High frequency trading risk server+client

C++17 HFT risk calculation system. No third-party dependencies needed.

This is only a weekend project I did in 2020. It is probably completely useless in actual trading.

Implemented features

• TCP server and client.
• Message serialization.
• Risk server capable of handling messages over TCP.
• Risk client capable of sending messages to the risk server over TCP.
• Trade state stored in hash tables (std::unordered_map).
• Rather than computing three net sums over all existing orders each time the net position is requested, the sums are updated into InstrumentState for each instrument each time the state of the server changes.

Missing features

• Message protocol structs are not packed. It was easier to test the system this way. Encoding and decoding of packed structs can be implemented later as an optimization to minimize network bandwidth usage.

Example output

Please see server.log and client.log for example program output.

Running the example

Building

mkdir build
cd build
cmake ..
make -j8

Running

Start the risk server, serving at 127.0.0.1:7001 with max buy position 20 and max sell position 15:

./bin/risk-server 127.0.0.1 7001 20 15

In a second terminal, send some messages with the client to the server at 127.0.0.1:7001 by running:

./bin/test 127.0.0.1 7001

Verify that your output matches client.log for the client and server.log for the server.

Compiled and tested on

Linux

• Debian 10 (buster)
• CMake 3.13.4
• clang 7.0.1-8.

macOS

• Apple M1, Big Sur 11.4
• CMake 3.20.3
• clang 12.0.5