GoTrade
GoTrade is a FIX protocol electronic trading and order management system written in Golang, structured for typical multi-asset instituional use
Status
This project is currently more of a proof of concept. It is no where near in completeness of a commerical product. This public repo serves as mostly for the purpose of experimenting and share of ideas.
Getting Started
$ go get -u github.com/cyanly/gotrade
Features
- Trade in real-time via FIX through the broker-neutral API.
- Normalized FIX order flow behavior across multiple FIX versions and asset classes.
- Pure Go.
- Platform neutral: write once, build for any operating systems and arch (Linux/Windows/OSX etc).
- Native code performance.
- Ease of deployment.
- Lack of OOP verbosity, works for small and big teams.
- Protobuf.
- Binary encoding format, efficient yet extensible.
- Easy Language Interoperability (C++, Python, Java, C#, Javascript, etc).
- Protocol backward compatibility.
Design
โโ gotrade/
โโ core/ -> The low-level API that gives consumers all the knobs they need
โ โโ order/
โ โ โโ execution/
โ โโ service/
โโ proto/... -> Protobuf messaging protocol of various entities
โโ services/ -> Core services managing multi-asset order flow
โ โโ orderrouter/ -> Centralized management facility for multi-asset global order flow
โ โโ marketconnectors/ -> Managing FIX connection to each trading venue, also performs pre-trade risk checks
โ
โโcmd/... -> Command-line executables, binary build targets
Examples
The best way to see goTrade in action is to take a look at tests (see Benchmark section below):
Pre-Requisites:
- Go 1.4 or higher
- get dependencies:
$ cd $GOPATH/src/github.com/cyanly/gotrade
$ go get -u -t ./...
OrderRouter and MarketConnector test cases will mock a testdb and messaging bus for end-to-end, message to message test.
$ cd $GOPATH/src/github.com/cyanly/gotrade/services/orderrouter
$ go test -v
$ cd $GOPATH/src/github.com/cyanly/gotrade/services/marketconnectors/simulator
$ go test -v
Benchmark
Machine: Intel Core i5 CPU @ 2.80GHz + Ubuntu 14.04 Desktop x86_64
test/benchmark/client2fix_test.go- CL โ OR:
Client send order protobuf to OrderRouter(OR) - OR โ MC:
OrderRouter process order and dispatch persisted order entity to target MarketConnector - MC โ FIX:
MarketConnector translate into NewOrderSingle FIX message based on the session with its counterparty - FIX โ MC:
MarketConnector received FIX message on its order, here Simulator sending a fully FILL execution - EXE โ CL:
MarketConnector publish processed and persisted Execution onto messaging bus, here our Client will listen to
Included:
- from order to FIX to a fully fill execution message to execution protobuf published back
- serialsing/deserialsing mock order into protobuf messages
- Request/Publish and Response/Subscribe via NATS.io message bus
- Time spent in the Linux TCP/IP stack
- Decode FIX messages and reply by a simulated broker
Excluded:
- Database transaction time (hard-wired to an inline mock DB driver)
Result:
0.176ms per op, 5670 order+fill pairs per sec
Limitations
Contributing
GoTrade ยฉ 2016+, Chao Yan. Released under the GNU General Public License.
Authored and maintained by Chao Yan with help from contributors (list).
Contributions are welcome.