CppTrader Documentation

CppTrader is a set of high-performance C++ components designed for building trading platforms. Its core components include:

• Ultra fast matching engine: For processing trade orders.
• Order book processor: For managing and maintaining order books.
• NASDAQ ITCH handler: For parsing and handling ITCH messages from input streams.

CppTrader provides different versions of the Market manager depending on the required balance between features and raw performance:

1. Standard Market Manager: Handles order operations (add, reduce, modify, delete, execute) and builds order books.
2. Optimized Market Manager: Uses pre-allocated arrays for symbols, order books, and orders (O(1) operations). It uses sorted arrays for price levels instead of Red-Black trees to improve CPU cache locality.
3. Aggressive Optimized Market Manager: Achieves near-optimal latency and throughput by removing features like symbol maintenance, using signed 32-bit integers for price values, and removing the market handler (no notifications).

CppTrader requires the gil tool for repository setup. Install it via pip3:

pip3 install gil

Before building CppTrader on Linux, you must install the required development packages using apt-get:

sudo apt-get install -y binutils-dev uuid-dev

To set up the repository and prepare it for building, clone the repository, enter the directory, and use gil update to fetch dependencies. After setup, use the platform-specific build script located in the build directory.

General Setup

git clone https://github.com/chronoxor/CppTrader.git
cd CppTrader
gil update

Build Commands by Platform

Linux & MacOS

cd build
./unix.sh

Windows (Cygwin or MSYS2)

cd build
nix.bat

Windows (MinGW)

cd build
mingw.bat

Windows (Visual Studio)

cd build
vs.bat