C++ order-book

Open-source C++ projects categorized as order-book
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Topics: #Cryptocurrency #Hft #matching-engine #trading-strategies #low-latency
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Top 3 C++ order-book Projects

  • roq-api

    Used by trading strategies to communicate with Roq's market gateways or Roq's simulator. [C++20] [Interface]

    Project mention: roq-api: NEW Extended Research - star count:377.0 | reddit.com/r/algoprojects | 2023-04-29

  • roq-samples

    Demonstrates how Roq's API can support different use-cases. [C++20] [Examples]

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  • DistributedATS

    DistributedATS is a FIX Protocol based multi matching engine exchange(CLOB) that integrates QuickFIX and LiquiBook over OpenDDS

    Project mention: Low-latency Systems Experience and Side Projects | reddit.com/r/algotrading | 2022-11-19

    Several open-source projects can give you a head start. QuickFIX https://github.com/quickfix/quickfix FIX is the ABC of electronic trading. FIX is not a low-latency protocol, but it covers all aspects of electronic trading, from authentication to market data to order entry to post-trade reporting. Every trading venue supports FIX, so you must be familiar with it. QuickFIX provides FIX Server and Client implementations for all versions used on the street and python wrappers for all components. LiquiBook https://github.com/enewhuis/liquibook LiquiBook is an example of a low-latency matching engine. This project should give you an idea of how exchange matches orders. Itch-order-book https://github.com/charles-cooper/itch-order-book Itch-order-book is an example of a low-latency code to process market data. This project is an example of how to process millions of order book changes per second. ITCH is a low-latency market data protocol used by NASDAQ DistirbutedATS https://github.com/mkipnis/DistributedATS DistirbutedATS integrates QuickFIX and LiquiBook to create a simple yet functional exchange. DistributedATS is my experimental project so let me know if you have any questions.

NOTE: The open source projects on this list are ordered by number of github stars. The number of mentions indicates repo mentiontions in the last 12 Months or since we started tracking (Dec 2020). The latest post mention was on 2023-04-29.

Index

What are some of the best open-source order-book projects in C++? This list will help you:

Project Stars
1 roq-api 388
2 roq-samples 137
3 DistributedATS 31

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