h1:FEBLx1zS214owpjy7qsBeixbURkuhQAwrK5UwLGTwt4= +github.com/pkg/errors v0.9.1/go.mod h1:bwawxfHBFNV+L2hUp1rHADufV3IMtnDRdf1r5NINEl0= +github.com/pmezard/go-difflib v1.0.0 h1:4DBwDE0NGyQoBHbLQYPwSUPoCMWR5BEzIk/f1lZbAQM= +github.com/pmezard/go-difflib v1.0.0/go.mod h1:iKH77koFhYxTK1pcRnkKkqfTogsbg7gZNVY4sRDYZ/4= +github.com/quickfixgo/enum v0.1.0 h1:TnCPOqxAWA5/IWp7lsvj97x7oyuHYgj3STBJlBzZGjM= +github.com/quickfixgo/enum v0.1.0/go.mod h1:65gdG2/8vr6uOYcjZBObVHMuTEYc5rr/+aKVWTrFIrQ= +github.com/quickfixgo/field v0.1.0 h1:JVO6fVD6Nkyy8e/ROYQtV/nQhMX/BStD5Lq7XIgYz2g= +github.com/quickfixgo/field v0.1.0/go.mod h1:Zu0qYmpj+gljlB2HgpUt9EcTIThs2lIQb8C57qbJr8o= +github.com/quickfixgo/fix44 v0.1.0 h1:g/rTl6mXDlG7iIMbY7zaPbHcj9N/B+tteOZ01yGzeSQ= +github.com/quickfixgo/fix44 v0.1.0/go.mod h1:d6Ia02Eq/JYgKCn/2V9FHxguAl1Alp/yu/xVpry82dA= +github.com/quickfixgo/quickfix v0.9.0 h1:WshR3GUSxR69ZrSQfppKs2zZ12dTYtU3JUgQg+PAOdA= +github.com/quickfixgo/quickfix v0.9.0/go.mod h1:t5Z881dOZ2Dz5vM6KIbMCx3YpAiFPFf/iCLCSn91Qqo= +github.com/quickfixgo/tag v0.1.0 h1:R2A1Zf7CBE903+mOQlmTlfTmNZQz/yh7HunMbgcsqsA= +github.com/quickfixgo/tag v0.1.0/go.mod h1:l/drB1eO3PwN9JQTDC9Vt2EqOcaXk3kGJ+eeCQljvAI= +github.com/robaho/fixed v0.0.0-20230815003229-929de1ea03c3 h1:z2AXOxvJ7rXsbyv3s9NIZBKAJgEtSE6/lR/TWafkm0w= +github.com/robaho/fixed v0.0.0-20230815003229-929de1ea03c3/go.mod h1:9YjDu6DCo4pkAT+5VYIW1CPk2nh9CnvT/x5YfhSYlnQ= +github.com/robaho/gocui v0.3.0 h1:xX5dcUDCUlO/xXA6Jzh979t+7tLkLM4KeToIioJrfrE= +github.com/robaho/gocui v0.3.0/go.mod h1:pGoMrUaM3DO8ORottR2+ffXjklvRVW0pUnXF77AK6Ow= +github.com/shopspring/decimal v1.3.1 h1:2Usl1nmF/WZucqkFZhnfFYxxxu8LG21F6nPQBE5gKV8= +github.com/shopspring/decimal v1.3.1/go.mod h1:DKyhrW/HYNuLGql+MJL6WCR6knT2jwCFRcu2hWCYk4o= +github.com/stretchr/objx v0.5.0 h1:1zr/of2m5FGMsad5YfcqgdqdWrIhu+EBEJRhR1U7z/c= +github.com/stretchr/objx v0.5.0/go.mod h1:Yh+to48EsGEfYuaHDzXPcE3xhTkx73EhmCGUpEOglKo= +github.com/stretchr/testify v1.8.4 h1:CcVxjf3Q8PM0mHUKJCdn+eZZtm5yQwehR5yeSVQQcUk= +github.com/stretchr/testify v1.8.4/go.mod h1:sz/lmYIOXD/1dqDmKjjqLyZ2RngseejIcXlSw2iwfAo= +golang.org/x/net v0.19.0 h1:zTwKpTd2XuCqf8huc7Fo2iSy+4RHPd10s4KzeTnVr1c= +golang.org/x/net v0.19.0/go.mod h1:CfAk/cbD4CthTvqiEl8NpboMuiuOYsAr/7NOjZJtv1U= +golang.org/x/sys v0.15.0 h1:h48lPFYpsTvQJZF4EKyI4aLHaev3CxivZmv7yZig9pc= +golang.org/x/sys v0.15.0/go.mod h1:/VUhepiaJMQUp4+oa/7Zr1D23ma6VTLIYjOOTFZPUcA= +golang.org/x/text v0.14.0 h1:ScX5w1eTa3QqT8oi6+ziP7dTV1S2+ALU0bI+0zXKWiQ= +golang.org/x/text v0.14.0/go.mod h1:18ZOQIKpY8NJVqYksKHtTdi31H5itFRjB5/qKTNYzSU= +golang.org/x/xerrors v0.0.0-20191204190536-9bdfabe68543/go.mod h1:I/5z698sn9Ka8TeJc9MKroUUfqBBauWjQqLJ2OPfmY0= +google.golang.org/genproto/googleapis/rpc v0.0.0-20231002182017-d307bd883b97 h1:6GQBEOdGkX6MMTLT9V+TjtIRZCw9VPD5Z+yHY9wMgS0= +google.golang.org/genproto/googleapis/rpc v0.0.0-20231002182017-d307bd883b97/go.mod h1:v7nGkzlmW8P3n/bKmWBn2WpBjpOEx8Q6gMueudAmKfY= +google.golang.org/grpc v1.60.0 h1:6FQAR0kM31P6MRdeluor2w2gPaS4SVNrD/DNTxrQ15k= +google.golang.org/grpc v1.60.0/go.mod h1:OlCHIeLYqSSsLi6i49B5QGdzaMZK9+M7LXN2FKz4eGM= +google.golang.org/protobuf v1.26.0-rc.1/go.mod h1:jlhhOSvTdKEhbULTjvd4ARK9grFBp09yW+WbY/TyQbw= +google.golang.org/protobuf v1.26.0/go.mod h1:9q0QmTI4eRPtz6boOQmLYwt+qCgq0jsYwAQnmE0givc= +google.golang.org/protobuf v1.31.0 h1:g0LDEJHgrBl9N9r17Ru3sqWhkIx2NB67okBHPwC7hs8= +google.golang.org/protobuf v1.31.0/go.mod h1:HV8QOd/L58Z+nl8r43ehVNZIU/HEI6OcFqwMG9pJV4I= +gopkg.in/fsnotify.v1 v1.4.7 h1:xOHLXZwVvI9hhs+cLKq5+I5onOuwQLhQwiu63xxlHs4= +gopkg.in/fsnotify.v1 v1.4.7/go.mod h1:Tz8NjZHkW78fSQdbUxIjBTcgA1z1m8ZHf0WmKUhAMys= +gopkg.in/yaml.v3 v3.0.1 h1:fxVm/GzAzEWqLHuvctI91KS9hhNmmWOoWu0XTYJS7CA= +gopkg.in/yaml.v3 v3.0.1/go.mod h1:K4uyk7z7BCEPqu6E+C64Yfv1cQ7kz7rIZviUmN+EgEM= From 26f7f6578fdcd8b50469f78f053ce39f05231223 Mon Sep 17 00:00:00 2001 From: robert engels Date: Sat, 16 Dec 2023 21:41:10 -0600 Subject: [PATCH 04/52] add lit based html client --- .gitignore | 3 + internal/exchange/webserver.go | 21 +- web_lit/.gitignore | 24 + web_lit/index.html | 20 + web_lit/package-lock.json | 1345 ++++++++++++++++++++++++++++++++ web_lit/package.json | 20 + web_lit/src/book-element.ts | 135 ++++ web_lit/src/index-page.ts | 44 ++ web_lit/src/index.css | 1 + web_lit/src/vite-env.d.ts | 1 + web_lit/tsconfig.json | 24 + web_lit/vite.config.ts | 38 + 12 files changed, 1673 insertions(+), 3 deletions(-) create mode 100644 web_lit/.gitignore create mode 100644 web_lit/index.html create mode 100644 web_lit/package-lock.json create mode 100644 web_lit/package.json create mode 100644 web_lit/src/book-element.ts create mode 100644 web_lit/src/index-page.ts create mode 100644 web_lit/src/index.css create mode 100644 web_lit/src/vite-env.d.ts create mode 100644 web_lit/tsconfig.json create mode 100644 web_lit/vite.config.ts diff --git a/.gitignore b/.gitignore index 9209ef5..dff187d 100644 --- a/.gitignore +++ b/.gitignore @@ -1,2 +1,5 @@ node_modules out +.DS_Store +__debug_bin* + diff --git a/internal/exchange/webserver.go b/internal/exchange/webserver.go index 60ca57f..4a270ff 100644 --- a/internal/exchange/webserver.go +++ b/internal/exchange/webserver.go @@ -3,9 +3,6 @@ package exchange import ( "crypto/md5" "encoding/hex" - "github.com/gernest/hot" - . "github.com/robaho/go-trader/pkg/common" - "golang.org/x/net/websocket" "math/rand" "net/http" "regexp" @@ -13,6 +10,10 @@ import ( "strings" "sync" "time" + + "github.com/gernest/hot" + . "github.com/robaho/go-trader/pkg/common" + "golang.org/x/net/websocket" ) type empty struct{} @@ -42,10 +43,13 @@ func StartWebServer(addr string) { http.HandleFunc("/book", bookHandler) http.HandleFunc("/instruments", instrumentsHandler) http.HandleFunc("/sessions", sessionsHandler) + http.HandleFunc("/api/instruments/", authenticate(apiInstrumentsHandler)) http.HandleFunc("/api/book/", authenticate(apiBookHandler)) http.HandleFunc("/api/stats/", authenticate(apiStatsHandler)) http.HandleFunc("/", welcomeHandler) + http.Handle("/lit/", http.StripPrefix("/lit/", http.FileServer(http.Dir("web_lit/dist")))) + // add REST api http.ListenAndServe(addr, nil) }() @@ -261,6 +265,17 @@ func apiBookHandler(w http.ResponseWriter, r *http.Request) { } } +func apiInstrumentsHandler(w http.ResponseWriter, r *http.Request) { + + json,_,err := websocket.JSON.Marshal(IMap.AllSymbols()); + + if err!=nil { + http.Error(w, "unable to retrieve symbol list", http.StatusInternalServerError) + } else { + w.Write(json) + } +} + func apiStatsHandler(w http.ResponseWriter, r *http.Request) { symbol := strings.TrimPrefix(r.URL.Path, "/api/stats/") diff --git a/web_lit/.gitignore b/web_lit/.gitignore new file mode 100644 index 0000000..a547bf3 --- /dev/null +++ b/web_lit/.gitignore @@ -0,0 +1,24 @@ +# Logs +logs +*.log +npm-debug.log* +yarn-debug.log* +yarn-error.log* +pnpm-debug.log* +lerna-debug.log* + +node_modules +dist +dist-ssr +*.local + +# Editor directories and files +.vscode/* +!.vscode/extensions.json +.idea +.DS_Store +*.suo +*.ntvs* +*.njsproj +*.sln +*.sw? diff --git a/web_lit/index.html b/web_lit/index.html new file mode 100644 index 0000000..88aebb4 --- /dev/null +++ b/web_lit/index.html @@ -0,0 +1,20 @@ + + + + + + + + + + Go-Trader LitElement Client + + + + + + + + + + \ No newline at end of file diff --git a/web_lit/package-lock.json b/web_lit/package-lock.json new file mode 100644 index 0000000..686d9c0 --- /dev/null +++ b/web_lit/package-lock.json @@ -0,0 +1,1345 @@ +{ + "name": "web_html", + "version": "0.0.0", + "lockfileVersion": 3, + "requires": true, + "packages": { + "": { + "name": "web_html", + "version": "0.0.0", + "dependencies": { + "@shoelace-style/shoelace": "^2.12.0", + "lit": "^3.1.0" + }, + "devDependencies": { + "typescript": "^5.2.2", + "vite": "^5.0.8", + "vite-plugin-static-copy": "^1.0.0" + } + }, + "node_modules/@ctrl/tinycolor": { + "version": "4.0.2", + "resolved": "https://registry.npmjs.org/@ctrl/tinycolor/-/tinycolor-4.0.2.tgz", + "integrity": "sha512-fKQinXE9pJ83J1n+C3rDl2xNLJwfoYNvXLRy5cYZA9hBJJw2q+sbb/AOSNKmLxnTWyNTmy4994dueSwP4opi5g==", + "engines": { + "node": ">=14" + } + }, + "node_modules/@esbuild/android-arm": { + "version": "0.19.9", + "resolved": "https://registry.npmjs.org/@esbuild/android-arm/-/android-arm-0.19.9.tgz", + "integrity": "sha512-jkYjjq7SdsWuNI6b5quymW0oC83NN5FdRPuCbs9HZ02mfVdAP8B8eeqLSYU3gb6OJEaY5CQabtTFbqBf26H3GA==", + "cpu": [ + "arm" + ], + "dev": true, + "optional": true, + "os": [ + "android" + ], + "engines": { + "node": ">=12" + } + }, + "node_modules/@esbuild/android-arm64": { + "version": "0.19.9", + "resolved": "https://registry.npmjs.org/@esbuild/android-arm64/-/android-arm64-0.19.9.tgz", + "integrity": "sha512-q4cR+6ZD0938R19MyEW3jEsMzbb/1rulLXiNAJQADD/XYp7pT+rOS5JGxvpRW8dFDEfjW4wLgC/3FXIw4zYglQ==", + "cpu": [ + "arm64" + ], + "dev": true, + "optional": true, + "os": [ + "android" + ], + "engines": { + "node": ">=12" + } + }, + "node_modules/@esbuild/android-x64": { + "version": "0.19.9", + "resolved": "https://registry.npmjs.org/@esbuild/android-x64/-/android-x64-0.19.9.tgz", + "integrity": "sha512-KOqoPntWAH6ZxDwx1D6mRntIgZh9KodzgNOy5Ebt9ghzffOk9X2c1sPwtM9P+0eXbefnDhqYfkh5PLP5ULtWFA==", + "cpu": [ + "x64" + ], + "dev": true, + "optional": true, + "os": [ + "android" + ], + "engines": { + "node": ">=12" + } + }, + "node_modules/@esbuild/darwin-arm64": { + "version": "0.19.9", + "resolved": "https://registry.npmjs.org/@esbuild/darwin-arm64/-/darwin-arm64-0.19.9.tgz", 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"picocolors": "^1.0.0" + }, + "engines": { + "node": "^18.0.0 || >=20.0.0" + }, + "peerDependencies": { + "vite": "^5.0.0" + } + } + } +} diff --git a/web_lit/package.json b/web_lit/package.json new file mode 100644 index 0000000..a81aaef --- /dev/null +++ b/web_lit/package.json @@ -0,0 +1,20 @@ +{ + "name": "web_html", + "private": true, + "version": "0.0.0", + "type": "module", + "scripts": { + "dev": "vite", + "build": "tsc && vite build", + "preview": "vite preview" + }, + "dependencies": { + "@shoelace-style/shoelace": "^2.12.0", + "lit": "^3.1.0" + }, + "devDependencies": { + "typescript": "^5.2.2", + "vite": "^5.0.8", + "vite-plugin-static-copy": "^1.0.0" + } +} diff --git a/web_lit/src/book-element.ts b/web_lit/src/book-element.ts new file mode 100644 index 0000000..86672ec --- /dev/null +++ b/web_lit/src/book-element.ts @@ -0,0 +1,135 @@ +import { LitElement, PropertyValueMap, html, css } from 'lit'; +import { customElement, property, state } from 'lit/decorators.js'; +import '@shoelace-style/shoelace'; + +type BookEntry = { + Price: number, + Quantity: number +}; + +type Book = { + Asks: BookEntry[], + Bids: BookEntry[] +}; + +@customElement('book-element') +export class BookElement extends LitElement { + + static styles = [css` + .bid { + color: chartreuse; + text-align: left; + } + .ask { + color: crimson; + text-align: right; + } + div.book { + background-color: black; + height: 100%; + font-size: large; + } + table.book { + padding: 0 0 0 0; + } + .askqty { + width: 30%; + text-align: right; + } + .bidqty { + width: 30%; + text-align: right; + } + .price { + width: 40%; + text-align: right; + background-color: rgba(170, 170, 170, 0.39); + } + body { + background-color: black; + color: white; + }`]; + + @property() + symbol !: string; + + @state() + error?: string; + + @state() + book: Book = { Asks: [], Bids: [] }; + + connection?: WebSocket; + + private subscribe() { + this.book = { Asks: [], Bids: [] }; + var msg = { + symbol: this.symbol + }; + this.connection?.send(JSON.stringify(msg)); + } + + private connect() { + var serverUrl = "ws://" + window.location.hostname + ":6502"; + + if (this.connection) { + this.subscribe(); + return; + } + + this.connection = new WebSocket(serverUrl); + + this.connection.onopen = () => { + this.error = undefined; + this.subscribe(); + } + + this.connection.onmessage = (evt) => { + if (evt.data != null) { + var book = JSON.parse(evt.data); + this.book = book; + } + } + + this.connection.onerror = (evt) => { + this.error = "an error occurred " + evt + } + + this.connection.onclose = () => { + this.error = "web socket is closed" + } + } + + disconnectedCallback(): void { + super.disconnectedCallback(); + this.connection?.close(); + this.connection = undefined; + } + + protected update(changedProperties: PropertyValueMap | Map): void { + if (changedProperties.has('symbol')) { + this.connect(); + } + super.update(changedProperties); + } + + private close() { + this.connection?.close(); + this.connection = undefined; + this.dispatchEvent(new Event('closed')); + } + + render() { + return html` +
+
Order Book : ${this.symbol} this.close()}>
+
+ ${this.error ? html`

${this.error}

` : html` + + + ${this.book.Asks?.reverse().map(ask => html``)} + ${this.book.Bids?.map(bid => html``)} +
${Number(ask.Price).toFixed(2)}${ask.Quantity}
${bid.Quantity}${Number(bid.Price).toFixed(2)}
`} +
`; + } +} \ No newline at end of file diff --git a/web_lit/src/index-page.ts b/web_lit/src/index-page.ts new file mode 100644 index 0000000..31ab9f7 --- /dev/null +++ b/web_lit/src/index-page.ts @@ -0,0 +1,44 @@ +import { LitElement, PropertyValueMap, html } from 'lit' +import { customElement, state } from 'lit/decorators.js' +import { repeat } from 'lit/directives/repeat.js'; +import './book-element'; +import '@shoelace-style/shoelace'; + +@customElement('index-page') +export class IndexPage extends LitElement { + + @state() + instruments: string[] = []; + + @state() + books: string[] = []; + + protected firstUpdated(_changedProperties: PropertyValueMap | Map): void { + fetch('/api/instruments').then(response => response.json()).then(x => this.instruments = x.sort()); + } + + maybeAddSymbol(symbol: string) { + if (!this.books.includes(symbol)) { + this.books = [symbol, ...this.books] + } + } + + render() { + return html` +
+
+
Instruments
+ ${this.instruments.map(b => html` + +
Click to show book
+ this.maybeAddSymbol(b)}>${b} + `)} +
+
+
+ ${repeat(this.books, (key: string) => key, (b: string) => html` +
+
+
`)}`; + } +} diff --git a/web_lit/src/index.css b/web_lit/src/index.css new file mode 100644 index 0000000..6081219 --- /dev/null +++ b/web_lit/src/index.css @@ -0,0 +1 @@ +@import '@shoelace-style/shoelace/dist/themes/dark.css' \ No newline at end of file diff --git a/web_lit/src/vite-env.d.ts b/web_lit/src/vite-env.d.ts new file mode 100644 index 0000000..11f02fe --- /dev/null +++ b/web_lit/src/vite-env.d.ts @@ -0,0 +1 @@ +/// diff --git a/web_lit/tsconfig.json b/web_lit/tsconfig.json new file mode 100644 index 0000000..69e31ac --- /dev/null +++ b/web_lit/tsconfig.json @@ -0,0 +1,24 @@ +{ + "compilerOptions": { + "target": "ES2020", + "experimentalDecorators": true, + "useDefineForClassFields": false, + "module": "ESNext", + "lib": ["ES2020", "DOM", "DOM.Iterable"], + "skipLibCheck": true, + + /* Bundler mode */ + "moduleResolution": "bundler", + "allowImportingTsExtensions": true, + "resolveJsonModule": true, + "isolatedModules": true, + "noEmit": true, + + /* Linting */ + "strict": true, + "noUnusedLocals": true, + "noUnusedParameters": true, + "noFallthroughCasesInSwitch": true + }, + "include": ["src"] +} diff --git a/web_lit/vite.config.ts b/web_lit/vite.config.ts new file mode 100644 index 0000000..5ebf90b --- /dev/null +++ b/web_lit/vite.config.ts @@ -0,0 +1,38 @@ +import { defineConfig } from 'vite'; +import { viteStaticCopy } from 'vite-plugin-static-copy'; + +const iconsPath = 'node_modules/@shoelace-style/shoelace/dist/assets/icons'; + +// https://vitejs.dev/config/ +export default defineConfig({ + base: '/lit', + resolve: { + alias: [ + { + find: /\/assets\/icons\/(.+)/, + replacement: `${iconsPath}/$1`, + }, + ], + }, + build: { + rollupOptions: { + // external: /^lit/, + plugins: [], + }, + }, + plugins: [ + viteStaticCopy({ + targets: [ + { + src: iconsPath, + dest: 'assets', + }, + ], + }), + ], + server: { + proxy: { + '/api': 'http://localhost:8080' + } + } +}); From d3ad300ee3b8b9d4e76e7166283bcfa0ba7b2e5f Mon Sep 17 00:00:00 2001 From: robert engels Date: Sat, 16 Dec 2023 22:01:40 -0600 Subject: [PATCH 05/52] change location for lit icons --- internal/exchange/webserver.go | 4 +++- 1 file changed, 3 insertions(+), 1 deletion(-) diff --git a/internal/exchange/webserver.go b/internal/exchange/webserver.go index 4a270ff..df3e2e7 100644 --- a/internal/exchange/webserver.go +++ b/internal/exchange/webserver.go @@ -39,6 +39,8 @@ func StartWebServer(addr string) { t = tpl go func() { + http.Handle("/assets/icons/", http.FileServer(http.Dir("web_lit/dist"))) + http.Handle("/assets/", http.StripPrefix("/assets/", http.FileServer(http.Dir("web/assets")))) http.HandleFunc("/book", bookHandler) http.HandleFunc("/instruments", instrumentsHandler) @@ -49,7 +51,7 @@ func StartWebServer(addr string) { http.HandleFunc("/", welcomeHandler) http.Handle("/lit/", http.StripPrefix("/lit/", http.FileServer(http.Dir("web_lit/dist")))) - + // add REST api http.ListenAndServe(addr, nil) }() From 86a3eb737bd805568297d298c2849ad7ae79aa3e Mon Sep 17 00:00:00 2001 From: robert engels Date: Sat, 16 Dec 2023 22:05:51 -0600 Subject: [PATCH 06/52] update README for Lit element UI --- README.md | 8 +++++++- 1 file changed, 7 insertions(+), 1 deletion(-) diff --git a/README.md b/README.md index 891d124..0630433 100644 --- a/README.md +++ b/README.md @@ -16,7 +16,13 @@ The exchange is designed to allow for easy back-testing of trading strategies. I 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... +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 with Lit, 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. From 771ae25b74625298bc7f92e5d5e317f0599117b4 Mon Sep 17 00:00:00 2001 From: robert engels Date: Wed, 24 Apr 2024 08:35:06 -0500 Subject: [PATCH 07/52] Update README.md --- README.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/README.md b/README.md index 0630433..a950048 100644 --- a/README.md +++ b/README.md @@ -6,7 +6,7 @@ Uses quickfixgo or gRPC for client/server communication. Uses UDP multicast for market distribution. -It uses the high-performance fixed point library [fixed](https://github.com/robaho/fixed). +It uses the high-performance fixed point library [fixed](https://github.com/robaho/fixed) which I also developed. There is a sample client with a command line GUI, a sample "market maker", and a sample "playback". From 470084d90420bd9764f68f68b0d315fbb482b9e2 Mon Sep 17 00:00:00 2001 From: robert engels Date: Tue, 4 Jun 2024 09:50:46 -0500 Subject: [PATCH 08/52] document that authenticator is an example --- internal/exchange/webserver.go | 2 ++ 1 file changed, 2 insertions(+) diff --git a/internal/exchange/webserver.go b/internal/exchange/webserver.go index df3e2e7..da1373e 100644 --- a/internal/exchange/webserver.go +++ b/internal/exchange/webserver.go @@ -89,6 +89,7 @@ func getNonce() string { } func authenticate(handler func(w http.ResponseWriter, r *http.Request)) func(http.ResponseWriter, *http.Request) { + // This is an example authenticator. The user/password is hard-coded to guest/password. return func(w http.ResponseWriter, r *http.Request) { s := strings.SplitN(r.Header.Get("Authorization"), " ", 2) if len(s) != 2 || s[0] != "Digest" { @@ -109,6 +110,7 @@ func authenticate(handler func(w http.ResponseWriter, r *http.Request)) func(htt delete(nonceMap, nonce) + // TODO read hashed credentials from db based on user h1 := md5.Sum([]byte("guest:Restricted:password")) h2 := md5.Sum([]byte(r.Method + ":" + uri)) h3 := md5.Sum([]byte(hex.EncodeToString(h1[:]) + ":" + nonce + ":" + hex.EncodeToString(h2[:]))) From 9703c3b1b2f739a6500be271460063435592abd4 Mon Sep 17 00:00:00 2001 From: robert engels Date: Mon, 17 Jun 2024 14:39:19 -0500 Subject: [PATCH 09/52] update README --- README.md | 2 ++ 1 file changed, 2 insertions(+) diff --git a/README.md b/README.md index a950048..673521e 100644 --- a/README.md +++ b/README.md @@ -2,6 +2,8 @@ A financial exchange written in Go including complete order book, fix protocol, and market data distribution. +Check out [cpp_orderbook](https://github.com/robaho/cpp_orderbook) for a basic C++ version. + Uses quickfixgo or gRPC for client/server communication. Uses UDP multicast for market distribution. From 20265ebe5c289705ccb6ff87e219086567d90be9 Mon Sep 17 00:00:00 2001 From: robert engels Date: Mon, 8 Jul 2024 08:08:16 -0500 Subject: [PATCH 10/52] add launch configs for exchange and marker maker --- .vscode/launch.json | 24 ++++++++++++++++++++++++ 1 file changed, 24 insertions(+) create mode 100644 .vscode/launch.json diff --git a/.vscode/launch.json b/.vscode/launch.json new file mode 100644 index 0000000..cf2778c --- /dev/null +++ b/.vscode/launch.json @@ -0,0 +1,24 @@ +{ + // Use IntelliSense to learn about possible attributes. + // Hover to view descriptions of existing attributes. + // For more information, visit: https://go.microsoft.com/fwlink/?linkid=830387 + "version": "0.2.0", + "configurations": [ + { + "name": "Launch Exchange", + "type": "go", + "request": "launch", + "mode": "auto", + "program": "cmd/exchange", + "cwd": "${workspaceFolder}" + }, + { + "name": "Launch Market Maker", + "type": "go", + "request": "launch", + "mode": "auto", + "program": "cmd/marketmaker", + "cwd": "${workspaceFolder}" + } + ] +} \ No newline at end of file From bf0a6a348f35f1b2f2a1d06994cef94228d9aed9 Mon Sep 17 00:00:00 2001 From: robert engels Date: Mon, 8 Jul 2024 08:18:21 -0500 Subject: [PATCH 11/52] fix test cases --- internal/exchange/orderbook_test.go | 42 ++++++++++++++++++----------- 1 file changed, 27 insertions(+), 15 deletions(-) diff --git a/internal/exchange/orderbook_test.go b/internal/exchange/orderbook_test.go index f4c096e..8ff7f2a 100644 --- a/internal/exchange/orderbook_test.go +++ b/internal/exchange/orderbook_test.go @@ -5,6 +5,7 @@ import ( "testing" "time" + . "github.com/robaho/fixed" . "github.com/robaho/go-trader/pkg/common" ) @@ -12,9 +13,18 @@ func TestWaitForKey(t *testing.T) { //time.Sleep(20*time.Second) } +type testExchangeClient struct{} +func (c testExchangeClient) SendOrderStatus(so sessionOrder){} +func (c testExchangeClient) SendTrades(trades []trade){} +func (c testExchangeClient) SessionID() string { + return "X" +} + + func TestOrderBook(t *testing.T) { // no need for locking here... var ob = orderBook{} + var ex = testExchangeClient{} var i = Equity{} @@ -23,8 +33,8 @@ func TestOrderBook(t *testing.T) { var o2 = LimitOrder(i, Sell, NewDecimal("110"), NewDecimal("10")) o2.ExchangeId = "1" - var s1 = sessionOrder{"X", o1, time.Now()} - var s2 = sessionOrder{"X", o2, time.Now()} + var s1 = sessionOrder{ex, o1, time.Now()} + var s2 = sessionOrder{ex, o2, time.Now()} ob.add(s1) ob.add(s2) @@ -42,8 +52,8 @@ func TestOrderBook(t *testing.T) { var o4 = LimitOrder(i, Buy, NewDecimal("99"), NewDecimal("30")) o4.ExchangeId = "4" - var s3 = sessionOrder{"X", o3, time.Now()} - var s4 = sessionOrder{"X", o4, time.Now()} + var s3 = sessionOrder{ex, o3, time.Now()} + var s4 = sessionOrder{ex, o4, time.Now()} ob.add(s3) ob.add(s4) @@ -58,7 +68,7 @@ func TestOrderBook(t *testing.T) { if len(b.Asks) != 1 { t.Error("incorrect asks", b.Asks, ob) } - if !b.Bids[0].Quantity.Equals(NewDecimal("20")) { + if !b.Bids[0].Quantity.Equal(NewS("20")) { t.Error("wrong quantity", b.Bids) } @@ -77,7 +87,7 @@ func TestOrderBook(t *testing.T) { if len(b.Asks) != 1 { t.Error("incorrect asks", b.Asks, &ob) } - if !b.Bids[0].Quantity.Equals(NewDecimal("20")) { + if !b.Bids[0].Quantity.Equal(NewS("20")) { t.Error("wrong quantity", b.Bids) } @@ -96,7 +106,7 @@ func TestOrderBook(t *testing.T) { if len(b.Asks) != 1 { t.Error("incorrect asks", b.Asks, &ob) } - if !b.Bids[0].Quantity.Equals(NewDecimal("10")) { + if !b.Bids[0].Quantity.Equal(NewS("10")) { t.Error("wrong quantity", b.Bids) } } @@ -104,6 +114,7 @@ func TestOrderBook(t *testing.T) { func TestOrderMatch(t *testing.T) { // no need for locking here... var ob = orderBook{} + var ex = testExchangeClient{} var i = Equity{} @@ -112,8 +123,8 @@ func TestOrderMatch(t *testing.T) { var o2 = LimitOrder(i, Sell, NewDecimal("100"), NewDecimal("10")) o2.ExchangeId = "2" - var s1 = sessionOrder{"X", o1, time.Now()} - var s2 = sessionOrder{"X", o2, time.Now()} + var s1 = sessionOrder{ex, o1, time.Now()} + var s2 = sessionOrder{ex, o2, time.Now()} ob.add(s1) @@ -129,7 +140,7 @@ func TestOrderMatch(t *testing.T) { if len(trades) != 1 { t.Error("wrong trades", trades) } - if !trades[0].quantity.Equals(NewDecimal("10")) { + if !trades[0].quantity.Equal(NewS("10")) { t.Error("wrong trade qty", trades) } @@ -137,6 +148,7 @@ func TestOrderMatch(t *testing.T) { func TestOrderMatchSweep(t *testing.T) { // no need for locking here... var ob = orderBook{} + var ex = testExchangeClient{} var i = Equity{} @@ -149,9 +161,9 @@ func TestOrderMatchSweep(t *testing.T) { var o3 = LimitOrder(i, Sell, NewDecimal("80"), NewDecimal("30")) o2.ExchangeId = "2" - var s1 = sessionOrder{"X", o1, time.Now()} - var s2 = sessionOrder{"X", o2, time.Now()} - var s3 = sessionOrder{"X", o3, time.Now()} + var s1 = sessionOrder{ex, o1, time.Now()} + var s2 = sessionOrder{ex, o2, time.Now()} + var s3 = sessionOrder{ex, o3, time.Now()} ob.add(s1) ob.add(s2) @@ -168,10 +180,10 @@ func TestOrderMatchSweep(t *testing.T) { if len(trades) != 2 { t.Error("wrong trades", trades) } - if !trades[0].quantity.Equals(NewDecimal("20")) { + if !trades[0].quantity.Equal(NewS("20")) { t.Error("wrong trade qty", trades) } - if !trades[1].quantity.Equals(NewDecimal("10")) { + if !trades[1].quantity.Equal(NewS("10")) { t.Error("wrong trade qty", trades) } From f7228543ae35a7e423a12d8719572f8ff88d074e Mon Sep 17 00:00:00 2001 From: robert engels Date: Mon, 8 Jul 2024 17:00:30 -0500 Subject: [PATCH 12/52] use map of linked list for order book --- internal/exchange/orderbook.go | 114 +++++++++++++++++----------- internal/exchange/orderbook_test.go | 34 +++++---- 2 files changed, 88 insertions(+), 60 deletions(-) diff --git a/internal/exchange/orderbook.go b/internal/exchange/orderbook.go index 3d4039e..be496fa 100644 --- a/internal/exchange/orderbook.go +++ b/internal/exchange/orderbook.go @@ -1,23 +1,31 @@ package exchange -import ( - . "github.com/robaho/fixed" - "sync" -) import ( "fmt" "sort" + "sync" "sync/atomic" "time" + . "github.com/robaho/fixed" + . "github.com/robaho/go-trader/pkg/common" ) +type priceLevel struct { + orderList + price Fixed +} + +func (level priceLevel) String() string { + return fmt.Sprint("", level.price, "=", &level.orderList) +} + type orderBook struct { sync.Mutex Instrument - bids []sessionOrder - asks []sessionOrder + bids []priceLevel + asks []priceLevel } type trade struct { @@ -33,7 +41,7 @@ type trade struct { } func (ob *orderBook) String() string { - return fmt.Sprint("bids:", ob.bids, "asks:", ob.asks) + return fmt.Sprint("bids:", ob.bids, ", asks:", ob.asks) } func (ob *orderBook) add(so sessionOrder) ([]trade, error) { @@ -57,16 +65,23 @@ func (ob *orderBook) add(so sessionOrder) ([]trade, error) { return trades, nil } -func insertSort(orders []sessionOrder, so sessionOrder, direction int) []sessionOrder { - index := sort.Search(len(orders), func(i int) bool { - cmp := so.getPrice().Cmp(orders[i].getPrice()) * direction - if cmp == 0 { - cmp = CmpTime(so.time, orders[i].time) - } +func insertSort(levels []priceLevel, so sessionOrder, direction int) []priceLevel { + index := sort.Search(len(levels), func(i int) bool { + cmp := so.getPrice().Cmp(levels[i].price) * direction return cmp >= 0 }) - return append(orders[:index], append([]sessionOrder{so}, orders[index:]...)...) + if(index 0 && len(book.asks) > 0 { - bid := book.bids[0] - ask := book.asks[0] + bid := book.bids[0].orderList.top() + ask := book.asks[0].orderList.top() if !bid.getPrice().GreaterThanOrEqual(ask.getPrice()) { break @@ -137,28 +152,43 @@ func fill(order *Order, qty Fixed, price Fixed) { func (ob *orderBook) remove(so sessionOrder) error { - var removed bool - - removeFN := func(orders *[]sessionOrder, so sessionOrder) bool { - for i, v := range *orders { - if v.order == so.order { - *orders = append((*orders)[:i], (*orders)[i+1:]...) - return true - } - } - return false - } + var levels []priceLevel + var direction int if so.order.Side == Buy { - removed = removeFN(&ob.bids, so) + levels = ob.bids + direction = 1 } else { - removed = removeFN(&ob.asks, so) + levels = ob.asks + direction = -1 } - if !removed { + index := sort.Search(len(levels), func(i int) bool { + cmp := so.getPrice().Cmp(levels[i].price) * direction + return cmp >= 0 + }) + + if index Date: Tue, 16 Jul 2024 08:22:47 -0500 Subject: [PATCH 13/52] remove blank lines --- .gitignore | 3 +-- 1 file changed, 1 insertion(+), 2 deletions(-) diff --git a/.gitignore b/.gitignore index dff187d..089908c 100644 --- a/.gitignore +++ b/.gitignore @@ -1,5 +1,4 @@ node_modules out .DS_Store -__debug_bin* - +__debug_bin* \ No newline at end of file From 172abbf49e461e77e02edbd2e98476bbf725cdfb Mon Sep 17 00:00:00 2001 From: robert engels Date: Tue, 16 Jul 2024 08:24:24 -0500 Subject: [PATCH 14/52] add missing orderlist files to repo --- internal/exchange/orderbook_bench_test.go | 66 ++++++++++++++++ internal/exchange/orderlist.go | 91 +++++++++++++++++++++++ 2 files changed, 157 insertions(+) create mode 100644 internal/exchange/orderbook_bench_test.go create mode 100644 internal/exchange/orderlist.go diff --git a/internal/exchange/orderbook_bench_test.go b/internal/exchange/orderbook_bench_test.go new file mode 100644 index 0000000..13f066f --- /dev/null +++ b/internal/exchange/orderbook_bench_test.go @@ -0,0 +1,66 @@ +package exchange + +import ( + "fmt" + "testing" + "time" + + . "github.com/robaho/fixed" + . "github.com/robaho/go-trader/pkg/common" +) + +func BenchmarkOrders(b *testing.B) { + var ob = orderBook{} + var inst = Equity{} + var ex = testExchangeClient{} + + const N_ORDERS = 1000000 + + b.ResetTimer() + + b.N = N_ORDERS*2 + + for i:=0;i Date: Tue, 16 Jul 2024 08:51:30 -0500 Subject: [PATCH 15/52] use correct version of gocui --- go.mod | 2 +- go.sum | 2 ++ 2 files changed, 3 insertions(+), 1 deletion(-) diff --git a/go.mod b/go.mod index fc92118..af535d9 100644 --- a/go.mod +++ b/go.mod @@ -12,7 +12,7 @@ require ( github.com/quickfixgo/fix44 v0.1.0 github.com/quickfixgo/quickfix v0.9.0 github.com/robaho/fixed v0.0.0-20230815003229-929de1ea03c3 - github.com/robaho/gocui v0.3.0 + github.com/robaho/gocui v0.3.1 github.com/shopspring/decimal v1.3.1 golang.org/x/net v0.19.0 google.golang.org/grpc v1.60.0 diff --git a/go.sum b/go.sum index b16bc34..26c2c81 100644 --- a/go.sum +++ b/go.sum @@ -38,6 +38,8 @@ github.com/robaho/fixed v0.0.0-20230815003229-929de1ea03c3 h1:z2AXOxvJ7rXsbyv3s9 github.com/robaho/fixed v0.0.0-20230815003229-929de1ea03c3/go.mod h1:9YjDu6DCo4pkAT+5VYIW1CPk2nh9CnvT/x5YfhSYlnQ= github.com/robaho/gocui v0.3.0 h1:xX5dcUDCUlO/xXA6Jzh979t+7tLkLM4KeToIioJrfrE= github.com/robaho/gocui v0.3.0/go.mod h1:pGoMrUaM3DO8ORottR2+ffXjklvRVW0pUnXF77AK6Ow= +github.com/robaho/gocui v0.3.1 h1:8CfmzgaK/Cgx3tMEsYDyvxGIkHZ6pYn5m826YG0oUeo= +github.com/robaho/gocui v0.3.1/go.mod h1:pGoMrUaM3DO8ORottR2+ffXjklvRVW0pUnXF77AK6Ow= github.com/shopspring/decimal v1.3.1 h1:2Usl1nmF/WZucqkFZhnfFYxxxu8LG21F6nPQBE5gKV8= github.com/shopspring/decimal v1.3.1/go.mod h1:DKyhrW/HYNuLGql+MJL6WCR6knT2jwCFRcu2hWCYk4o= github.com/stretchr/objx v0.5.0 h1:1zr/of2m5FGMsad5YfcqgdqdWrIhu+EBEJRhR1U7z/c= From 7b96b0566d33ddc51f0e98f48c4618c22b15f6d4 Mon Sep 17 00:00:00 2001 From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com> Date: Tue, 16 Jul 2024 14:02:21 +0000 Subject: [PATCH 16/52] Bump braces from 3.0.2 to 3.0.3 in /web_lit Bumps [braces](https://github.com/micromatch/braces) from 3.0.2 to 3.0.3. - [Changelog](https://github.com/micromatch/braces/blob/master/CHANGELOG.md) - [Commits](https://github.com/micromatch/braces/compare/3.0.2...3.0.3) --- updated-dependencies: - dependency-name: braces dependency-type: indirect ... Signed-off-by: dependabot[bot] --- web_lit/package-lock.json | 14 +++++++------- 1 file changed, 7 insertions(+), 7 deletions(-) diff --git a/web_lit/package-lock.json b/web_lit/package-lock.json index 686d9c0..515c255 100644 --- a/web_lit/package-lock.json +++ b/web_lit/package-lock.json @@ -711,12 +711,12 @@ } }, "node_modules/braces": { - "version": "3.0.2", - "resolved": "https://registry.npmjs.org/braces/-/braces-3.0.2.tgz", - "integrity": "sha512-b8um+L1RzM3WDSzvhm6gIz1yfTbBt6YTlcEKAvsmqCZZFw46z626lVj9j1yEPW33H5H+lBQpZMP1k8l+78Ha0A==", + "version": "3.0.3", + "resolved": "https://registry.npmjs.org/braces/-/braces-3.0.3.tgz", + "integrity": "sha512-yQbXgO/OSZVD2IsiLlro+7Hf6Q18EJrKSEsdoMzKePKXct3gvD8oLcOQdIzGupr5Fj+EDe8gO/lxc1BzfMpxvA==", "dev": true, "dependencies": { - "fill-range": "^7.0.1" + "fill-range": "^7.1.1" }, "engines": { "node": ">=8" @@ -853,9 +853,9 @@ } }, "node_modules/fill-range": { - "version": "7.0.1", - "resolved": "https://registry.npmjs.org/fill-range/-/fill-range-7.0.1.tgz", - "integrity": "sha512-qOo9F+dMUmC2Lcb4BbVvnKJxTPjCm+RRpe4gDuGrzkL7mEVl/djYSu2OdQ2Pa302N4oqkSg9ir6jaLWJ2USVpQ==", + "version": "7.1.1", + "resolved": "https://registry.npmjs.org/fill-range/-/fill-range-7.1.1.tgz", + "integrity": "sha512-YsGpe3WHLK8ZYi4tWDg2Jy3ebRz2rXowDxnld4bkQB00cc/1Zw9AWnC0i9ztDJitivtQvaI9KaLyKrc+hBW0yg==", "dev": true, "dependencies": { "to-regex-range": "^5.0.1" From ab75e19c2936cb2e8ae42cf69f6347d3fc37a539 Mon Sep 17 00:00:00 2001 From: robert engels Date: Tue, 16 Jul 2024 20:54:32 -0500 Subject: [PATCH 17/52] fix issue #16: remove from order book --- internal/exchange/orderbook.go | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/internal/exchange/orderbook.go b/internal/exchange/orderbook.go index be496fa..dc54a2f 100644 --- a/internal/exchange/orderbook.go +++ b/internal/exchange/orderbook.go @@ -168,7 +168,7 @@ func (ob *orderBook) remove(so sessionOrder) error { return cmp >= 0 }) - if index=len(levels) || levels[index].price.Cmp(so.getPrice())!=0 { return OrderNotFound } From d4bec5b1cf209781dd2d936345832b119dc7085e Mon Sep 17 00:00:00 2001 From: robert engels Date: Tue, 16 Jul 2024 20:55:10 -0500 Subject: [PATCH 18/52] fix logging of unknown symbol --- cmd/marketmaker/main.go | 6 +++--- 1 file changed, 3 insertions(+), 3 deletions(-) diff --git a/cmd/marketmaker/main.go b/cmd/marketmaker/main.go index b0f95f5..18850a3 100644 --- a/cmd/marketmaker/main.go +++ b/cmd/marketmaker/main.go @@ -87,7 +87,7 @@ func main() { instrument := IMap.GetBySymbol(callback.symbol) if instrument == nil { - log.Fatal("unable symbol", symbol) + log.Fatal("unknown symbol", callback.symbol) } var updates uint64 @@ -148,12 +148,12 @@ func main() { <-callback.ch } } - h.Add(float64(time.Now().Sub(now).Nanoseconds())) + h.Add(float64(time.Since(now).Nanoseconds())) if *delay != 0 { time.Sleep(time.Duration(int64(*delay)) * time.Millisecond) } atomic.AddUint64(&updates, 1) - if time.Now().Sub(start).Seconds() > 10 { + if time.Since(start).Seconds() > 10 { fmt.Printf("updates per second %d, avg rtt %dus, 10%% rtt %dus 99%% rtt %dus\n", updates/10, int(h.Mean()/1000.0), int(h.Quantile(.10)/1000.0), int(h.Quantile(.99)/1000.0)) updates = 0 start = time.Now() From 094bcf8b07027eefd91a3a8f0e02045b9d3edadc Mon Sep 17 00:00:00 2001 From: robert engels Date: Tue, 16 Jul 2024 20:55:33 -0500 Subject: [PATCH 19/52] add more pseudo symbols for testing --- configs/instruments.txt | 19 +++++++++++++++++++ 1 file changed, 19 insertions(+) diff --git a/configs/instruments.txt b/configs/instruments.txt index 907ba78..a8110ba 100644 --- a/configs/instruments.txt +++ b/configs/instruments.txt @@ -13,3 +13,22 @@ 3 AMZN 4 GOOG 5 FB +11 S1 +12 S2 +13 S3 +14 S4 +15 S5 +16 S6 +17 S7 +18 S8 +19 S9 +20 S10 +21 S11 +22 S12 +23 S13 +24 S14 +25 S15 +26 S16 +27 S17 +28 S18 +29 S19 From d60cd10dabfacd661d57d262458b508b48279171 Mon Sep 17 00:00:00 2001 From: napoleon665 <136514136+napoleon665@users.noreply.github.com> Date: Wed, 17 Jul 2024 02:08:43 +0000 Subject: [PATCH 20/52] feat: print error not fix msg --- internal/exchange/marketdata.go | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/internal/exchange/marketdata.go b/internal/exchange/marketdata.go index 7c2f90c..ac748d2 100644 --- a/internal/exchange/marketdata.go +++ b/internal/exchange/marketdata.go @@ -245,7 +245,7 @@ func startMarketData() { props, err := NewProperties("configs/got_settings") if err != nil { - panic("unable to read multicast addr") + panic(err) } saddr := props.GetString("multicast_addr", "") if saddr == "" { From 0cd80483095561e9bf28efb2b43f1b519dad882a Mon Sep 17 00:00:00 2001 From: robert engels Date: Wed, 17 Jul 2024 13:38:12 -0500 Subject: [PATCH 21/52] upgrade deps --- web_lit/package-lock.json | 751 ++++++++++++++++++++++---------------- web_lit/package.json | 5 +- 2 files changed, 432 insertions(+), 324 deletions(-) diff --git a/web_lit/package-lock.json b/web_lit/package-lock.json index 515c255..4e61feb 100644 --- a/web_lit/package-lock.json +++ b/web_lit/package-lock.json @@ -12,27 +12,47 @@ "lit": "^3.1.0" }, "devDependencies": { - "typescript": "^5.2.2", - "vite": "^5.0.8", + "@types/node": "^20.14.11", + "typescript": "^5.5.3", + "vite": "^5.3.4", "vite-plugin-static-copy": "^1.0.0" } }, "node_modules/@ctrl/tinycolor": { - "version": "4.0.2", - "resolved": "https://registry.npmjs.org/@ctrl/tinycolor/-/tinycolor-4.0.2.tgz", - "integrity": "sha512-fKQinXE9pJ83J1n+C3rDl2xNLJwfoYNvXLRy5cYZA9hBJJw2q+sbb/AOSNKmLxnTWyNTmy4994dueSwP4opi5g==", + "version": "4.1.0", + "resolved": "https://registry.npmjs.org/@ctrl/tinycolor/-/tinycolor-4.1.0.tgz", + "integrity": "sha512-WyOx8cJQ+FQus4Mm4uPIZA64gbk3Wxh0so5Lcii0aJifqwoVOlfFtorjLE0Hen4OYyHZMXDWqMmaQemBhgxFRQ==", + "license": "MIT", "engines": { "node": ">=14" } }, + "node_modules/@esbuild/aix-ppc64": { + "version": "0.21.5", + "resolved": "https://registry.npmjs.org/@esbuild/aix-ppc64/-/aix-ppc64-0.21.5.tgz", + "integrity": "sha512-1SDgH6ZSPTlggy1yI6+Dbkiz8xzpHJEVAlF/AM1tHPLsf5STom9rwtjE4hKAF20FfXXNTFqEYXyJNWh1GiZedQ==", + "cpu": [ + "ppc64" + ], + "dev": true, + "license": "MIT", + "optional": true, + "os": [ + "aix" + ], + "engines": { + "node": ">=12" + } + }, "node_modules/@esbuild/android-arm": { - "version": "0.19.9", - "resolved": "https://registry.npmjs.org/@esbuild/android-arm/-/android-arm-0.19.9.tgz", - "integrity": "sha512-jkYjjq7SdsWuNI6b5quymW0oC83NN5FdRPuCbs9HZ02mfVdAP8B8eeqLSYU3gb6OJEaY5CQabtTFbqBf26H3GA==", + "version": "0.21.5", + "resolved": "https://registry.npmjs.org/@esbuild/android-arm/-/android-arm-0.21.5.tgz", + "integrity": "sha512-vCPvzSjpPHEi1siZdlvAlsPxXl7WbOVUBBAowWug4rJHb68Ox8KualB+1ocNvT5fjv6wpkX6o/iEpbDrf68zcg==", "cpu": [ "arm" ], "dev": true, + "license": "MIT", "optional": true, "os": [ "android" @@ -42,13 +62,14 @@ } }, "node_modules/@esbuild/android-arm64": { - "version": "0.19.9", - "resolved": "https://registry.npmjs.org/@esbuild/android-arm64/-/android-arm64-0.19.9.tgz", - "integrity": "sha512-q4cR+6ZD0938R19MyEW3jEsMzbb/1rulLXiNAJQADD/XYp7pT+rOS5JGxvpRW8dFDEfjW4wLgC/3FXIw4zYglQ==", + "version": "0.21.5", + "resolved": "https://registry.npmjs.org/@esbuild/android-arm64/-/android-arm64-0.21.5.tgz", + "integrity": "sha512-c0uX9VAUBQ7dTDCjq+wdyGLowMdtR/GoC2U5IYk/7D1H1JYC0qseD7+11iMP2mRLN9RcCMRcjC4YMclCzGwS/A==", "cpu": [ "arm64" ], "dev": true, + "license": "MIT", "optional": true, "os": [ "android" @@ -58,13 +79,14 @@ } }, "node_modules/@esbuild/android-x64": { - 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"version": "5.0.9", - "resolved": "https://registry.npmjs.org/vite/-/vite-5.0.9.tgz", - "integrity": "sha512-wVqMd5kp28QWGgfYPDfrj771VyHTJ4UDlCteLH7bJDGDEamaz5hV8IX6h1brSGgnnyf9lI2RnzXq/JmD0c2wwg==", + "version": "5.3.4", + "resolved": "https://registry.npmjs.org/vite/-/vite-5.3.4.tgz", + "integrity": "sha512-Cw+7zL3ZG9/NZBB8C+8QbQZmR54GwqIz+WMI4b3JgdYJvX+ny9AjJXqkGQlDXSXRP9rP0B4tbciRMOVEKulVOA==", "dev": true, + "license": "MIT", "dependencies": { - "esbuild": "^0.19.3", - "postcss": "^8.4.32", - "rollup": "^4.2.0" + "esbuild": "^0.21.3", + "postcss": "^8.4.39", + "rollup": "^4.13.0" }, "bin": { "vite": "bin/vite.js" @@ -1324,10 +1430,11 @@ } }, "node_modules/vite-plugin-static-copy": { - "version": "1.0.0", - "resolved": "https://registry.npmjs.org/vite-plugin-static-copy/-/vite-plugin-static-copy-1.0.0.tgz", - "integrity": "sha512-kMlrB3WDtC5GzFedNIPkpjnOAr8M11PfWOiUaONrUZ3AqogTsOmIhTt6w7Fh311wl8pN81ld7sfuOEogFJ9N8A==", + "version": "1.0.6", + "resolved": "https://registry.npmjs.org/vite-plugin-static-copy/-/vite-plugin-static-copy-1.0.6.tgz", + "integrity": "sha512-3uSvsMwDVFZRitqoWHj0t4137Kz7UynnJeq1EZlRW7e25h2068fyIZX4ORCCOAkfp1FklGxJNVJBkBOD+PZIew==", "dev": true, + "license": "MIT", "dependencies": { "chokidar": "^3.5.3", "fast-glob": "^3.2.11", diff --git a/web_lit/package.json b/web_lit/package.json index a81aaef..be92d3d 100644 --- a/web_lit/package.json +++ b/web_lit/package.json @@ -13,8 +13,9 @@ "lit": "^3.1.0" }, "devDependencies": { - "typescript": "^5.2.2", - "vite": "^5.0.8", + "@types/node": "^20.14.11", + "typescript": "^5.5.3", + "vite": "^5.3.4", "vite-plugin-static-copy": "^1.0.0" } } From 75dd6d31ab9fedce5a6a772975dc9fa7844d7b7f Mon Sep 17 00:00:00 2001 From: robert engels Date: Wed, 17 Jul 2024 15:41:02 -0500 Subject: [PATCH 22/52] ability to run unable vite dev server --- web_lit/vite.config.ts | 8 +++++--- 1 file changed, 5 insertions(+), 3 deletions(-) diff --git a/web_lit/vite.config.ts b/web_lit/vite.config.ts index 5ebf90b..556c935 100644 --- a/web_lit/vite.config.ts +++ b/web_lit/vite.config.ts @@ -3,9 +3,11 @@ import { viteStaticCopy } from 'vite-plugin-static-copy'; const iconsPath = 'node_modules/@shoelace-style/shoelace/dist/assets/icons'; +console.log(process.cwd()); + // https://vitejs.dev/config/ -export default defineConfig({ - base: '/lit', +export default defineConfig((env) => { return { + base: env.command === 'build' ? '/lit/' : undefined, resolve: { alias: [ { @@ -35,4 +37,4 @@ export default defineConfig({ '/api': 'http://localhost:8080' } } -}); +}}); From 6d9aaa41a3df032dc8448d41c3768146655ddc2c Mon Sep 17 00:00:00 2001 From: robert engels Date: Wed, 17 Jul 2024 15:41:18 -0500 Subject: [PATCH 23/52] remove unnecessary scroll bars --- web_lit/index.html | 4 ++-- web_lit/src/index-page.ts | 8 ++++---- 2 files changed, 6 insertions(+), 6 deletions(-) diff --git a/web_lit/index.html b/web_lit/index.html index 88aebb4..5faf9c5 100644 --- a/web_lit/index.html +++ b/web_lit/index.html @@ -12,8 +12,8 @@ - - + + diff --git a/web_lit/src/index-page.ts b/web_lit/src/index-page.ts index 31ab9f7..3a92ebc 100644 --- a/web_lit/src/index-page.ts +++ b/web_lit/src/index-page.ts @@ -25,8 +25,8 @@ export class IndexPage extends LitElement { render() { return html` -
-
+
+
Instruments
${this.instruments.map(b => html` @@ -34,8 +34,8 @@ export class IndexPage extends LitElement { this.maybeAddSymbol(b)}>${b} `)}
-
-
+
+
${repeat(this.books, (key: string) => key, (b: string) => html`
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zQWrkk6msY=_P{*A25czsI;8!1d*pr5yplj3nZhWaKW^#E=L5Zb?1sO7=do2&WqmcJ zQpD!ozo^Cw*=L76=nOg=6iS3<%>1{*B>VRYnX;rQ-|dyOs_PSML}X`{o&Nf?|H!S? zew{1&e66>E-1cvav+$F4d0Tfw{F>)K4?L-lBXVDa02_uYuZUT!+j4lFVa?6Ch96CL<=05* zukSDwum8|{+w;E|uTl58`6bD5*h3zYNM1Mq&0)OcBVqLM>h`n#d&Ry!pPzNluhg*O zlB;3C9r38PH9J2n$k_9(==5gZ{4TbcuFvy#$bZKk0T5sB5(F0Ui>DU82{Zq00a-C__44ooU3uR!BCm|zs%C@XESel=Du8O`0aH5_P?`kUpiNP>_X&qx5{__ z))vd{&~>Xf+W$0i_iS)fzy0<^60gy~j5pUSRnGk5*KNY_#k(Ia-&X?i-W`I_JT8C+(B8QQCP17SbMuoIW;+dyOq?|RPRMqx62p*yCXcg zKl^jqhbyO(AFQ}MJ3p&mukT{^xr}@M<$)#tO1|!e%q(J0QU+6jd0K0({XD>b%+8RB||x+0b3Z)*r1bHC{hRqHjW0< wXfTbYrqN6{S~iUq;iEO(XoFw~HwgZ*o5a3e<`^S)n*j(sUHx3vIVCg!0KDA`Bme*a literal 0 HcmV?d00001 From f750c03df0d8bfc4dfd30c02117517d15792f720 Mon Sep 17 00:00:00 2001 From: robert engels Date: Thu, 18 Jul 2024 12:02:24 -0500 Subject: [PATCH 25/52] remove synchronization in instrument lookup --- pkg/common/instrumentmap.go | 38 ++++++++++++++----------------------- 1 file changed, 14 insertions(+), 24 deletions(-) diff --git a/pkg/common/instrumentmap.go b/pkg/common/instrumentmap.go index 8fc3fcb..b77f085 100644 --- a/pkg/common/instrumentmap.go +++ b/pkg/common/instrumentmap.go @@ -12,40 +12,34 @@ import ( var IMap instrumentMap type instrumentMap struct { - sync.RWMutex id int64 - bySymbol map[string]Instrument - byID map[int64]Instrument + bySymbol sync.Map + byID sync.Map } func (im *instrumentMap) GetBySymbol(symbol string) Instrument { - im.RLock() - defer im.RUnlock() - i, ok := im.bySymbol[symbol] + i, ok := im.bySymbol.Load(symbol) if !ok { return nil } - return i + return i.(Instrument) } func (im *instrumentMap) GetByID(id int64) Instrument { - im.RLock() - defer im.RUnlock() - - i, ok := im.byID[id] + i, ok := im.byID.Load(id) if !ok { return nil } - return i + return i.(Instrument) } func (im *instrumentMap) AllSymbols() []string { - im.RLock() - defer im.RUnlock() - var symbols []string - for k, _ := range im.bySymbol { - symbols = append(symbols, k) + + fn := func (key any,value any) bool { + symbols = append(symbols, key.(string)) + return true } + im.bySymbol.Range(fn) return symbols } @@ -54,12 +48,10 @@ func (im *instrumentMap) AllSymbols() []string { func (im *instrumentMap) nextID() int64 { return atomic.AddInt64(&im.id, 1) } -func (im *instrumentMap) Put(instrument Instrument) { - im.Lock() - defer im.Unlock() - im.bySymbol[instrument.Symbol()] = instrument - im.byID[instrument.ID()] = instrument +func (im *instrumentMap) Put(instrument Instrument) { + im.bySymbol.Store(instrument.Symbol(),instrument) + im.byID.Store(instrument.ID(), instrument) } // load the instrument map from a file, see configs/instruments.txt for the format @@ -90,6 +82,4 @@ func (im *instrumentMap) Load(filepath string) error { } func init() { - IMap.bySymbol = make(map[string]Instrument) - IMap.byID = make(map[int64]Instrument) } From 7287b0b6b1e280369b539ad784c3e49693c6dec6 Mon Sep 17 00:00:00 2001 From: robert engels Date: Fri, 19 Jul 2024 17:46:41 -0500 Subject: [PATCH 26/52] use dynamic quickfix sessions --- cmd/algo/main.go | 5 ++++- cmd/client/main.go | 5 +++-- cmd/exchange/main.go | 19 +++++++++++++------ cmd/marketmaker/main.go | 10 +++++++++- cmd/playback/main.go | 2 ++ configs/qf_algo_settings | 15 --------------- configs/qf_client_settings | 15 --------------- configs/qf_connector_settings | 4 +--- configs/qf_got_settings | 21 ++------------------- configs/qf_mm1_settings | 15 --------------- configs/qf_mm2_settings | 15 --------------- configs/qf_mm3_settings | 15 --------------- configs/qf_mm4_settings | 15 --------------- configs/qf_playback_settings | 15 --------------- internal/exchange/qfixapp.go | 7 +++++-- pkg/connector/qfix/connector.go | 31 ++++++++++++++++++++++++------- pkg/connector/qfix/qfixapp.go | 4 +++- 17 files changed, 66 insertions(+), 147 deletions(-) delete mode 100644 configs/qf_algo_settings delete mode 100644 configs/qf_client_settings delete mode 100644 configs/qf_mm1_settings delete mode 100644 configs/qf_mm2_settings delete mode 100644 configs/qf_mm3_settings delete mode 100644 configs/qf_mm4_settings delete mode 100644 configs/qf_playback_settings diff --git a/cmd/algo/main.go b/cmd/algo/main.go index e964e63..9300041 100644 --- a/cmd/algo/main.go +++ b/cmd/algo/main.go @@ -3,10 +3,11 @@ package main import ( "flag" "fmt" - "github.com/robaho/fixed" "log" "time" + "github.com/robaho/fixed" + . "github.com/robaho/go-trader/pkg/common" "github.com/robaho/go-trader/pkg/connector" ) @@ -114,6 +115,7 @@ func main() { fix := flag.String("fix", "configs/qf_algo_settings", "set the fix session file") props := flag.String("props", "configs/got_settings", "set exchange properties file") offset := flag.Float64("offset", 1.0, "price offset for entry exit") + senderCompID := flag.String("id", "ALGO", "set the SenderCompID") flag.Parse() @@ -125,6 +127,7 @@ func main() { panic(err) } p.SetString("fix", *fix) + p.SetString("senderCompID",*senderCompID) exchange = connector.NewConnector(&callback, p, nil) diff --git a/cmd/client/main.go b/cmd/client/main.go index 75dfb5f..1141cb7 100644 --- a/cmd/client/main.go +++ b/cmd/client/main.go @@ -3,11 +3,12 @@ package main import ( "flag" "fmt" - "github.com/robaho/fixed" "log" "strings" "sync" + "github.com/robaho/fixed" + . "github.com/robaho/go-trader/pkg/common" "github.com/robaho/go-trader/pkg/connector" "github.com/robaho/gocui" @@ -381,7 +382,7 @@ func printCommand(v *gocui.View) { func main() { var callback = MyCallback{} - fix := flag.String("fix", "configs/qf_client_settings", "set the fix session file") + fix := flag.String("fix", "configs/qf_connector_settings", "set the fix session file") props := flag.String("props", "configs/got_settings", "set exchange properties file") flag.Parse() diff --git a/cmd/exchange/main.go b/cmd/exchange/main.go index facbd07..387dc43 100644 --- a/cmd/exchange/main.go +++ b/cmd/exchange/main.go @@ -4,9 +4,6 @@ import ( "bufio" "flag" "fmt" - "github.com/robaho/go-trader/pkg/protocol" - "google.golang.org/grpc" - "google.golang.org/grpc/reflection" "log" "net" "os" @@ -15,12 +12,16 @@ import ( "sync" "time" + "github.com/robaho/go-trader/pkg/protocol" + "google.golang.org/grpc" + "google.golang.org/grpc/reflection" + "github.com/quickfixgo/quickfix" "github.com/robaho/go-trader/internal/exchange" "github.com/robaho/go-trader/pkg/common" -) -import _ "net/http/pprof" + _ "net/http/pprof" +) func main() { @@ -32,6 +33,9 @@ func main() { flag.Parse() + runtime.SetBlockProfileRate(1000) + runtime.SetMutexProfileFraction(1000) + p, err := common.NewProperties(*props) if err != nil { fmt.Println("unable to exchange properties", err) @@ -68,7 +72,10 @@ func main() { ex.Start() - _ = acceptor.Start() + err = acceptor.Start() + if err!=nil { + panic(err) + } defer acceptor.Stop() // start grpc protocol diff --git a/cmd/marketmaker/main.go b/cmd/marketmaker/main.go index 18850a3..5fc3604 100644 --- a/cmd/marketmaker/main.go +++ b/cmd/marketmaker/main.go @@ -44,12 +44,14 @@ func main() { var callback = MyCallback{make(chan bool, 128), ""} symbol := flag.String("symbol", "IBM", "set the symbol") - fix := flag.String("fix", "configs/qf_mm1_settings", "set the fix session file") + fix := flag.String("fix", "configs/qf_connector_settings", "set the fix session file") props := flag.String("props", "configs/got_settings", "set exchange properties file") delay := flag.Int("delay", 0, "set the delay in ms after each quote, 0 to disable") proto := flag.String("proto", "", "override protocol, grpc or fix") duration := flag.Int("duration", 0, "run for N seconds, 0 = forever") cpuprofile := flag.String("cpuprofile", "", "write cpu profile to file") + senderCompID := flag.String("id", "MM", "set the SenderCompID") + symbolAsCompID := flag.Bool("sid", false, "use symbol as SenderCompID") flag.Parse() @@ -73,6 +75,12 @@ func main() { } p.SetString("fix", *fix) + if *symbolAsCompID { + p.SetString("senderCompID", *symbol) + } else { + p.SetString("senderCompID", *senderCompID) + } + var exchange = connector.NewConnector(&callback, p, nil) exchange.Connect() diff --git a/cmd/playback/main.go b/cmd/playback/main.go index ad92eb3..345fdcf 100644 --- a/cmd/playback/main.go +++ b/cmd/playback/main.go @@ -39,6 +39,7 @@ func main() { props := flag.String("props", "configs/got_settings", "set exchange properties file") speed := flag.Float64("speed", 1.0, "set the playback speed") playback := flag.String("file", "playback.txt", "set the playback file") + senderCompID := flag.String("id", "PLAYBACK", "set the SenderCompID") flag.Parse() @@ -47,6 +48,7 @@ func main() { panic(err) } p.SetString("fix", *fix) + p.SetString("senderCompID",*senderCompID) var exchange = connector.NewConnector(&callback, p, nil) diff --git a/configs/qf_algo_settings b/configs/qf_algo_settings deleted file mode 100644 index 5ef7e92..0000000 --- a/configs/qf_algo_settings +++ /dev/null @@ -1,15 +0,0 @@ -# allow anyone to connect -[DEFAULT] -ReconnectInterval=60 -TargetCompID=GOX -SocketConnectPort=5001 -SocketConnectHost=localhost -UseDataDictionary=false -BeginString=FIX.4.4 -HeartBtInt=30 -ResetOnDisconnect=Y -RestOnLogout=Y - -[SESSION] -SenderCompID=ALGO -ConnectionType=initiator diff --git a/configs/qf_client_settings b/configs/qf_client_settings deleted file mode 100644 index 99f7031..0000000 --- a/configs/qf_client_settings +++ /dev/null @@ -1,15 +0,0 @@ -# allow anyone to connect -[DEFAULT] -ReconnectInterval=60 -TargetCompID=GOX -SocketConnectPort=5001 -SocketConnectHost=localhost -UseDataDictionary=false -BeginString=FIX.4.4 -HeartBtInt=30 -ResetOnDisconnect=Y -RestOnLogout=Y - -[SESSION] -SenderCompID=CLIENT -ConnectionType=initiator diff --git a/configs/qf_connector_settings b/configs/qf_connector_settings index 99f7031..7d6c4c6 100644 --- a/configs/qf_connector_settings +++ b/configs/qf_connector_settings @@ -10,6 +10,4 @@ HeartBtInt=30 ResetOnDisconnect=Y RestOnLogout=Y -[SESSION] -SenderCompID=CLIENT -ConnectionType=initiator +# sessions are dynamically added with a default SenderCompID=CLIENT \ No newline at end of file diff --git a/configs/qf_got_settings b/configs/qf_got_settings index 25158dd..950a485 100644 --- a/configs/qf_got_settings +++ b/configs/qf_got_settings @@ -10,24 +10,7 @@ ResetOnLogout=Y ResetOnDisconnect=Y PersistMessages=N Logging=N +DynamicSessions=Y [SESSION] -TargetCompID=MM1 - -[SESSION] -TargetCompID=MM2 - -[SESSION] -TargetCompID=MM3 - -[SESSION] -TargetCompID=MM4 - -[SESSION] -TargetCompID=CLIENT - -[SESSION] -TargetCompID=PLAYBACK - -[SESSION] -TargetCompID=ALGO +TargetCompID=* diff --git a/configs/qf_mm1_settings b/configs/qf_mm1_settings deleted file mode 100644 index d37f0dd..0000000 --- a/configs/qf_mm1_settings +++ /dev/null @@ -1,15 +0,0 @@ -# allow anyone to connect -[DEFAULT] -ReconnectInterval=60 -TargetCompID=GOX -SocketConnectPort=5001 -SocketConnectHost=localhost -UseDataDictionary=false -BeginString=FIX.4.4 -HeartBtInt=30 -ResetOnDisconnect=Y -RestOnLogout=Y - -[SESSION] -SenderCompID=MM1 -ConnectionType=initiator diff --git a/configs/qf_mm2_settings b/configs/qf_mm2_settings deleted file mode 100644 index 4ce3f1e..0000000 --- a/configs/qf_mm2_settings +++ /dev/null @@ -1,15 +0,0 @@ -# allow anyone to connect -[DEFAULT] -ReconnectInterval=60 -TargetCompID=GOX -SocketConnectPort=5001 -SocketConnectHost=localhost -UseDataDictionary=false -BeginString=FIX.4.4 -HeartBtInt=30 -ResetOnDisconnect=Y -RestOnLogout=Y - -[SESSION] -SenderCompID=MM2 -ConnectionType=initiator diff --git a/configs/qf_mm3_settings b/configs/qf_mm3_settings deleted file mode 100644 index 01d877d..0000000 --- a/configs/qf_mm3_settings +++ /dev/null @@ -1,15 +0,0 @@ -# allow anyone to connect -[DEFAULT] -ReconnectInterval=60 -TargetCompID=GOX -SocketConnectPort=5001 -SocketConnectHost=localhost -UseDataDictionary=false -BeginString=FIX.4.4 -HeartBtInt=30 -ResetOnDisconnect=Y -RestOnLogout=Y - -[SESSION] -SenderCompID=MM3 -ConnectionType=initiator diff --git a/configs/qf_mm4_settings b/configs/qf_mm4_settings deleted file mode 100644 index 9cde16d..0000000 --- a/configs/qf_mm4_settings +++ /dev/null @@ -1,15 +0,0 @@ -# allow anyone to connect -[DEFAULT] -ReconnectInterval=60 -TargetCompID=GOX -SocketConnectPort=5001 -SocketConnectHost=localhost -UseDataDictionary=false -BeginString=FIX.4.4 -HeartBtInt=30 -ResetOnDisconnect=Y -RestOnLogout=Y - -[SESSION] -SenderCompID=MM4 -ConnectionType=initiator diff --git a/configs/qf_playback_settings b/configs/qf_playback_settings deleted file mode 100644 index 4782541..0000000 --- a/configs/qf_playback_settings +++ /dev/null @@ -1,15 +0,0 @@ -# allow anyone to connect -[DEFAULT] -ReconnectInterval=60 -TargetCompID=GOX -SocketConnectPort=5001 -SocketConnectHost=localhost -UseDataDictionary=false -BeginString=FIX.4.4 -HeartBtInt=30 -ResetOnDisconnect=Y -RestOnLogout=Y - -[SESSION] -SenderCompID=PLAYBACK -ConnectionType=initiator diff --git a/internal/exchange/qfixapp.go b/internal/exchange/qfixapp.go index 10e7202..351036f 100644 --- a/internal/exchange/qfixapp.go +++ b/internal/exchange/qfixapp.go @@ -2,11 +2,12 @@ package exchange import ( "fmt" + "strconv" + "sync" + "github.com/quickfixgo/fix44/securitydefinition" "github.com/quickfixgo/fix44/securitylistrequest" . "github.com/robaho/fixed" - "strconv" - "sync" "github.com/quickfixgo/enum" "github.com/quickfixgo/field" @@ -61,6 +62,7 @@ func (app *myApplication) OnLogout(sessionID quickfix.SessionID) { } func (app *myApplication) ToAdmin(message *quickfix.Message, sessionID quickfix.SessionID) { + // fmt.Println("sending admin, ", message) } func (app *myApplication) ToApp(message *quickfix.Message, sessionID quickfix.SessionID) error { @@ -68,6 +70,7 @@ func (app *myApplication) ToApp(message *quickfix.Message, sessionID quickfix.Se } func (app *myApplication) FromAdmin(message *quickfix.Message, sessionID quickfix.SessionID) quickfix.MessageRejectError { + // fmt.Println("received admin, ", message) return nil } diff --git a/pkg/connector/qfix/connector.go b/pkg/connector/qfix/connector.go index bca8fb9..c570c23 100644 --- a/pkg/connector/qfix/connector.go +++ b/pkg/connector/qfix/connector.go @@ -1,9 +1,7 @@ package qfix import ( - "github.com/quickfixgo/fix44/securitydefinitionrequest" - "github.com/quickfixgo/fix44/securitylistrequest" - . "github.com/robaho/fixed" + "fmt" "io" "os" "strconv" @@ -11,6 +9,10 @@ import ( "sync/atomic" "time" + "github.com/quickfixgo/fix44/securitydefinitionrequest" + "github.com/quickfixgo/fix44/securitylistrequest" + . "github.com/robaho/fixed" + "github.com/quickfixgo/enum" "github.com/quickfixgo/field" "github.com/quickfixgo/fix44/massquote" @@ -36,6 +38,7 @@ type qfixConnector struct { settings string log io.Writer secReqId int64 + senderCompID string } func (c *qfixConnector) IsConnected() bool { @@ -52,8 +55,8 @@ func (c *qfixConnector) Connect() error { panic(err) } appSettings, err := quickfix.ParseSettings(cfg) - if err != nil { - panic(err) + if err != nil && (c.senderCompID=="" && err.Error()=="no sessions declared") { + panic(fmt.Errorf("no sessions declared and compID not set")) } storeFactory := quickfix.NewMemoryStoreFactory() //logFactory, _ := quickfix.NewFileLogFactory(appSettings) @@ -65,13 +68,26 @@ func (c *qfixConnector) Connect() error { } else { logFactory = quickfix.NewNullLogFactory() } + + if c.senderCompID!="" { + if len(appSettings.SessionSettings())>0 { + panic("cannot set compID and also specify session configuration") + } + // override sender comp ID + ss := quickfix.SessionSettings{} + ss.Set("SenderCompID",c.senderCompID); + ss.Set("ConnectionType","initiator"); + c.sessionID, _ = appSettings.AddSession(&ss) + } else { + c.sessionID = getSession(appSettings.SessionSettings()) + } + initiator, err := quickfix.NewInitiator(newApplication(c), storeFactory, appSettings, logFactory) if err != nil { panic(err) } c.initiator = initiator - c.sessionID = getSession(appSettings.SessionSettings()) err = initiator.Start() if err != nil { @@ -255,7 +271,8 @@ func NewConnector(callback ConnectorCallback, props Properties, logOutput io.Wri } filename := props.GetString("fix", "") - c := &qfixConnector{settings: filename, log: logOutput} + senderCompID := props.GetString("senderCompID", "") + c := &qfixConnector{settings: filename, log: logOutput, senderCompID: senderCompID} c.callback = callback return c diff --git a/pkg/connector/qfix/qfixapp.go b/pkg/connector/qfix/qfixapp.go index e46d9f2..555a31d 100644 --- a/pkg/connector/qfix/qfixapp.go +++ b/pkg/connector/qfix/qfixapp.go @@ -2,9 +2,10 @@ package qfix import ( "fmt" + "strings" + "github.com/quickfixgo/fix44/securitydefinition" "github.com/robaho/fixed" - "strings" "github.com/quickfixgo/enum" "github.com/quickfixgo/fix44/executionreport" @@ -51,6 +52,7 @@ func (app *myApplication) ToApp(message *quickfix.Message, sessionID quickfix.Se } func (app *myApplication) FromAdmin(message *quickfix.Message, sessionID quickfix.SessionID) quickfix.MessageRejectError { + // fmt.Fprintln(app.c.log, "received admin",message); return nil } From 47a13cd03ea4f0b8c690e5413c69b5267b060fc9 Mon Sep 17 00:00:00 2001 From: robert engels Date: Mon, 22 Jul 2024 11:35:28 -0500 Subject: [PATCH 27/52] upgrade quickfixgo --- go.mod | 9 +++++---- go.sum | 10 ++++++++++ 2 files changed, 15 insertions(+), 4 deletions(-) diff --git a/go.mod b/go.mod index af535d9..caeaa95 100644 --- a/go.mod +++ b/go.mod @@ -10,11 +10,11 @@ require ( github.com/quickfixgo/enum v0.1.0 github.com/quickfixgo/field v0.1.0 github.com/quickfixgo/fix44 v0.1.0 - github.com/quickfixgo/quickfix v0.9.0 + github.com/quickfixgo/quickfix v0.9.4 github.com/robaho/fixed v0.0.0-20230815003229-929de1ea03c3 github.com/robaho/gocui v0.3.1 - github.com/shopspring/decimal v1.3.1 - golang.org/x/net v0.19.0 + github.com/shopspring/decimal v1.4.0 + golang.org/x/net v0.24.0 google.golang.org/grpc v1.60.0 ) @@ -23,8 +23,9 @@ require ( github.com/fsnotify/fsnotify v1.7.0 // indirect github.com/mattn/go-runewidth v0.0.9 // indirect github.com/nsf/termbox-go v1.1.1 // indirect + github.com/pires/go-proxyproto v0.7.0 // indirect github.com/quickfixgo/tag v0.1.0 // indirect - golang.org/x/sys v0.15.0 // indirect + golang.org/x/sys v0.19.0 // indirect golang.org/x/text v0.14.0 // indirect google.golang.org/genproto/googleapis/rpc v0.0.0-20231002182017-d307bd883b97 // indirect google.golang.org/protobuf v1.31.0 // indirect diff --git a/go.sum b/go.sum index 26c2c81..1cdf6bc 100644 --- a/go.sum +++ b/go.sum @@ -20,6 +20,8 @@ github.com/mattn/go-sqlite3 v1.14.18 h1:JL0eqdCOq6DJVNPSvArO/bIV9/P7fbGrV00LZHc+ github.com/mattn/go-sqlite3 v1.14.18/go.mod h1:2eHXhiwb8IkHr+BDWZGa96P6+rkvnG63S2DGjv9HUNg= github.com/nsf/termbox-go v1.1.1 h1:nksUPLCb73Q++DwbYUBEglYBRPZyoXJdrj5L+TkjyZY= github.com/nsf/termbox-go v1.1.1/go.mod h1:T0cTdVuOwf7pHQNtfhnEbzHbcNyCEcVU4YPpouCbVxo= +github.com/pires/go-proxyproto v0.7.0 h1:IukmRewDQFWC7kfnb66CSomk2q/seBuilHBYFwyq0Hs= +github.com/pires/go-proxyproto v0.7.0/go.mod h1:Vz/1JPY/OACxWGQNIRY2BeyDmpoaWmEP40O9LbuiFR4= github.com/pkg/errors v0.9.1 h1:FEBLx1zS214owpjy7qsBeixbURkuhQAwrK5UwLGTwt4= github.com/pkg/errors v0.9.1/go.mod h1:bwawxfHBFNV+L2hUp1rHADufV3IMtnDRdf1r5NINEl0= github.com/pmezard/go-difflib v1.0.0 h1:4DBwDE0NGyQoBHbLQYPwSUPoCMWR5BEzIk/f1lZbAQM= @@ -32,6 +34,8 @@ github.com/quickfixgo/fix44 v0.1.0 h1:g/rTl6mXDlG7iIMbY7zaPbHcj9N/B+tteOZ01yGzeS github.com/quickfixgo/fix44 v0.1.0/go.mod h1:d6Ia02Eq/JYgKCn/2V9FHxguAl1Alp/yu/xVpry82dA= github.com/quickfixgo/quickfix v0.9.0 h1:WshR3GUSxR69ZrSQfppKs2zZ12dTYtU3JUgQg+PAOdA= github.com/quickfixgo/quickfix v0.9.0/go.mod h1:t5Z881dOZ2Dz5vM6KIbMCx3YpAiFPFf/iCLCSn91Qqo= +github.com/quickfixgo/quickfix v0.9.4 h1:wwZKGk09wjuRDkqid6dYW7DJrSb7UcaxIvm44orx55I= +github.com/quickfixgo/quickfix v0.9.4/go.mod h1:Epcqgr7ARlUYUsl/bkEXUcbWoCCB048u6zBXLTC6F88= github.com/quickfixgo/tag v0.1.0 h1:R2A1Zf7CBE903+mOQlmTlfTmNZQz/yh7HunMbgcsqsA= github.com/quickfixgo/tag v0.1.0/go.mod h1:l/drB1eO3PwN9JQTDC9Vt2EqOcaXk3kGJ+eeCQljvAI= github.com/robaho/fixed v0.0.0-20230815003229-929de1ea03c3 h1:z2AXOxvJ7rXsbyv3s9NIZBKAJgEtSE6/lR/TWafkm0w= @@ -42,14 +46,20 @@ github.com/robaho/gocui v0.3.1 h1:8CfmzgaK/Cgx3tMEsYDyvxGIkHZ6pYn5m826YG0oUeo= github.com/robaho/gocui v0.3.1/go.mod h1:pGoMrUaM3DO8ORottR2+ffXjklvRVW0pUnXF77AK6Ow= github.com/shopspring/decimal v1.3.1 h1:2Usl1nmF/WZucqkFZhnfFYxxxu8LG21F6nPQBE5gKV8= github.com/shopspring/decimal v1.3.1/go.mod h1:DKyhrW/HYNuLGql+MJL6WCR6knT2jwCFRcu2hWCYk4o= +github.com/shopspring/decimal v1.4.0 h1:bxl37RwXBklmTi0C79JfXCEBD1cqqHt0bbgBAGFp81k= +github.com/shopspring/decimal v1.4.0/go.mod h1:gawqmDU56v4yIKSwfBSFip1HdCCXN8/+DMd9qYNcwME= github.com/stretchr/objx v0.5.0 h1:1zr/of2m5FGMsad5YfcqgdqdWrIhu+EBEJRhR1U7z/c= github.com/stretchr/objx v0.5.0/go.mod h1:Yh+to48EsGEfYuaHDzXPcE3xhTkx73EhmCGUpEOglKo= github.com/stretchr/testify v1.8.4 h1:CcVxjf3Q8PM0mHUKJCdn+eZZtm5yQwehR5yeSVQQcUk= github.com/stretchr/testify v1.8.4/go.mod h1:sz/lmYIOXD/1dqDmKjjqLyZ2RngseejIcXlSw2iwfAo= golang.org/x/net v0.19.0 h1:zTwKpTd2XuCqf8huc7Fo2iSy+4RHPd10s4KzeTnVr1c= golang.org/x/net v0.19.0/go.mod h1:CfAk/cbD4CthTvqiEl8NpboMuiuOYsAr/7NOjZJtv1U= +golang.org/x/net v0.24.0 h1:1PcaxkF854Fu3+lvBIx5SYn9wRlBzzcnHZSiaFFAb0w= +golang.org/x/net v0.24.0/go.mod h1:2Q7sJY5mzlzWjKtYUEXSlBWCdyaioyXzRB2RtU8KVE8= golang.org/x/sys v0.15.0 h1:h48lPFYpsTvQJZF4EKyI4aLHaev3CxivZmv7yZig9pc= golang.org/x/sys v0.15.0/go.mod h1:/VUhepiaJMQUp4+oa/7Zr1D23ma6VTLIYjOOTFZPUcA= +golang.org/x/sys v0.19.0 h1:q5f1RH2jigJ1MoAWp2KTp3gm5zAGFUTarQZ5U386+4o= +golang.org/x/sys v0.19.0/go.mod h1:/VUhepiaJMQUp4+oa/7Zr1D23ma6VTLIYjOOTFZPUcA= golang.org/x/text v0.14.0 h1:ScX5w1eTa3QqT8oi6+ziP7dTV1S2+ALU0bI+0zXKWiQ= golang.org/x/text v0.14.0/go.mod h1:18ZOQIKpY8NJVqYksKHtTdi31H5itFRjB5/qKTNYzSU= golang.org/x/xerrors v0.0.0-20191204190536-9bdfabe68543/go.mod h1:I/5z698sn9Ka8TeJc9MKroUUfqBBauWjQqLJ2OPfmY0= From 49373ada18ee72af790a0ca120e088aea2580a96 Mon Sep 17 00:00:00 2001 From: robert engels Date: Mon, 22 Jul 2024 11:37:38 -0500 Subject: [PATCH 28/52] allow single market maker process to quote multiple symbols --- cmd/marketmaker/main.go | 67 ++++++++++++++++++++------ pkg/common/properties.go | 10 +++- pkg/connector/grpc/connector.go | 12 ++--- pkg/connector/marketdata/marketdata.go | 20 ++++---- pkg/connector/qfix/connector.go | 3 +- 5 files changed, 76 insertions(+), 36 deletions(-) diff --git a/cmd/marketmaker/main.go b/cmd/marketmaker/main.go index 5fc3604..d6cd006 100644 --- a/cmd/marketmaker/main.go +++ b/cmd/marketmaker/main.go @@ -7,6 +7,8 @@ import ( "math/rand" "os" "runtime/pprof" + "strings" + "sync" "sync/atomic" "time" @@ -41,9 +43,9 @@ func (*MyCallback) OnTrade(trade *Trade) { } func main() { - var callback = MyCallback{make(chan bool, 128), ""} symbol := flag.String("symbol", "IBM", "set the symbol") + symbols := flag.String("symbols", "", "set the comma delimited list of symbols") fix := flag.String("fix", "configs/qf_connector_settings", "set the fix session file") props := flag.String("props", "configs/got_settings", "set exchange properties file") delay := flag.Int("delay", 0, "set the delay in ms after each quote, 0 to disable") @@ -55,6 +57,20 @@ func main() { flag.Parse() + quotedSymbols := make([]string,0); + + if(*symbols!="") { + quotedSymbols = append(quotedSymbols,strings.Split(*symbols,",")...) + } else if(*symbol!="") { + quotedSymbols = append(quotedSymbols,*symbol) + } + + fmt.Println("quoted symbols: ",strings.Join(quotedSymbols,",")) + + if len(quotedSymbols)==0 { + panic("most provide either symbols or symbol") + } + if *cpuprofile != "" { f, err := os.Create(*cpuprofile) if err != nil { @@ -64,8 +80,6 @@ func main() { defer pprof.StopCPUProfile() } - callback.symbol = *symbol - p, err := NewProperties(*props) if err != nil { panic(err) @@ -74,13 +88,33 @@ func main() { p.SetString("protocol", *proto) } p.SetString("fix", *fix) + p.SetString("senderCompID", *senderCompID) - if *symbolAsCompID { - p.SetString("senderCompID", *symbol) - } else { - p.SetString("senderCompID", *senderCompID) + if len(quotedSymbols)>0 { + // have to use symbol as senderCompID if quoting multiple symbols since multiple connections are used + *symbolAsCompID=true; } + var wg sync.WaitGroup + + for _,symbol := range quotedSymbols { + wg.Add(1) + go quoteSymbol(symbol,p,*duration,*delay,*symbolAsCompID, &wg) + } + wg.Wait() +} + +func quoteSymbol(symbol string, p Properties,duration int, delay int,symbolAsCompID bool,wg *sync.WaitGroup) { + defer wg.Done() + p = p.Clone() + + if symbolAsCompID { + fmt.Println("setting senderCompID to",symbol) + p.SetString("senderCompID", symbol) + } + + var callback = MyCallback{make(chan bool, 128), symbol} + var exchange = connector.NewConnector(&callback, p, nil) exchange.Connect() @@ -88,20 +122,20 @@ func main() { panic("exchange is not connected") } - err = exchange.DownloadInstruments() + err := exchange.DownloadInstruments() if err != nil { panic(err) } - instrument := IMap.GetBySymbol(callback.symbol) + instrument := IMap.GetBySymbol(symbol) if instrument == nil { - log.Fatal("unknown symbol", callback.symbol) + log.Fatal("unknown symbol", symbol) } var updates uint64 start := time.Now() - end := start.Add(time.Duration(int64(*duration)) * time.Second) + end := start.Add(time.Duration(int64(duration)) * time.Second) fmt.Println("sending quotes on", instrument.Symbol(), "...") @@ -117,7 +151,7 @@ func main() { h := gohistogram.NewHistogram(50) - for *duration == 0 || time.Now().Before(end) { + for duration == 0 || time.Now().Before(end) { var delta = 1 var r = r.Intn(10) if r <= 2 { @@ -152,13 +186,14 @@ func main() { } <-callback.ch // drain channel - for len(callback.ch) > 0 { - <-callback.ch + if len(callback.ch) > 0 { + for range callback.ch { + } } } h.Add(float64(time.Since(now).Nanoseconds())) - if *delay != 0 { - time.Sleep(time.Duration(int64(*delay)) * time.Millisecond) + if delay != 0 { + time.Sleep(time.Duration(int64(delay)) * time.Millisecond) } atomic.AddUint64(&updates, 1) if time.Since(start).Seconds() > 10 { diff --git a/pkg/common/properties.go b/pkg/common/properties.go index 21d06c6..c6a977e 100644 --- a/pkg/common/properties.go +++ b/pkg/common/properties.go @@ -3,6 +3,7 @@ package common import ( "bufio" "io" + "maps" "os" "strings" ) @@ -12,13 +13,14 @@ import ( type Properties interface { GetString(key string, def string) string SetString(key string, value string) + Clone() Properties } type properties struct { props map[string]string } -func (p *properties) GetString(key string, def string) string { +func (p properties) GetString(key string, def string) string { key = strings.TrimSpace(key) v, ok := p.props[key] if !ok { @@ -27,11 +29,15 @@ func (p *properties) GetString(key string, def string) string { return v } -func (p *properties) SetString(key string, value string) { +func (p properties) SetString(key string, value string) { key = strings.TrimSpace(key) p.props[key] = value } +func (p properties) Clone() Properties { + return properties{props: maps.Clone(p.props)} +} + func NewProperties(file string) (Properties, error) { inputFile, err := os.Open(file) if err != nil { diff --git a/pkg/connector/grpc/connector.go b/pkg/connector/grpc/connector.go index 4bf4a68..39b6d39 100644 --- a/pkg/connector/grpc/connector.go +++ b/pkg/connector/grpc/connector.go @@ -2,15 +2,16 @@ package grpc import ( "context" - . "github.com/robaho/fixed" - . "github.com/robaho/go-trader/pkg/common" - "github.com/robaho/go-trader/pkg/protocol" - "google.golang.org/grpc" "io" "log" "os" "strings" "sync" + + . "github.com/robaho/fixed" + . "github.com/robaho/go-trader/pkg/common" + "github.com/robaho/go-trader/pkg/protocol" + "google.golang.org/grpc" ) type grpcConnector struct { @@ -350,8 +351,7 @@ func NewConnector(callback ConnectorCallback, props Properties, logOutput io.Wri if logOutput == nil { logOutput = os.Stdout } - c := &grpcConnector{props: props, log: logOutput} - c.callback = callback + c := &grpcConnector{props: props, log: logOutput, callback: callback} return c } diff --git a/pkg/connector/marketdata/marketdata.go b/pkg/connector/marketdata/marketdata.go index 209c0ba..f1cb540 100644 --- a/pkg/connector/marketdata/marketdata.go +++ b/pkg/connector/marketdata/marketdata.go @@ -19,13 +19,15 @@ type marketDataReceiver struct { c ExchangeConnector callback ConnectorCallback log io.Writer + lastSequence map[Instrument]uint64 + seqLock sync.Mutex } // StartMarketDataReceiver starts the multicast marketdata processor func StartMarketDataReceiver(c ExchangeConnector, callback ConnectorCallback, props Properties, logOutput io.Writer) { // read settings and create socket - md := marketDataReceiver{c: c, callback: callback, log: logOutput} + md := marketDataReceiver{c: c, callback: callback, log: logOutput, lastSequence: make(map[Instrument]uint64)} saddr := props.GetString("multicast_addr", "") if saddr == "" { @@ -62,12 +64,13 @@ func StartMarketDataReceiver(c ExchangeConnector, callback ConnectorCallback, pr var packetNumber uint64 = 0 l, err := net.ListenMulticastUDP("udp", _intf, addr) if err != nil { + fmt.Println("unable to open multicast socket") panic(err) } log.Println("listening for market data on", l.LocalAddr()) l.SetReadBuffer(16 * 1024 * 1024) + b := make([]byte, protocol.MaxMsgSize) for { - b := make([]byte, protocol.MaxMsgSize) n, _, err := l.ReadFromUDP(b) if err != nil { log.Fatal("ReadFromUDP failed:", err) @@ -134,7 +137,7 @@ func (c *marketDataReceiver) packetReceived(expected uint64, buf []byte) uint64 if pn < expected { // server restart, reset the packet numbers expected = 0 - lastSequence = make(map[Instrument]uint64) + c.lastSequence = make(map[Instrument]uint64) } if expected != 0 && pn != expected { @@ -148,12 +151,9 @@ func (c *marketDataReceiver) packetReceived(expected uint64, buf []byte) uint64 return pn + 1 } -var lastSequence = make(map[Instrument]uint64) -var seqLock = sync.Mutex{} - func (c *marketDataReceiver) processPacket(packet []byte) { - seqLock.Lock() // need locking because the main md go routine and the replay go routine call through here - defer seqLock.Unlock() + c.seqLock.Lock() // need locking because the main md go routine and the replay go routine call through here + defer c.seqLock.Unlock() packet = packet[8:] // skip over packet number @@ -162,10 +162,10 @@ func (c *marketDataReceiver) processPacket(packet []byte) { for buf.Len() > 0 { book, trades := protocol.DecodeMarketEvent(buf) if book != nil { - last, ok := lastSequence[book.Instrument] + last, ok := c.lastSequence[book.Instrument] if (ok && book.Sequence > last) || !ok { c.callback.OnBook(book) - lastSequence[book.Instrument] = book.Sequence + c.lastSequence[book.Instrument] = book.Sequence } } for _, trade := range trades { diff --git a/pkg/connector/qfix/connector.go b/pkg/connector/qfix/connector.go index c570c23..860c3b3 100644 --- a/pkg/connector/qfix/connector.go +++ b/pkg/connector/qfix/connector.go @@ -272,8 +272,7 @@ func NewConnector(callback ConnectorCallback, props Properties, logOutput io.Wri filename := props.GetString("fix", "") senderCompID := props.GetString("senderCompID", "") - c := &qfixConnector{settings: filename, log: logOutput, senderCompID: senderCompID} - c.callback = callback + c := &qfixConnector{settings: filename, log: logOutput, senderCompID: senderCompID, callback: callback} return c } From 816c6635d33f0395473fd198a6a486e0b394846c Mon Sep 17 00:00:00 2001 From: robert engels Date: Mon, 22 Jul 2024 11:48:45 -0500 Subject: [PATCH 29/52] set logOutput to stdout if nil --- pkg/connector/connector.go | 8 +++++++- pkg/connector/grpc/connector.go | 5 ----- pkg/connector/qfix/connector.go | 4 ---- 3 files changed, 7 insertions(+), 10 deletions(-) diff --git a/pkg/connector/connector.go b/pkg/connector/connector.go index 15bedf3..72ebc9e 100644 --- a/pkg/connector/connector.go +++ b/pkg/connector/connector.go @@ -1,16 +1,22 @@ package connector import ( + "io" + "os" + "github.com/robaho/go-trader/pkg/common" "github.com/robaho/go-trader/pkg/connector/grpc" "github.com/robaho/go-trader/pkg/connector/marketdata" "github.com/robaho/go-trader/pkg/connector/qfix" - "io" ) func NewConnector(callback common.ConnectorCallback, props common.Properties, logOutput io.Writer) common.ExchangeConnector { var c common.ExchangeConnector + if logOutput==nil { + logOutput = os.Stdout + } + if "grpc" == props.GetString("protocol", "fix") { c = grpc.NewConnector(callback, props, logOutput) } else { diff --git a/pkg/connector/grpc/connector.go b/pkg/connector/grpc/connector.go index 39b6d39..2e7e077 100644 --- a/pkg/connector/grpc/connector.go +++ b/pkg/connector/grpc/connector.go @@ -4,7 +4,6 @@ import ( "context" "io" "log" - "os" "strings" "sync" @@ -348,10 +347,6 @@ func (c *grpcConnector) handleExecutionReport(rpt *protocol.ExecutionReport) { } func NewConnector(callback ConnectorCallback, props Properties, logOutput io.Writer) ExchangeConnector { - if logOutput == nil { - logOutput = os.Stdout - } c := &grpcConnector{props: props, log: logOutput, callback: callback} - return c } diff --git a/pkg/connector/qfix/connector.go b/pkg/connector/qfix/connector.go index 860c3b3..03f9557 100644 --- a/pkg/connector/qfix/connector.go +++ b/pkg/connector/qfix/connector.go @@ -266,10 +266,6 @@ func (c *qfixConnector) GetOrder(id OrderID) *Order { } func NewConnector(callback ConnectorCallback, props Properties, logOutput io.Writer) ExchangeConnector { - if logOutput == nil { - logOutput = os.Stdout - } - filename := props.GetString("fix", "") senderCompID := props.GetString("senderCompID", "") c := &qfixConnector{settings: filename, log: logOutput, senderCompID: senderCompID, callback: callback} From 00dfe8f726945527bdfa93f1b71227c8a1b05e58 Mon Sep 17 00:00:00 2001 From: robert engels Date: Mon, 22 Jul 2024 12:23:15 -0500 Subject: [PATCH 30/52] single connector marketdata processor per exchange --- pkg/connector/marketdata/marketdata.go | 37 +++++++++++++++++++++----- 1 file changed, 31 insertions(+), 6 deletions(-) diff --git a/pkg/connector/marketdata/marketdata.go b/pkg/connector/marketdata/marketdata.go index f1cb540..58342ec 100644 --- a/pkg/connector/marketdata/marketdata.go +++ b/pkg/connector/marketdata/marketdata.go @@ -8,6 +8,7 @@ import ( "log" "net" "sync" + "sync/atomic" . "github.com/robaho/go-trader/pkg/common" "github.com/robaho/go-trader/pkg/protocol" @@ -17,23 +18,40 @@ var replayRequests = make(chan protocol.ReplayRequest, 1000) type marketDataReceiver struct { c ExchangeConnector - callback ConnectorCallback + callbacks atomic.Value log io.Writer lastSequence map[Instrument]uint64 seqLock sync.Mutex } +var receivers = make(map[string]*marketDataReceiver) +var mdLock = sync.Mutex{} + // StartMarketDataReceiver starts the multicast marketdata processor func StartMarketDataReceiver(c ExchangeConnector, callback ConnectorCallback, props Properties, logOutput io.Writer) { - // read settings and create socket + mdLock.Lock() + defer mdLock.Unlock() - md := marketDataReceiver{c: c, callback: callback, log: logOutput, lastSequence: make(map[Instrument]uint64)} + // read settings and create socket saddr := props.GetString("multicast_addr", "") if saddr == "" { panic("unable to read multicast addr") } + existing,ok := receivers[saddr] + if ok { + fmt.Fprintln(logOutput,"adding connector to existing md connector",saddr) + // existing receiver for this address, so only add our callback + callbacks := existing.callbacks.Load().([]ConnectorCallback) + callbacks = append(callbacks, callback) + existing.callbacks.Store(callbacks) + return + } + + md := marketDataReceiver{c: c, log: logOutput, lastSequence: make(map[Instrument]uint64)} + md.callbacks.Store([]ConnectorCallback{callback}) + intf := props.GetString("multicast_intf", "lo0") if intf == "" { panic("unable to read multicast interface") @@ -60,6 +78,8 @@ func StartMarketDataReceiver(c ExchangeConnector, callback ConnectorCallback, pr panic(err) } + receivers[saddr]=&md + go func() { var packetNumber uint64 = 0 l, err := net.ListenMulticastUDP("udp", _intf, addr) @@ -159,18 +179,23 @@ func (c *marketDataReceiver) processPacket(packet []byte) { buf := bytes.NewBuffer(packet) + callbacks := c.callbacks.Load().([]ConnectorCallback) + for buf.Len() > 0 { book, trades := protocol.DecodeMarketEvent(buf) if book != nil { last, ok := c.lastSequence[book.Instrument] if (ok && book.Sequence > last) || !ok { - c.callback.OnBook(book) + for _,callback := range callbacks { + callback.OnBook(book) + } c.lastSequence[book.Instrument] = book.Sequence } } for _, trade := range trades { - c.callback.OnTrade(&trade) + for _,callback := range callbacks { + callback.OnTrade(&trade) + } } } - } From 7ef7019a3aa589621b591abf5f576dc2e3637dfc Mon Sep 17 00:00:00 2001 From: robert engels Date: Mon, 22 Jul 2024 13:57:35 -0500 Subject: [PATCH 31/52] ability to set the market data buffer size --- cmd/marketmaker/main.go | 4 ++++ pkg/common/properties.go | 15 +++++++++++++++ pkg/connector/marketdata/marketdata.go | 2 +- 3 files changed, 20 insertions(+), 1 deletion(-) diff --git a/cmd/marketmaker/main.go b/cmd/marketmaker/main.go index d6cd006..3b454fa 100644 --- a/cmd/marketmaker/main.go +++ b/cmd/marketmaker/main.go @@ -54,6 +54,7 @@ func main() { cpuprofile := flag.String("cpuprofile", "", "write cpu profile to file") senderCompID := flag.String("id", "MM", "set the SenderCompID") symbolAsCompID := flag.Bool("sid", false, "use symbol as SenderCompID") + mdbs := flag.String("mdbs", "", "market data buffer size (e.g. 1M, 16384, etc.)") flag.Parse() @@ -89,6 +90,9 @@ func main() { } p.SetString("fix", *fix) p.SetString("senderCompID", *senderCompID) + if *mdbs!="" { + p.SetString("marketdata_buffer", *mdbs) + } if len(quotedSymbols)>0 { // have to use symbol as senderCompID if quoting multiple symbols since multiple connections are used diff --git a/pkg/common/properties.go b/pkg/common/properties.go index c6a977e..d99676b 100644 --- a/pkg/common/properties.go +++ b/pkg/common/properties.go @@ -13,6 +13,7 @@ import ( type Properties interface { GetString(key string, def string) string SetString(key string, value string) + GetBytes(key string, def int) int Clone() Properties } @@ -34,6 +35,20 @@ func (p properties) SetString(key string, value string) { p.props[key] = value } +func (p properties) GetBytes(key string, def int) int { + key = strings.TrimSpace(key) + v, ok := p.props[key] + if !ok { + return def + } + v = strings.ToUpper(v) + if strings.HasSuffix(v,"M") { + return ParseInt(v[:len(v)-1]) * 1024 * 1024 + } + return ParseInt(v) +} + + func (p properties) Clone() Properties { return properties{props: maps.Clone(p.props)} } diff --git a/pkg/connector/marketdata/marketdata.go b/pkg/connector/marketdata/marketdata.go index 58342ec..4ec8d55 100644 --- a/pkg/connector/marketdata/marketdata.go +++ b/pkg/connector/marketdata/marketdata.go @@ -88,7 +88,7 @@ func StartMarketDataReceiver(c ExchangeConnector, callback ConnectorCallback, pr panic(err) } log.Println("listening for market data on", l.LocalAddr()) - l.SetReadBuffer(16 * 1024 * 1024) + l.SetReadBuffer(props.GetBytes("marketdata_buffer",1024*1024)) b := make([]byte, protocol.MaxMsgSize) for { n, _, err := l.ReadFromUDP(b) From bc63ad8441d9b00ef9cf16df74c31a7e5cce0d42 Mon Sep 17 00:00:00 2001 From: robert engels Date: Mon, 22 Jul 2024 15:41:49 -0500 Subject: [PATCH 32/52] add benchmark market maker --- cmd/marketmaker/main.go | 15 ++++++++++----- configs/got_settings | 3 ++- configs/instruments.txt | 20 ++++++++++++++++++++ go.mod | 2 +- internal/exchange/marketdata.go | 18 +++++++++++------- 5 files changed, 44 insertions(+), 14 deletions(-) diff --git a/cmd/marketmaker/main.go b/cmd/marketmaker/main.go index 3b454fa..eac7af0 100644 --- a/cmd/marketmaker/main.go +++ b/cmd/marketmaker/main.go @@ -44,8 +44,9 @@ func (*MyCallback) OnTrade(trade *Trade) { func main() { - symbol := flag.String("symbol", "IBM", "set the symbol") + symbol := flag.String("symbol", "", "set the symbol") symbols := flag.String("symbols", "", "set the comma delimited list of symbols") + bench := flag.Int("bench", 0, "benchmark market maker using N symbols (n > 0)") fix := flag.String("fix", "configs/qf_connector_settings", "set the fix session file") props := flag.String("props", "configs/got_settings", "set exchange properties file") delay := flag.Int("delay", 0, "set the delay in ms after each quote, 0 to disable") @@ -60,16 +61,20 @@ func main() { quotedSymbols := make([]string,0); - if(*symbols!="") { + if *symbols!="" { quotedSymbols = append(quotedSymbols,strings.Split(*symbols,",")...) - } else if(*symbol!="") { + } else if *symbol!="" { quotedSymbols = append(quotedSymbols,*symbol) + } else if *bench!=0 { + for i := range *bench { + quotedSymbols = append(quotedSymbols,fmt.Sprint("S",i+1)) + } } - fmt.Println("quoted symbols: ",strings.Join(quotedSymbols,",")) + fmt.Println("quoted symbols:",strings.Join(quotedSymbols,",")) if len(quotedSymbols)==0 { - panic("most provide either symbols or symbol") + panic("most provide either symbols, symbol, or bench") } if *cpuprofile != "" { diff --git a/configs/got_settings b/configs/got_settings index 79294b9..89dde4e 100644 --- a/configs/got_settings +++ b/configs/got_settings @@ -1,5 +1,6 @@ multicast_addr=224.0.0.100:9999 -multicast_intf=lo0 +multicast_intf=en0 +marketdata_buffer=6M replay_host=localhost replay_port=9999 grpc_port=5000 diff --git a/configs/instruments.txt b/configs/instruments.txt index a8110ba..38f2dff 100644 --- a/configs/instruments.txt +++ b/configs/instruments.txt @@ -32,3 +32,23 @@ 27 S17 28 S18 29 S19 +30 S20 +31 S21 +32 S22 +33 S23 +34 S24 +35 S25 +36 S26 +37 S27 +38 S28 +39 S29 +40 S30 +41 S31 +42 S32 +43 S33 +44 S34 +45 S35 +46 S36 +47 S37 +48 S38 +49 S39 diff --git a/go.mod b/go.mod index caeaa95..808693a 100644 --- a/go.mod +++ b/go.mod @@ -1,6 +1,6 @@ module github.com/robaho/go-trader -go 1.21.0 +go 1.22 require ( github.com/VividCortex/gohistogram v1.0.0 diff --git a/internal/exchange/marketdata.go b/internal/exchange/marketdata.go index ac748d2..776dedb 100644 --- a/internal/exchange/marketdata.go +++ b/internal/exchange/marketdata.go @@ -5,14 +5,15 @@ import ( "container/list" "encoding/binary" "fmt" - . "github.com/robaho/fixed" - "golang.org/x/net/ipv4" "log" "net" "strconv" "sync" "sync/atomic" + . "github.com/robaho/fixed" + "golang.org/x/net/ipv4" + . "github.com/robaho/go-trader/pkg/common" "github.com/robaho/go-trader/pkg/protocol" ) @@ -23,7 +24,7 @@ var bookCache sync.Map var statsCache sync.Map var eventChannel chan MarketEvent -var lastSentBook map[Instrument]uint64 // to avoid publishing exact same book multiple times due to coalescing +var lastSentBook map[string]uint64 // to avoid publishing exact same book multiple times due to coalescing var sequence uint64 var udpCon *net.UDPConn var pUdpCon *ipv4.PacketConn @@ -186,7 +187,7 @@ func publish() { } func getLatestBook(book *Book) *Book { - lastSeq, ok := lastSentBook[book.Instrument] + lastSeq, ok := lastSentBook[book.Instrument.Symbol()] if ok { if lastSeq >= book.Sequence { return nil @@ -238,8 +239,8 @@ func sendPacket(data []byte) { } func startMarketData() { - eventChannel = make(chan MarketEvent, 1000) - lastSentBook = make(map[Instrument]uint64) + eventChannel = make(chan MarketEvent, 1024*1024) + lastSentBook = make(map[string]uint64) // read settings and create socket @@ -276,7 +277,10 @@ func startMarketData() { if err != nil { panic(err) } - c.SetWriteBuffer(1024 * 1024) + err = c.SetWriteBuffer(props.GetBytes("marketdata_buffer",1024 * 1024)) + if err!=nil { + fmt.Println("unable to set udp write buffer size",err) + } udpCon = c pUdpCon = ipv4.NewPacketConn(udpCon) From 0954ff352a9151f1de4b9a0ad4c4c58c7f4e48ec Mon Sep 17 00:00:00 2001 From: robert engels Date: Mon, 22 Jul 2024 16:27:58 -0500 Subject: [PATCH 33/52] log setting of market data buffer size --- internal/exchange/marketdata.go | 7 +++++-- 1 file changed, 5 insertions(+), 2 deletions(-) diff --git a/internal/exchange/marketdata.go b/internal/exchange/marketdata.go index 776dedb..a2eb6c6 100644 --- a/internal/exchange/marketdata.go +++ b/internal/exchange/marketdata.go @@ -277,9 +277,12 @@ func startMarketData() { if err != nil { panic(err) } - err = c.SetWriteBuffer(props.GetBytes("marketdata_buffer",1024 * 1024)) + bufferSize := props.GetBytes("marketdata_buffer",1024 * 1024) + err = c.SetWriteBuffer(bufferSize) if err!=nil { - fmt.Println("unable to set udp write buffer size",err) + fmt.Println("unable to set market data write buffer size to",bufferSize,err) + } else { + fmt.Println("set market data buffer size",bufferSize) } udpCon = c From c0ec80dfaebdce42c6a03e19664f409ea6f90bca Mon Sep 17 00:00:00 2001 From: robert engels Date: Mon, 22 Jul 2024 16:57:03 -0500 Subject: [PATCH 34/52] allow dynamic instrument creation on all connectors --- configs/instruments.txt | 39 ------------------------------------ internal/exchange/grpc.go | 18 ++++++++++++++++- internal/exchange/qfixapp.go | 5 +---- pkg/common/instrumentmap.go | 2 +- 4 files changed, 19 insertions(+), 45 deletions(-) diff --git a/configs/instruments.txt b/configs/instruments.txt index 38f2dff..907ba78 100644 --- a/configs/instruments.txt +++ b/configs/instruments.txt @@ -13,42 +13,3 @@ 3 AMZN 4 GOOG 5 FB -11 S1 -12 S2 -13 S3 -14 S4 -15 S5 -16 S6 -17 S7 -18 S8 -19 S9 -20 S10 -21 S11 -22 S12 -23 S13 -24 S14 -25 S15 -26 S16 -27 S17 -28 S18 -29 S19 -30 S20 -31 S21 -32 S22 -33 S23 -34 S24 -35 S25 -36 S26 -37 S27 -38 S28 -39 S29 -40 S30 -41 S31 -42 S32 -43 S33 -44 S34 -45 S35 -46 S36 -47 S37 -48 S38 -49 S39 diff --git a/internal/exchange/grpc.go b/internal/exchange/grpc.go index bd86638..df8b608 100644 --- a/internal/exchange/grpc.go +++ b/internal/exchange/grpc.go @@ -2,10 +2,11 @@ package exchange import ( "fmt" - . "github.com/robaho/fixed" "log" "strconv" + . "github.com/robaho/fixed" + "github.com/pkg/errors" . "github.com/robaho/go-trader/pkg/common" "github.com/robaho/go-trader/pkg/protocol" @@ -148,6 +149,8 @@ func (s *grpcServer) Connection(conn protocol.Exchange_ConnectionServer) error { err = s.modify(conn, client, msg.GetRequest().(*protocol.InMessage_Modify).Modify) case *protocol.InMessage_Cancel: err = s.cancel(conn, client, msg.GetRequest().(*protocol.InMessage_Cancel).Cancel) + case *protocol.InMessage_Secdefreq: + err = s.createInstrument(conn, client, msg.GetRequest().(*protocol.InMessage_Secdefreq).Secdefreq) } if err != nil { @@ -222,6 +225,19 @@ func (s *grpcServer) cancel(server protocol.Exchange_ConnectionServer, client *g s.e.CancelOrder(client, NewOrderID(strconv.Itoa(int(request.ClOrdId)))) return nil } +func (s *grpcServer) createInstrument(conn protocol.Exchange_ConnectionServer, client *grpcClient, request *protocol.SecurityDefinitionRequest) error { + symbol := request.Symbol + instrument := IMap.GetBySymbol(symbol) + if instrument != nil { + sec := &protocol.OutMessage_Secdef{Secdef: &protocol.SecurityDefinition{Symbol: symbol, InstrumentID: instrument.ID()}} + return conn.Send(&protocol.OutMessage{Reply: sec}) + } else { + instrument = NewInstrument(IMap.NextID(), symbol) + IMap.Put(instrument) + sec := &protocol.OutMessage_Secdef{Secdef: &protocol.SecurityDefinition{Symbol: symbol, InstrumentID: instrument.ID()}} + return conn.Send(&protocol.OutMessage{Reply: sec}) + } +} func toErrS(err error) string { if err == nil { diff --git a/internal/exchange/qfixapp.go b/internal/exchange/qfixapp.go index 351036f..c2d5d82 100644 --- a/internal/exchange/qfixapp.go +++ b/internal/exchange/qfixapp.go @@ -219,8 +219,7 @@ func (app *myApplication) onSecurityDefinitionRequest(msg securitydefinitionrequ if instrument != nil { app.sendInstrument(instrument, reqid, sessionID) } else { - app.instrumentID++ - instrument = NewInstrument(app.instrumentID, symbol) + instrument = NewInstrument(IMap.NextID(),symbol) IMap.Put(instrument) app.sendInstrument(instrument, reqid, sessionID) } @@ -325,6 +324,4 @@ func init() { App.AddRoute(massquote.Route(App.onMassQuote)) App.AddRoute(securitydefinitionrequest.Route(App.onSecurityDefinitionRequest)) App.AddRoute(securitylistrequest.Route(App.onSecurityListRequest)) - - App.instrumentID = 1000000 // start high for dynamic instruments } diff --git a/pkg/common/instrumentmap.go b/pkg/common/instrumentmap.go index b77f085..a0702ca 100644 --- a/pkg/common/instrumentmap.go +++ b/pkg/common/instrumentmap.go @@ -45,7 +45,7 @@ func (im *instrumentMap) AllSymbols() []string { // the put/nextID are only needed if dynamic instrument creation is added, or for test cases -func (im *instrumentMap) nextID() int64 { +func (im *instrumentMap) NextID() int64 { return atomic.AddInt64(&im.id, 1) } From 813ce86705962c1ec768acb52cda0442b161cc5c Mon Sep 17 00:00:00 2001 From: robert engels Date: Mon, 22 Jul 2024 16:57:43 -0500 Subject: [PATCH 35/52] dynamically create instruments for bench testing --- cmd/marketmaker/main.go | 29 +++++++++++++++++++++++++++-- 1 file changed, 27 insertions(+), 2 deletions(-) diff --git a/cmd/marketmaker/main.go b/cmd/marketmaker/main.go index eac7af0..d058d09 100644 --- a/cmd/marketmaker/main.go +++ b/cmd/marketmaker/main.go @@ -20,6 +20,7 @@ import ( type MyCallback struct { ch chan bool symbol string + instrumentWG *sync.WaitGroup } func (cb *MyCallback) OnBook(book *Book) { @@ -28,7 +29,10 @@ func (cb *MyCallback) OnBook(book *Book) { } } -func (*MyCallback) OnInstrument(instrument Instrument) { +func (cb *MyCallback) OnInstrument(instrument Instrument) { + if cb.instrumentWG!=nil { + cb.instrumentWG.Done() + } } func (*MyCallback) OnOrderStatus(order *Order) { @@ -99,6 +103,10 @@ func main() { p.SetString("marketdata_buffer", *mdbs) } + if *bench > 0 { + createSymbols(p,quotedSymbols) + } + if len(quotedSymbols)>0 { // have to use symbol as senderCompID if quoting multiple symbols since multiple connections are used *symbolAsCompID=true; @@ -113,6 +121,23 @@ func main() { wg.Wait() } +func createSymbols(p Properties,symbols []string) { + var wg = sync.WaitGroup{} + var callback = MyCallback{ch: make(chan bool, 128), symbol: "?", instrumentWG: &wg} + var exchange = connector.NewConnector(&callback, p, nil) + + exchange.Connect() + if !exchange.IsConnected() { + panic("exchange is not connected") + } + for _,s := range symbols { + wg.Add(1) + exchange.CreateInstrument(s) + } + wg.Wait() + exchange.Disconnect() +} + func quoteSymbol(symbol string, p Properties,duration int, delay int,symbolAsCompID bool,wg *sync.WaitGroup) { defer wg.Done() p = p.Clone() @@ -122,7 +147,7 @@ func quoteSymbol(symbol string, p Properties,duration int, delay int,symbolAsCom p.SetString("senderCompID", symbol) } - var callback = MyCallback{make(chan bool, 128), symbol} + var callback = MyCallback{ch:make(chan bool, 128), symbol: symbol} var exchange = connector.NewConnector(&callback, p, nil) From 6a76b17f6dc2bbd87b30eab08b0271d7fcb05829 Mon Sep 17 00:00:00 2001 From: robert engels Date: Mon, 22 Jul 2024 17:51:15 -0500 Subject: [PATCH 36/52] share grpc connection to server --- pkg/connector/grpc/connector.go | 22 +++++++++++++++------- 1 file changed, 15 insertions(+), 7 deletions(-) diff --git a/pkg/connector/grpc/connector.go b/pkg/connector/grpc/connector.go index 2e7e077..5ded894 100644 --- a/pkg/connector/grpc/connector.go +++ b/pkg/connector/grpc/connector.go @@ -20,7 +20,6 @@ type grpcConnector struct { nextQuote int64 // holds OrderID->*Order, concurrent since notifications/updates may arrive while order is being processed orders sync.Map - conn *grpc.ClientConn stream protocol.Exchange_ConnectionClient loggedIn StatusBool // true after all instruments are downloaded from exchange @@ -29,24 +28,33 @@ type grpcConnector struct { log io.Writer } +var clients map[string]*grpc.ClientConn = make(map[string]*grpc.ClientConn) +var connectionLock = sync.Mutex{} + func (c *grpcConnector) IsConnected() bool { return c.connected } func (c *grpcConnector) Connect() error { + connectionLock.Lock() + defer connectionLock.Unlock() + if c.connected { return AlreadyConnected } addr := c.props.GetString("grpc_host", "localhost") + ":" + c.props.GetString("grpc_port", "5000") - conn, err := grpc.Dial(addr, grpc.WithInsecure()) - if err != nil { - return err + conn, ok := clients[addr] + var err error + if !ok { + conn, err = grpc.Dial(addr, grpc.WithInsecure()) + if err != nil { + return err + } + clients[addr]=conn } - c.conn = conn - client := protocol.NewExchangeClient(conn) //timeoutSecs := time.Second * time.Duration(timeout) @@ -127,7 +135,7 @@ func (c *grpcConnector) Disconnect() error { if !c.connected { return NotConnected } - c.conn.Close() + c.stream.CloseSend() c.connected = false c.loggedIn.SetFalse() return nil From 35d2da5aa897a943b335f6766c505a53ea0ec635 Mon Sep 17 00:00:00 2001 From: robert engels Date: Mon, 22 Jul 2024 18:24:37 -0500 Subject: [PATCH 37/52] update performance metrics --- README.md | 22 +++++++++++++--------- 1 file changed, 13 insertions(+), 9 deletions(-) diff --git a/README.md b/README.md index 95291ad..9d83618 100644 --- a/README.md +++ b/README.md @@ -54,22 +54,26 @@ client # performance -Using the quickfixgo connector: +Configuration: -- test machine is a 3.4 ghz i7 (4 core,8 thread), running osx -- clients and exchange process are running on the same machine +- 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) -- a timing is measured from the quote message generation to the reception of the multicast market data +- timings are measured from the quote message generation on the client, to the reception of the multicast market data on the client -**1 market maker can perform 6k round-trip quotes/sec** +**using `marketmaker -bench 75 -proto fix`** -**4 market makers can perform 16k round-trip quotes/sec** +75k+ round-trip quotes per second with an average latency of 1ms -Using the gRPC connector: +**using `marketmaker -bench 150 -proto grpc`** -**1 market maker can perform 12k round-trip quotes/sec** +**300k+** round-trip quotes per second with an average latency of 500us -**4 market makers can perform 30k round-trip quotes/sec** +_The CPUs are saturated on both the client and server._ + +## 3 microsecs per roundtrip quote over the network ! ## +
# REST api From 1d1ca42c1c2b4cd58fbd1e0358995916a536e048 Mon Sep 17 00:00:00 2001 From: robert engels Date: Mon, 22 Jul 2024 18:27:46 -0500 Subject: [PATCH 38/52] add TODO and cleanup --- pkg/connector/grpc/connector.go | 3 ++- 1 file changed, 2 insertions(+), 1 deletion(-) diff --git a/pkg/connector/grpc/connector.go b/pkg/connector/grpc/connector.go index 5ded894..687b4eb 100644 --- a/pkg/connector/grpc/connector.go +++ b/pkg/connector/grpc/connector.go @@ -28,6 +28,7 @@ type grpcConnector struct { log io.Writer } +//TODO need reference count, since grpc.ClientConn is shared to allow for complete clean-up var clients map[string]*grpc.ClientConn = make(map[string]*grpc.ClientConn) var connectionLock = sync.Mutex{} @@ -344,7 +345,7 @@ func (c *grpcConnector) handleExecutionReport(rpt *protocol.ExecutionReport) { side = Sell } - fill := &Fill{instrument, id == 0, order, exchangeId, lastQty, lastPx, side, false} + fill := &Fill{Instrument: instrument, IsQuote: id == 0, Order: order, ExchangeID: exchangeId, Quantity: lastQty, Price: lastPx, Side: side, IsLegTrade: false} c.callback.OnFill(fill) } From cfea90b6d6f5eef24e2e93e2d08406d39be1ec67 Mon Sep 17 00:00:00 2001 From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com> Date: Mon, 22 Jul 2024 23:53:28 +0000 Subject: [PATCH 39/52] Bump google.golang.org/protobuf from 1.31.0 to 1.33.0 Bumps google.golang.org/protobuf from 1.31.0 to 1.33.0. --- updated-dependencies: - dependency-name: google.golang.org/protobuf dependency-type: indirect ... Signed-off-by: dependabot[bot] --- go.mod | 3 +-- go.sum | 20 ++++---------------- 2 files changed, 5 insertions(+), 18 deletions(-) diff --git a/go.mod b/go.mod index 808693a..b7eeb2f 100644 --- a/go.mod +++ b/go.mod @@ -19,7 +19,6 @@ require ( ) require ( - github.com/armon/go-proxyproto v0.1.0 // indirect github.com/fsnotify/fsnotify v1.7.0 // indirect github.com/mattn/go-runewidth v0.0.9 // indirect github.com/nsf/termbox-go v1.1.1 // indirect @@ -28,6 +27,6 @@ require ( golang.org/x/sys v0.19.0 // indirect golang.org/x/text v0.14.0 // indirect google.golang.org/genproto/googleapis/rpc v0.0.0-20231002182017-d307bd883b97 // indirect - google.golang.org/protobuf v1.31.0 // indirect + google.golang.org/protobuf v1.33.0 // indirect gopkg.in/fsnotify.v1 v1.4.7 // indirect ) diff --git a/go.sum b/go.sum index 1cdf6bc..aa2c83d 100644 --- a/go.sum +++ b/go.sum @@ -1,7 +1,5 @@ github.com/VividCortex/gohistogram v1.0.0 h1:6+hBz+qvs0JOrrNhhmR7lFxo5sINxBCGXrdtl/UvroE= github.com/VividCortex/gohistogram v1.0.0/go.mod h1:Pf5mBqqDxYaXu3hDrrU+w6nw50o/4+TcAqDqk/vUH7g= -github.com/armon/go-proxyproto v0.1.0 h1:TWWcSsjco7o2itn6r25/5AqKBiWmsiuzsUDLT/MTl7k= -github.com/armon/go-proxyproto v0.1.0/go.mod h1:Xj90dce2VKbHzRAeiVQAMBtj4M5oidoXJ8lmgyW21mw= github.com/davecgh/go-spew v1.1.1 h1:vj9j/u1bqnvCEfJOwUhtlOARqs3+rkHYY13jYWTU97c= github.com/davecgh/go-spew v1.1.1/go.mod h1:J7Y8YcW2NihsgmVo/mv3lAwl/skON4iLHjSsI+c5H38= github.com/fsnotify/fsnotify v1.7.0 h1:8JEhPFa5W2WU7YfeZzPNqzMP6Lwt7L2715Ggo0nosvA= @@ -16,8 +14,8 @@ github.com/google/go-cmp v0.5.9 h1:O2Tfq5qg4qc4AmwVlvv0oLiVAGB7enBSJ2x2DqQFi38= github.com/google/go-cmp v0.5.9/go.mod h1:17dUlkBOakJ0+DkrSSNjCkIjxS6bF9zb3elmeNGIjoY= github.com/mattn/go-runewidth v0.0.9 h1:Lm995f3rfxdpd6TSmuVCHVb/QhupuXlYr8sCI/QdE+0= github.com/mattn/go-runewidth v0.0.9/go.mod h1:H031xJmbD/WCDINGzjvQ9THkh0rPKHF+m2gUSrubnMI= -github.com/mattn/go-sqlite3 v1.14.18 h1:JL0eqdCOq6DJVNPSvArO/bIV9/P7fbGrV00LZHc+5aI= -github.com/mattn/go-sqlite3 v1.14.18/go.mod h1:2eHXhiwb8IkHr+BDWZGa96P6+rkvnG63S2DGjv9HUNg= +github.com/mattn/go-sqlite3 v1.14.22 h1:2gZY6PC6kBnID23Tichd1K+Z0oS6nE/XwU+Vz/5o4kU= +github.com/mattn/go-sqlite3 v1.14.22/go.mod h1:Uh1q+B4BYcTPb+yiD3kU8Ct7aC0hY9fxUwlHK0RXw+Y= github.com/nsf/termbox-go v1.1.1 h1:nksUPLCb73Q++DwbYUBEglYBRPZyoXJdrj5L+TkjyZY= github.com/nsf/termbox-go v1.1.1/go.mod h1:T0cTdVuOwf7pHQNtfhnEbzHbcNyCEcVU4YPpouCbVxo= github.com/pires/go-proxyproto v0.7.0 h1:IukmRewDQFWC7kfnb66CSomk2q/seBuilHBYFwyq0Hs= @@ -32,32 +30,22 @@ github.com/quickfixgo/field v0.1.0 h1:JVO6fVD6Nkyy8e/ROYQtV/nQhMX/BStD5Lq7XIgYz2 github.com/quickfixgo/field v0.1.0/go.mod h1:Zu0qYmpj+gljlB2HgpUt9EcTIThs2lIQb8C57qbJr8o= github.com/quickfixgo/fix44 v0.1.0 h1:g/rTl6mXDlG7iIMbY7zaPbHcj9N/B+tteOZ01yGzeSQ= github.com/quickfixgo/fix44 v0.1.0/go.mod h1:d6Ia02Eq/JYgKCn/2V9FHxguAl1Alp/yu/xVpry82dA= -github.com/quickfixgo/quickfix v0.9.0 h1:WshR3GUSxR69ZrSQfppKs2zZ12dTYtU3JUgQg+PAOdA= -github.com/quickfixgo/quickfix v0.9.0/go.mod h1:t5Z881dOZ2Dz5vM6KIbMCx3YpAiFPFf/iCLCSn91Qqo= github.com/quickfixgo/quickfix v0.9.4 h1:wwZKGk09wjuRDkqid6dYW7DJrSb7UcaxIvm44orx55I= github.com/quickfixgo/quickfix v0.9.4/go.mod h1:Epcqgr7ARlUYUsl/bkEXUcbWoCCB048u6zBXLTC6F88= github.com/quickfixgo/tag v0.1.0 h1:R2A1Zf7CBE903+mOQlmTlfTmNZQz/yh7HunMbgcsqsA= github.com/quickfixgo/tag v0.1.0/go.mod h1:l/drB1eO3PwN9JQTDC9Vt2EqOcaXk3kGJ+eeCQljvAI= github.com/robaho/fixed v0.0.0-20230815003229-929de1ea03c3 h1:z2AXOxvJ7rXsbyv3s9NIZBKAJgEtSE6/lR/TWafkm0w= github.com/robaho/fixed v0.0.0-20230815003229-929de1ea03c3/go.mod h1:9YjDu6DCo4pkAT+5VYIW1CPk2nh9CnvT/x5YfhSYlnQ= -github.com/robaho/gocui v0.3.0 h1:xX5dcUDCUlO/xXA6Jzh979t+7tLkLM4KeToIioJrfrE= -github.com/robaho/gocui v0.3.0/go.mod h1:pGoMrUaM3DO8ORottR2+ffXjklvRVW0pUnXF77AK6Ow= github.com/robaho/gocui v0.3.1 h1:8CfmzgaK/Cgx3tMEsYDyvxGIkHZ6pYn5m826YG0oUeo= github.com/robaho/gocui v0.3.1/go.mod h1:pGoMrUaM3DO8ORottR2+ffXjklvRVW0pUnXF77AK6Ow= -github.com/shopspring/decimal v1.3.1 h1:2Usl1nmF/WZucqkFZhnfFYxxxu8LG21F6nPQBE5gKV8= -github.com/shopspring/decimal v1.3.1/go.mod h1:DKyhrW/HYNuLGql+MJL6WCR6knT2jwCFRcu2hWCYk4o= github.com/shopspring/decimal v1.4.0 h1:bxl37RwXBklmTi0C79JfXCEBD1cqqHt0bbgBAGFp81k= github.com/shopspring/decimal v1.4.0/go.mod h1:gawqmDU56v4yIKSwfBSFip1HdCCXN8/+DMd9qYNcwME= github.com/stretchr/objx v0.5.0 h1:1zr/of2m5FGMsad5YfcqgdqdWrIhu+EBEJRhR1U7z/c= github.com/stretchr/objx v0.5.0/go.mod h1:Yh+to48EsGEfYuaHDzXPcE3xhTkx73EhmCGUpEOglKo= github.com/stretchr/testify v1.8.4 h1:CcVxjf3Q8PM0mHUKJCdn+eZZtm5yQwehR5yeSVQQcUk= github.com/stretchr/testify v1.8.4/go.mod h1:sz/lmYIOXD/1dqDmKjjqLyZ2RngseejIcXlSw2iwfAo= -golang.org/x/net v0.19.0 h1:zTwKpTd2XuCqf8huc7Fo2iSy+4RHPd10s4KzeTnVr1c= -golang.org/x/net v0.19.0/go.mod h1:CfAk/cbD4CthTvqiEl8NpboMuiuOYsAr/7NOjZJtv1U= golang.org/x/net v0.24.0 h1:1PcaxkF854Fu3+lvBIx5SYn9wRlBzzcnHZSiaFFAb0w= golang.org/x/net v0.24.0/go.mod h1:2Q7sJY5mzlzWjKtYUEXSlBWCdyaioyXzRB2RtU8KVE8= -golang.org/x/sys v0.15.0 h1:h48lPFYpsTvQJZF4EKyI4aLHaev3CxivZmv7yZig9pc= -golang.org/x/sys v0.15.0/go.mod h1:/VUhepiaJMQUp4+oa/7Zr1D23ma6VTLIYjOOTFZPUcA= golang.org/x/sys v0.19.0 h1:q5f1RH2jigJ1MoAWp2KTp3gm5zAGFUTarQZ5U386+4o= golang.org/x/sys v0.19.0/go.mod h1:/VUhepiaJMQUp4+oa/7Zr1D23ma6VTLIYjOOTFZPUcA= golang.org/x/text v0.14.0 h1:ScX5w1eTa3QqT8oi6+ziP7dTV1S2+ALU0bI+0zXKWiQ= @@ -69,8 +57,8 @@ google.golang.org/grpc v1.60.0 h1:6FQAR0kM31P6MRdeluor2w2gPaS4SVNrD/DNTxrQ15k= google.golang.org/grpc v1.60.0/go.mod h1:OlCHIeLYqSSsLi6i49B5QGdzaMZK9+M7LXN2FKz4eGM= google.golang.org/protobuf v1.26.0-rc.1/go.mod h1:jlhhOSvTdKEhbULTjvd4ARK9grFBp09yW+WbY/TyQbw= google.golang.org/protobuf v1.26.0/go.mod h1:9q0QmTI4eRPtz6boOQmLYwt+qCgq0jsYwAQnmE0givc= -google.golang.org/protobuf v1.31.0 h1:g0LDEJHgrBl9N9r17Ru3sqWhkIx2NB67okBHPwC7hs8= -google.golang.org/protobuf v1.31.0/go.mod h1:HV8QOd/L58Z+nl8r43ehVNZIU/HEI6OcFqwMG9pJV4I= +google.golang.org/protobuf v1.33.0 h1:uNO2rsAINq/JlFpSdYEKIZ0uKD/R9cpdv0T+yoGwGmI= +google.golang.org/protobuf v1.33.0/go.mod h1:c6P6GXX6sHbq/GpV6MGZEdwhWPcYBgnhAHhKbcUYpos= gopkg.in/fsnotify.v1 v1.4.7 h1:xOHLXZwVvI9hhs+cLKq5+I5onOuwQLhQwiu63xxlHs4= gopkg.in/fsnotify.v1 v1.4.7/go.mod h1:Tz8NjZHkW78fSQdbUxIjBTcgA1z1m8ZHf0WmKUhAMys= gopkg.in/yaml.v3 v3.0.1 h1:fxVm/GzAzEWqLHuvctI91KS9hhNmmWOoWu0XTYJS7CA= From 2202d7af31a47fb55f075a174bf13d8557e4c5f9 Mon Sep 17 00:00:00 2001 From: robert engels Date: Tue, 23 Jul 2024 13:04:14 -0500 Subject: [PATCH 40/52] reference counting for shared grpc connections --- pkg/connector/grpc/connector.go | 31 ++++++++++++++++++++++++++++--- 1 file changed, 28 insertions(+), 3 deletions(-) diff --git a/pkg/connector/grpc/connector.go b/pkg/connector/grpc/connector.go index 687b4eb..51be6aa 100644 --- a/pkg/connector/grpc/connector.go +++ b/pkg/connector/grpc/connector.go @@ -21,6 +21,7 @@ type grpcConnector struct { // holds OrderID->*Order, concurrent since notifications/updates may arrive while order is being processed orders sync.Map stream protocol.Exchange_ConnectionClient + addr string loggedIn StatusBool // true after all instruments are downloaded from exchange downloaded StatusBool @@ -28,8 +29,13 @@ type grpcConnector struct { log io.Writer } +type cachedConnection struct { + refCount int + conn *grpc.ClientConn +} + //TODO need reference count, since grpc.ClientConn is shared to allow for complete clean-up -var clients map[string]*grpc.ClientConn = make(map[string]*grpc.ClientConn) +var clients map[string]*cachedConnection = make(map[string]*cachedConnection) var connectionLock = sync.Mutex{} func (c *grpcConnector) IsConnected() bool { @@ -45,15 +51,20 @@ func (c *grpcConnector) Connect() error { } addr := c.props.GetString("grpc_host", "localhost") + ":" + c.props.GetString("grpc_port", "5000") + c.addr = addr - conn, ok := clients[addr] + cached, ok := clients[addr] + var conn *grpc.ClientConn var err error if !ok { conn, err = grpc.Dial(addr, grpc.WithInsecure()) if err != nil { return err } - clients[addr]=conn + clients[addr]=&cachedConnection{conn: conn, refCount: 1} + } else { + conn = cached.conn + cached.refCount++ } client := protocol.NewExchangeClient(conn) @@ -83,6 +94,9 @@ func (c *grpcConnector) Connect() error { for { msg, err := stream.Recv() if err != nil { + if !c.IsConnected() { + return + } log.Println("unable to receive message", err) c.Disconnect() return @@ -133,12 +147,23 @@ func (c *grpcConnector) Connect() error { } func (c *grpcConnector) Disconnect() error { + connectionLock.Lock() + defer connectionLock.Unlock() + if !c.connected { return NotConnected } + c.stream.CloseSend() c.connected = false c.loggedIn.SetFalse() + + cached := clients[c.addr] + cached.refCount-- + if cached.refCount==0 { + delete(clients,c.addr) + } + return nil } From 4d82c0219fb2e1db11ad3090aac6a12eac238f01 Mon Sep 17 00:00:00 2001 From: robert engels Date: Tue, 23 Jul 2024 13:04:48 -0500 Subject: [PATCH 41/52] fix updates per second calculations --- .vscode/launch.json | 3 ++- cmd/marketmaker/main.go | 14 +++++++++----- configs/instruments.txt | 2 +- 3 files changed, 12 insertions(+), 7 deletions(-) diff --git a/.vscode/launch.json b/.vscode/launch.json index cf2778c..5156d82 100644 --- a/.vscode/launch.json +++ b/.vscode/launch.json @@ -18,7 +18,8 @@ "request": "launch", "mode": "auto", "program": "cmd/marketmaker", - "cwd": "${workspaceFolder}" + "cwd": "${workspaceFolder}", + "args": ["-bench","100","-proto","grpc","-mdbs","8m","-duration","30"] } ] } \ No newline at end of file diff --git a/cmd/marketmaker/main.go b/cmd/marketmaker/main.go index d058d09..ecf22ac 100644 --- a/cmd/marketmaker/main.go +++ b/cmd/marketmaker/main.go @@ -119,6 +119,7 @@ func main() { go quoteSymbol(symbol,p,*duration,*delay,*symbolAsCompID, &wg) } wg.Wait() + fmt.Println("all quoters completed") } func createSymbols(p Properties,symbols []string) { @@ -135,6 +136,7 @@ func createSymbols(p Properties,symbols []string) { exchange.CreateInstrument(s) } wg.Wait() + fmt.Println("created",len(symbols),"instruments") exchange.Disconnect() } @@ -155,6 +157,7 @@ func quoteSymbol(symbol string, p Properties,duration int, delay int,symbolAsCom if !exchange.IsConnected() { panic("exchange is not connected") } + defer exchange.Disconnect() err := exchange.DownloadInstruments() if err != nil { @@ -220,9 +223,8 @@ func quoteSymbol(symbol string, p Properties,duration int, delay int,symbolAsCom } <-callback.ch // drain channel - if len(callback.ch) > 0 { - for range callback.ch { - } + for len(callback.ch) > 0 { + <-callback.ch } } h.Add(float64(time.Since(now).Nanoseconds())) @@ -230,11 +232,13 @@ func quoteSymbol(symbol string, p Properties,duration int, delay int,symbolAsCom time.Sleep(time.Duration(int64(delay)) * time.Millisecond) } atomic.AddUint64(&updates, 1) - if time.Since(start).Seconds() > 10 { - fmt.Printf("updates per second %d, avg rtt %dus, 10%% rtt %dus 99%% rtt %dus\n", updates/10, int(h.Mean()/1000.0), int(h.Quantile(.10)/1000.0), int(h.Quantile(.99)/1000.0)) + seconds := time.Since(start).Seconds() + if seconds > 10 { + fmt.Printf("%s updates per second %d, avg rtt %dus, 10%% rtt %dus 99%% rtt %dus\n", symbol, updates/uint64(seconds), int(h.Mean()/1000.0), int(h.Quantile(.10)/1000.0), int(h.Quantile(.99)/1000.0)) updates = 0 start = time.Now() h = gohistogram.NewHistogram(50) } } + fmt.Println("completed sending quotes on", instrument.Symbol()) } diff --git a/configs/instruments.txt b/configs/instruments.txt index 907ba78..2f8dc0b 100644 --- a/configs/instruments.txt +++ b/configs/instruments.txt @@ -12,4 +12,4 @@ 2 AAPL 3 AMZN 4 GOOG -5 FB +5 FB \ No newline at end of file From 2b5a1c7b860ff02aa6387a38abc7513219b2d893 Mon Sep 17 00:00:00 2001 From: robert engels Date: Tue, 23 Jul 2024 15:25:21 -0500 Subject: [PATCH 42/52] fix dynamic instrument creation to no collide with loaded instruments --- cmd/marketmaker/main.go | 2 ++ pkg/common/instrumentmap.go | 4 ++++ 2 files changed, 6 insertions(+) diff --git a/cmd/marketmaker/main.go b/cmd/marketmaker/main.go index ecf22ac..9947a4a 100644 --- a/cmd/marketmaker/main.go +++ b/cmd/marketmaker/main.go @@ -24,12 +24,14 @@ type MyCallback struct { } func (cb *MyCallback) OnBook(book *Book) { + // fmt.Println("received book",book.Instrument.Symbol()) if book.Instrument.Symbol() == cb.symbol { cb.ch <- true } } func (cb *MyCallback) OnInstrument(instrument Instrument) { + // fmt.Println("received instrument",instrument.ID(),instrument.Symbol()) if cb.instrumentWG!=nil { cb.instrumentWG.Done() } diff --git a/pkg/common/instrumentmap.go b/pkg/common/instrumentmap.go index a0702ca..3df24ac 100644 --- a/pkg/common/instrumentmap.go +++ b/pkg/common/instrumentmap.go @@ -76,6 +76,10 @@ func (im *instrumentMap) Load(filepath string) error { if len(parts) == 2 { i := NewInstrument(int64(id), parts[1]) im.Put(i) + if id > int(im.id) { + // ensure next dynamic instrument does not collide with loaded ones + atomic.StoreInt64(&im.id,int64(id)) + } } } return nil From 0884d8ad91b5d97d5293c8c92f316770feca672c Mon Sep 17 00:00:00 2001 From: robert engels Date: Tue, 23 Jul 2024 16:14:16 -0500 Subject: [PATCH 43/52] easier to use rate logging for market maker --- cmd/marketmaker/main.go | 73 ++++++++++++++++++-------- pkg/connector/marketdata/marketdata.go | 2 +- 2 files changed, 52 insertions(+), 23 deletions(-) diff --git a/cmd/marketmaker/main.go b/cmd/marketmaker/main.go index 9947a4a..1e9d053 100644 --- a/cmd/marketmaker/main.go +++ b/cmd/marketmaker/main.go @@ -109,6 +109,8 @@ func main() { createSymbols(p,quotedSymbols) } + downloadInstruments(p) + if len(quotedSymbols)>0 { // have to use symbol as senderCompID if quoting multiple symbols since multiple connections are used *symbolAsCompID=true; @@ -120,7 +122,9 @@ func main() { wg.Add(1) go quoteSymbol(symbol,p,*duration,*delay,*symbolAsCompID, &wg) } + go reportRate() wg.Wait() + close(timingQueue) fmt.Println("all quoters completed") } @@ -142,12 +146,53 @@ func createSymbols(p Properties,symbols []string) { exchange.Disconnect() } -func quoteSymbol(symbol string, p Properties,duration int, delay int,symbolAsCompID bool,wg *sync.WaitGroup) { +func downloadInstruments(p Properties) { + var callback = MyCallback{ch: make(chan bool, 128), symbol: "?"} + var exchange = connector.NewConnector(&callback, p, nil) + + exchange.Connect() + if !exchange.IsConnected() { + panic("exchange is not connected") + } + exchange.DownloadInstruments() + exchange.Disconnect() +} + +var numberQuotes uint64 +var timingQueue = make(chan int64,1024*1024) + +func reportRate() { + var max uint64 + h := gohistogram.NewHistogram(50) + + start:= time.Now() + prev := atomic.LoadUint64(&numberQuotes) + + for { + timing := <- timingQueue + h.Add(float64(timing)) + seconds := time.Since(start).Seconds() + if seconds > 10 { + current := atomic.LoadUint64(&numberQuotes) + updates := current - prev + rate := updates/uint64(seconds) + if rate > max { + max = rate + } + fmt.Printf("updates per second %d, max ups %d, avg rtt %dus, 10%% rtt %dus 99%% rtt %dus\n", rate, max, int(h.Mean()/1000.0), int(h.Quantile(.10)/1000.0), int(h.Quantile(.99)/1000.0)) + h = gohistogram.NewHistogram(50) + start = time.Now() + prev = atomic.LoadUint64(&numberQuotes) + } + } +} + +func quoteSymbol(symbol string, p Properties,duration int,delay int,symbolAsCompID bool,wg *sync.WaitGroup) { defer wg.Done() p = p.Clone() if symbolAsCompID { - fmt.Println("setting senderCompID to",symbol) + // fmt.Println("setting senderCompID to",symbol) p.SetString("senderCompID", symbol) } @@ -161,22 +206,15 @@ func quoteSymbol(symbol string, p Properties,duration int, delay int,symbolAsCom } defer exchange.Disconnect() - err := exchange.DownloadInstruments() - if err != nil { - panic(err) - } - instrument := IMap.GetBySymbol(symbol) if instrument == nil { log.Fatal("unknown symbol", symbol) } - var updates uint64 - start := time.Now() end := start.Add(time.Duration(int64(duration)) * time.Second) - fmt.Println("sending quotes on", instrument.Symbol(), "...") + // fmt.Println("sending quotes on", instrument.Symbol(), "...") r := rand.New(rand.NewSource(time.Now().UnixNano())) @@ -188,8 +226,6 @@ func quoteSymbol(symbol string, p Properties,duration int, delay int,symbolAsCom lowLim := NewDecimal("75") highLim := NewDecimal("125") - h := gohistogram.NewHistogram(50) - for duration == 0 || time.Now().Before(end) { var delta = 1 var r = r.Intn(10) @@ -229,18 +265,11 @@ func quoteSymbol(symbol string, p Properties,duration int, delay int,symbolAsCom <-callback.ch } } - h.Add(float64(time.Since(now).Nanoseconds())) + timingQueue <- time.Since(now).Nanoseconds() + atomic.AddUint64(&numberQuotes, 1) if delay != 0 { time.Sleep(time.Duration(int64(delay)) * time.Millisecond) } - atomic.AddUint64(&updates, 1) - seconds := time.Since(start).Seconds() - if seconds > 10 { - fmt.Printf("%s updates per second %d, avg rtt %dus, 10%% rtt %dus 99%% rtt %dus\n", symbol, updates/uint64(seconds), int(h.Mean()/1000.0), int(h.Quantile(.10)/1000.0), int(h.Quantile(.99)/1000.0)) - updates = 0 - start = time.Now() - h = gohistogram.NewHistogram(50) - } } - fmt.Println("completed sending quotes on", instrument.Symbol()) + // fmt.Println("completed sending quotes on", instrument.Symbol()) } diff --git a/pkg/connector/marketdata/marketdata.go b/pkg/connector/marketdata/marketdata.go index 4ec8d55..1d20a23 100644 --- a/pkg/connector/marketdata/marketdata.go +++ b/pkg/connector/marketdata/marketdata.go @@ -41,7 +41,7 @@ func StartMarketDataReceiver(c ExchangeConnector, callback ConnectorCallback, pr existing,ok := receivers[saddr] if ok { - fmt.Fprintln(logOutput,"adding connector to existing md connector",saddr) + // fmt.Fprintln(logOutput,"adding connector to existing md connector",saddr) // existing receiver for this address, so only add our callback callbacks := existing.callbacks.Load().([]ConnectorCallback) callbacks = append(callbacks, callback) From cd97a339e7cc249b4659961c997ace118c4f8018 Mon Sep 17 00:00:00 2001 From: robert engels Date: Tue, 23 Jul 2024 16:32:33 -0500 Subject: [PATCH 44/52] report exchange connection errors for market maker --- cmd/marketmaker/main.go | 10 +++++----- 1 file changed, 5 insertions(+), 5 deletions(-) diff --git a/cmd/marketmaker/main.go b/cmd/marketmaker/main.go index 1e9d053..96f790c 100644 --- a/cmd/marketmaker/main.go +++ b/cmd/marketmaker/main.go @@ -80,7 +80,7 @@ func main() { fmt.Println("quoted symbols:",strings.Join(quotedSymbols,",")) if len(quotedSymbols)==0 { - panic("most provide either symbols, symbol, or bench") + panic("must provide either symbols, symbol, or bench") } if *cpuprofile != "" { @@ -133,9 +133,9 @@ func createSymbols(p Properties,symbols []string) { var callback = MyCallback{ch: make(chan bool, 128), symbol: "?", instrumentWG: &wg} var exchange = connector.NewConnector(&callback, p, nil) - exchange.Connect() + err := exchange.Connect() if !exchange.IsConnected() { - panic("exchange is not connected") + panic(fmt.Errorf("exchange is not connected %w",err)) } for _,s := range symbols { wg.Add(1) @@ -150,9 +150,9 @@ func downloadInstruments(p Properties) { var callback = MyCallback{ch: make(chan bool, 128), symbol: "?"} var exchange = connector.NewConnector(&callback, p, nil) - exchange.Connect() + err := exchange.Connect() if !exchange.IsConnected() { - panic("exchange is not connected") + panic(fmt.Errorf("exchange is not connected %w",err)) } exchange.DownloadInstruments() exchange.Disconnect() From 5a24970453e2ee54cedb0f251ee06f1e59ea3053 Mon Sep 17 00:00:00 2001 From: robert engels Date: Tue, 23 Jul 2024 16:57:55 -0500 Subject: [PATCH 45/52] update performance stats --- README.md | 20 ++++++++++++++++---- 1 file changed, 16 insertions(+), 4 deletions(-) diff --git a/README.md b/README.md index 9d83618..21cc046 100644 --- a/README.md +++ b/README.md @@ -64,15 +64,27 @@ Configuration: **using `marketmaker -bench 75 -proto fix`** -75k+ round-trip quotes per second with an average latency of 1ms +90k+ round-trip quotes per second with an average latency of 1ms -**using `marketmaker -bench 150 -proto grpc`** +``` +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 +``` -**300k+** round-trip quotes per second with an average latency of 500us +**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._ -## 3 microsecs per roundtrip quote over the network ! ## +## less than 3 microseconds per roundtrip quote over the network ! ##
# REST api From 3e7d9f65c651a026c0f5713ccf9fc0d81cc0218c Mon Sep 17 00:00:00 2001 From: robert engels Date: Tue, 23 Jul 2024 17:09:04 -0500 Subject: [PATCH 46/52] Update README.md --- README.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/README.md b/README.md index 21cc046..e94d79c 100644 --- a/README.md +++ b/README.md @@ -22,7 +22,7 @@ market maker bid/ask spread must be accounted for - which makes it far less than There are two different web interfaces available: - the default interface at / uses Go templates and server side rendering -- the alternative UI is written with Lit, and is available at /lit +- the alternative UI is written in Typescript using [Lit](https://lit.dev), and is available at /lit Use `npm run build` in the web_lit directory to build the Lit assets. From 2b92b5652eb5c6a93b83262f45ba1f237fb180b0 Mon Sep 17 00:00:00 2001 From: robert engels Date: Tue, 23 Jul 2024 17:09:58 -0500 Subject: [PATCH 47/52] Update README.md --- README.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/README.md b/README.md index e94d79c..4c98487 100644 --- a/README.md +++ b/README.md @@ -22,7 +22,7 @@ market maker bid/ask spread must be accounted for - which makes it far less than 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](https://lit.dev), and is available at /lit +- the alternative UI is written in Typescript using [Lit](https://lit.dev) and the Rest api, and is available at /lit Use `npm run build` in the web_lit directory to build the Lit assets. From 38e5fa11cb439f9725768d35296a2da26abfe178 Mon Sep 17 00:00:00 2001 From: robert engels Date: Fri, 17 Jan 2025 15:07:33 -0600 Subject: [PATCH 48/52] update readme --- .gitignore | 3 ++- README.md | 72 +++++++++++++++++++++++++++++++-------------------- go-trader.iml | 10 ------- 3 files changed, 46 insertions(+), 39 deletions(-) delete mode 100644 go-trader.iml diff --git a/.gitignore b/.gitignore index 089908c..cde82b2 100644 --- a/.gitignore +++ b/.gitignore @@ -1,4 +1,5 @@ node_modules out .DS_Store -__debug_bin* \ No newline at end of file +__debug_bin* +bin \ No newline at end of file diff --git a/README.md b/README.md index 4c98487..4520115 100644 --- a/README.md +++ b/README.md @@ -4,15 +4,24 @@ A financial exchange written in Go including complete order book, fix protocol, Check out [cpp_orderbook](https://github.com/robaho/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](https://github.com/robaho/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. +## Features + +- client to server communication using: + - FIX (using quickfixgo) + - gRPC +- UDP multicast for market data distribution. +- TCP replay of dropped market data packets. +- Uses the high-performance fixed point library [fixed](https://github.com/robaho/fixed) which I also developed. +- Includes multiple clients: + - command line + - server-side web using Go templates + - SPA web using Lit +- A sample "market maker" to mass quote the market. +- A sample "playback" to simulate markets from recorded market data. +- Supported order types: + - limit + - market +- [REST api](https://github.com/robaho/go-trader/blob/2b92b5652eb5c6a93b83262f45ba1f237fb180b0/internal/exchange/webserver.go#L41-L54) The exchange is designed to allow for easy back-testing of trading strategies. It supports limit and market orders. @@ -21,36 +30,39 @@ This can be run in conjunction with the 'marketmaker' sample to test the "algo". 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](https://lit.dev) and the Rest api, and is available at /lit +- the default interface at `/` uses Go templates and server side rendering +- the alternative UI at `/lit` is written in Typescript using [Lit](https://lit.dev) and the Rest api -Use `npm run build` in the web_lit directory to build the Lit assets. +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 +`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 +``` +cd go-trader +mkdir bin +go build -o bin ./cmd/... +``` # run -cd $GOPATH/src/github.com/robaho/go-trader/cmd +
+cd go-trader
+
+Run each in a different terminal session.
+Ensure the correct interface is set in configs/got_settings for the client.
 
-exchange &
+bin/exchange
 
-marketmaker -symbol IBM
+bin/marketmaker -symbol IBM
 
-client
+bin/client
+
# performance @@ -61,10 +73,14 @@ Configuration: - 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 +- 90k+ quote per second over the network using FIX with latency < 1ms +- 400k+ quote per second over the network using FIX with latency < 600 usec -**using `marketmaker -bench 75 -proto fix`** +
+ performance details +
-90k+ round-trip quotes per second with an average latency of 1ms +**using `marketmaker -bench 75 -proto fix`** ``` updates per second 72707, max ups 72707, avg rtt 832us, 10% rtt 595us 99% rtt 5365us @@ -74,8 +90,6 @@ updates per second 89215, max ups 90279, avg rtt 840us, 10% rtt 0us 99% rtt 485 **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 @@ -86,6 +100,8 @@ _The CPUs are saturated on both the client and server._ ## less than 3 microseconds per roundtrip quote over the network ! ##
+
+
# REST api diff --git a/go-trader.iml b/go-trader.iml deleted file mode 100644 index 1e0db6b..0000000 --- a/go-trader.iml +++ /dev/null @@ -1,10 +0,0 @@ - - - - - - - - - - \ No newline at end of file From ee73d7597c83f6a9de08162bc6cc64debfb3ccd8 Mon Sep 17 00:00:00 2001 From: robert engels Date: Fri, 17 Jan 2025 22:59:31 -0600 Subject: [PATCH 49/52] Update README.md --- README.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/README.md b/README.md index 4520115..6103e29 100644 --- a/README.md +++ b/README.md @@ -74,7 +74,7 @@ Configuration: - 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 - 90k+ quote per second over the network using FIX with latency < 1ms -- 400k+ quote per second over the network using FIX with latency < 600 usec +- 400k+ quote per second over the network using gRPC with latency < 600 usec
performance details From 5c892c58735dfa6614e828f0b19d70dfac1bca11 Mon Sep 17 00:00:00 2001 From: robert engels Date: Sun, 19 Jan 2025 10:40:23 -0600 Subject: [PATCH 50/52] support sending mass quote ack --- internal/exchange/qfixapp.go | 27 +++++++++++++++++++++++++++ 1 file changed, 27 insertions(+) diff --git a/internal/exchange/qfixapp.go b/internal/exchange/qfixapp.go index c2d5d82..626005e 100644 --- a/internal/exchange/qfixapp.go +++ b/internal/exchange/qfixapp.go @@ -13,6 +13,7 @@ import ( "github.com/quickfixgo/field" "github.com/quickfixgo/fix44/executionreport" "github.com/quickfixgo/fix44/massquote" + "github.com/quickfixgo/fix44/massquoteacknowledgement" "github.com/quickfixgo/fix44/newordersingle" "github.com/quickfixgo/fix44/ordercancelreplacerequest" "github.com/quickfixgo/fix44/ordercancelrequest" @@ -162,6 +163,19 @@ func (app *myApplication) onMassQuote(msg massquote.MassQuote, sessionID quickfi if rgNoQuoteSets.Len() != 1 { return quickfix.NewBusinessMessageRejectError("only 1 quote set supported", 0, nil) } + + quoteId, err := msg.GetQuoteID() + if err != nil { + return err + } + ackRequested := false + if msg.HasQuoteResponseLevel() { + responseLevel,err := msg.GetQuoteResponseLevel(); + if err == nil && responseLevel == enum.QuoteResponseLevel_ACKNOWLEDGE_EACH_QUOTE_MESSAGE { + ackRequested = true; + } + } + noQuoteSets := rgNoQuoteSets.Get(0) rgNoQuoteEntries, err := noQuoteSets.GetNoQuoteEntries() if rgNoQuoteEntries.Len() != 1 { @@ -198,6 +212,10 @@ func (app *myApplication) onMassQuote(msg massquote.MassQuote, sessionID quickfi c := fixClient{sessionID: sessionID} app.e.Quote(c, instrument, ToFixed(bidPrice), ToFixed(bidQty), ToFixed(offerPrice), ToFixed(offerQty)) + if ackRequested { + app.sendQuoteAcceptedAck(quoteId,sessionID); + } + return nil } @@ -253,6 +271,15 @@ func (app *myApplication) sendInstrument(instrument Instrument, reqid string, se quickfix.SendToTarget(msg, sessionID) } +func (app *myApplication) sendQuoteAcceptedAck(quoteID string, sessionID quickfix.SessionID) { + status := field.QuoteStatusField{FIXString: quickfix.FIXString(enum.QuoteStatus_ACCEPTED)} + + msg := massquoteacknowledgement.New(status); + msg.SetQuoteID(quoteID); + quickfix.SendToTarget(msg, sessionID) +} + + func (app *myApplication) sendTradeExecutionReport(so sessionOrder, price Fixed, qty Fixed, remaining Fixed) { order := so.order From a5b0c1513c82a4df173fd516f3c95d4d319057da Mon Sep 17 00:00:00 2001 From: robert engels Date: Fri, 24 Jan 2025 13:12:56 -0600 Subject: [PATCH 51/52] add more symbols --- configs/instruments.txt | 4 +++- 1 file changed, 3 insertions(+), 1 deletion(-) diff --git a/configs/instruments.txt b/configs/instruments.txt index 2f8dc0b..987e432 100644 --- a/configs/instruments.txt +++ b/configs/instruments.txt @@ -12,4 +12,6 @@ 2 AAPL 3 AMZN 4 GOOG -5 FB \ No newline at end of file +5 FB +6 NFLX +7 ORCL \ No newline at end of file From 52382fe9a4462c78aeed2c6b21f2bf8fc4181ccd Mon Sep 17 00:00:00 2001 From: robert engels Date: Wed, 29 Jan 2025 23:15:48 -0600 Subject: [PATCH 52/52] Update README.md --- README.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/README.md b/README.md index 6103e29..170775e 100644 --- a/README.md +++ b/README.md @@ -2,7 +2,7 @@ A financial exchange written in Go including complete order book, fix protocol, and market data distribution. -Check out [cpp_orderbook](https://github.com/robaho/cpp_orderbook) for a basic C++ version. +Check out [cpp-trader](https://github.com/robaho/cpp-trader) for a C++ version, albeit with less features. ## Features