Notre Dame Fake Exchange
This project is intended for the course on High-Frequency Trading Technologies at the University of Notre Dame. It is a toy version of a real exchange
for students to practice trading strategies.
Design
- Matching Engine: Exists per-symbol to add orders to the order book, emit changes to the subscriber, match orders and emit trades.
- Market Data : Takes order book changes from the subscriber and sends them out via multicast.
- Order Entry: A TCP server that allows clients to enter orders using the order entry protocol.
- Order Ladder: The actual book management and matching
- ME Broker: handles queueing between client order entry server and matching engine
- Bot Runner: Runs a collection of very simple trading strategies to create the illusion of an active market
Future:
- PCAP Recorder
- Records all traffic to / from exchange server for student debugging
More Trading bots
- Microprice market makers - try to balance buys and sells, stacks
- VWAP Broker - gets a random quantity to execute every minute and sends it semi-randomly over that time period