Trading Market Simulator 🏦

Trading simulator catch-all repo, for now.

Low latency, data locality, and high performance are paramount.

This project is in a bit of a Frankenstein mode right now with different trading-related components. The current goal is to break up the repo into smaller pieces, 2 for now:

• An exchange-side simulator that replicates exchange dynamics
• A market maker simulator to plug into the exchange(s) and feed structured market data into trading apps

Only tested on Linux, and it works on any distro. Not tested on MacOS yet. There will never be Windows support.

Requirements / Dependencies

The easiest way to get a known-good environment is by using Nix (see below), but if you prefer system packages, the list below covers what CMake asks for.

Minimum deps:

• A C++ compiler with C++23 support (g++ or clang)
• CMake (>= 3.25)
• Ninja (default) or Make

Required for running tests/benchmarks:

• Google Test (find_package(GTest REQUIRED))
• Google Benchmark (find_package(benchmark REQUIRED))

Fetched automatically via CMake FetchContent (no manual install needed):

• fastinahurry
• robin-hood-hashing

Again, using the Nix development environment will install all the dependencies and set up the environment variables for you.

Example package install commands:

Debian/Ubuntu:

sudo apt update
sudo apt install -y build-essential cmake ninja-build pkg-config libgtest-dev libbenchmark-dev

Fedora/RHEL/CentOS:

sudo dnf install -y gcc-c++ cmake ninja-build pkgconfig gtest-devel benchmark-devel

Arch:

sudo pacman -S --needed base-devel cmake ninja pkgconf gtest benchmark

Building

Using Nix (recommended)

Install nix (and optionally direnv) and run the flake.nix to load all dependencies in your local environment:

nix develop

You'll be dropped into a shell with the proper dependencies. Then build the project:

make all

Using non-Nix package managers

If you prefer not to use Nix, go ahead and install the dependencies shown above for your distro. Then run the Makefile from the project root:

make all

Available targets:

Target	Description
make all	Build all targets
make options	Build the options executable
make tests	Build and run unit tests
make tests FILTER=pattern	Run tests matching a gtest filter pattern
make md_generator	Build the market data generator binary
make md_consumer	Build the market data consumer binary
make clean	Remove the build directory
make help	Print all available targets

The benefits of Nix

If you have direnv, run direnv allow and enjoy having your packages loaded automatically when you cd into the repo; no need to run nix develop every time you're in a new shell or to switch shells for multiple projects.

Switching to devenv soon.

Troubleshooting

• For development you may want additional tools such as clang-format, ccache, valgrind/memcheck, or benchmarking tooling available in benchmarks/.
• If you run into missing packages or CMake cannot find a library, double-check that the dev/header packages are installed and that pkg-config can locate them.