Exchange

Simple exchange:

Matching engine
(soon to be) OMS
UDP multicast communication with boost asio
Lock-free SPSC ring-buffer work queue
Nix-based dev environment

Development

To enter a dev shell with all the necessary build tools, use nix develop.

Utilities

Watcher

find -name '*.?pp' | entr -s "cmake --build build"

Nix

Cache

The CI automatically builds and pushes to the Cachix cache. However, to push manually (e.g. when updating nixpkgs/clang):

nix build --json \
  | jq -r '.[].outputs | to_entries[].value' \
  | cachix push walton98

The cache is write-restricted and an authentication token is required to push to it.

Reference

Architecture

Components

The system is comprised of an accounts system and a matcher system. Both of these components are sharded and have a load balancer to handle the routing of messages. The load balancer is also responsible for retransmission of missed messages, as well as ordering and storing the input.

flowchart LR

LA1[Acct Load Balancer]

subgraph Accounts
    A1
    A2
    An
end

LA1 --> A1 & A2 & An

LM[Matcher Load Balancer]

subgraph Matcher
    M1
    M2
    Mn
end

A1 & A2 & An --> LM --> M1 & M2 & Mn

LA[Acct Load Balancer]

M1 & M2 & Mn --> LA

Units

Each unit internally looks as follows:

flowchart

subgraph U[Unit]
    direction TB
    C[Consumer] --> QI[Input Queue]
    QI --> E[Engine]
    E --> S[Snapshotter]
    E --> QO[Output Queue]
    QO --> WAL
    QO --> P[Producer]
end

Alternative Designs

It would be possible to have the account and matcher parts communicate directly and for each one to be responsible for storing it's own queue and broadcasting it to replicas and retransmitters. This sort of design is discussed in this talk.

walton98 / exchange

readme