Rex Source Code Is Now Available

Finally had the time to post the source code for the order matching engine. You can check it out here.

To compile, best is to create an Eclipse C++ project and add all the source files. You must already have the following libraries installed: ACE, Boost, QuickFIX, log4cxx, and pugixml.

To run, make sure the config/ folder is in the same directory as the executable, modify the configuration files as appropriate and simply type in the name of the executable in the command line.

For testing, I used the Banzai GUI trading app that comes bundled with QuickFIX/J to connect with the matching engine and to submit test orders.

Rex - an Order Matching Engine

An exchange simulator/order matching engine written in C++. The complete code will be posted later.

Briefly, it creates a thread per connection to handle incoming FIX messages. The messages are then queued, based on the security, to an order book that handles that security. Each order book runs in its own thread and does the actual matching. All outgoing messages are then sent in separate connection specific threads to the originator.

My Reading List

Originally posted 10/21/2009

Design Patterns

• Dsign Patterns: Elements of Reusable Object-Oriented Software
• Pattern-Oriented Software Architecture Volume 2: Patterns for Concurrent and Networked Objects

Network Programming

• C++ Network Programming, Volume I: Mastering Complexity with ACE and Patterns
• C++ Network Programming, Volume 2: Systematic Reuse with ACE and Frameworks
• Unix Network Programming, Volume 1: The Sockets Networking API (3rd Edition)
• UNIX Network Programming, Volume 2: Interprocess Communications (2nd Edition)
• TCP/IP Illustrated, Volume 1: The Protocols

Systems Programming

• Programming with POSIX(R) Threads
• Advanced Programming in the UNIX Environment, Second Edition

C++

• C++ Primer (4th Edition)
• The C++ Standard Library: A Tutorial and Reference
• Effective C++: 55 Specific Ways to Improve Your Programs and Designs (3rd Edition)
• More Effective C++: 35 New Ways to Improve Your Programs and Designs
• C++ Coding Standards: 101 Rules, Guidelines, and Best Practices

Java

• Effective Java (2nd Edition)
• Java Concurrency in Practice
• Core Java(TM), Volume I--Fundamentals
• Core Java, Vol. 2: Advanced Features

C

• C Programming Language (2nd Edition)
• C: A Reference Manual (5th Edition)

Trading

• Reminiscences of a Stock Operator
• Japanese Candlestick Charting Techniques
• Mastering the Trade: Proven Techniques for Profiting from Intraday and Swing Trading Setups
• Trading Commodities and Financial Futures
• Market Wizards: Interviews with Top Traders
• The New Market Wizards: Conversations with America's Top Traders