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Distributed ATS

DistributedATS is a FIX Protocol-based alternative trading system that integrates QuickFIX and LiquiBook over OpenDDS. This project simplifies the process of communication between multiple FIX gateways and multiple matching engines(CLOB) in real-time. FIX Gateways communicate with clients via FIX and Matching Engines and Middleware(Data Service) components via topic-based DDS IDL Pub/Sub mechanism.

Components

  • FIX Gateway communicates with clients via FIX and with Matching Engines and Data Services via DDS. FIX Gateway converts FIX messages into DDS IDL and publishes converted IDLs to Matching Engines or Data Services, it converts DDS IDL messages received from Matching Engines and Data Services into FIX and sends them to FIX clients.

  • Matching Engine maintains order-books, publishes market data(conflated), matches orders, and publishes IDL-based Execution Reports. Matching Engine services critical to the order flow DDS messages including NewOrderSingle, OrderCancelRequest, MassOrderCancel, etc.

  • Data Service authenticates users, provides reference data, services mass order status requests, and market data snapshots. Data Service services all non-critical to order flow DDS messages including Logon, Logout, MassOrderStatusRequest, MarketDataSnapshot. Data Service can service one or more FIX Gateways and Matching Engines.

N|Solid See: CryptoCLOB

Dependencies

Dependency Component
OpenDDS DDS/Middleware
QuickFIX FIXGateway
LiquiBook MatchingEngine
SQLite3 DataService

Sample Exchanges

MultiMatchingEngineATS - Two Matching Engines, three FIX Gateways, and two Data Services. The first matching engine consumes and processes orders from the instrument group MARKET_Y, the second from the instrument MARKET_Z

USTreasuryCLOB - A single Matching Engine, three FIX Gateways, and two Data Services. The matching engine consumes and processes orders from the instrument group MARKET_UST that covers 300+ instruments (OrderBooks)

CryptoCLOB - Three Matching Engines, three FIX Gateways, and two Data Services. The first matching engine consumes and processes orders from the instrument group BTC_MARKET, the second from the instrument ETH_MARKET, and the third from OTHER_COIN_MARKET

Other Utilities

  • LatencyTest - A NewOrderSingle path latency measurement utility. LatencyTest correlates critical to the order flow messages across DistributedATS hops by serving as a FIX and DDS IDL client.
  • SimulatorATS - A random activity simulator that consumes market data, aggress on it with arbitrary quantities, cancels unfilled orders and sends mass cancel requests.

Sample Clients

High Level Data Flow Overview

Overview

FIX Messages, Topics, Sources and Destinations

FIX Message DDS Topic Source Destination Content Description
Login(A) LOGON_TOPIC FIXGateway DataService Converted to IDL FIX Login
Login(A) LOGON_TOPIC DataService FIXGateway Successfully Authenticated FIX Session by a Data Service
Logout(5) LOGOUT_TOPIC DataService FIXGateway Unsuccessfully Authenticate FIX Session by Data Service
NewOrderSingle(D) NEW_ORDER_SINGLE_TOPIC FIXGateway MatchingEngine New order single
ExecutionReport(8) EXECUTION_REPORT_TOPIC MatchingEngine FIXGateway Execution Report to be sent to a client
ExecutionReport(8) EXECUTION_REPORT_TOPIC MatchingEngine DataService Execution Report to be store to service Order Mass Status Requests
OrderCancel Request(F) ORDER_CANCEL_ REQUEST_TOPIC FIXGateway MatchingEngine Converted to IDL Cancel Request from FIX Client
OrderCancel Reject(9) ORDER_CANCEL_REJECT_ TOPIC MatchingEngine FIXGateway IDL Cancel Reject, if order can't be cancelled
OrderCancelReplace Request(G) ORDER_CANCEL_ REPLACE_REQUEST_TOPIC_NAME FIXGateway MatchingEngine Converted to IDL Cancel Replace Request from FIX Client
MassCancel Request(q) ORDER_MASS_CANCEL_ REQUEST_TOPIC FIXGateway MatchingEngines Mass Cancel requested by FIX Client or FIX Client Logout/Disconnect
MassCancel Report(r) ORDER_MASS_CANCEL_ REPORT_TOPIC MatchingEngines FIXGateway Results of Mass Cancel Request
MarketData Request(V) MARKET_DATA_REQUEST _TOPIC FIXGateway DataService Request for the current state of Order Book(Top 5 levels)
MarketDataSnapshotFull Refresh(W) MARKET_DATA_SNAPSHOT _FULL_REFRESH_TOPIC DataService FIXGateway Current Market Data Snapshot(Top 5 levels)
MarketDataSnapshotFull Refresh(W) MARKET_DATA_SNAPSHOT _FULL_REFRESH_TOPIC Data Service MatchingEngine OpeningPrices
MarketDataIncremental Refresh(X) MARKET_DATA_SNAPSHOT _FULL_REFRESH_TOPIC MatchingEngine FIXGateway Incremental Market Data Request(Top 5 levels)
MarketDataIncremental Refresh(X) MARKET_DATA_SNAPSHOT _FULL_REFRESH_TOPIC MatchingEngine FIXGateway Incremental Market Data Request(Top 5 levels)
Security ListRequest(x) SECURITY_LIST_REQUEST _TOPIC FIXGateway DataService FIX Client initiated Security List Request
SecurityList(y) SECURITY_LIST_TOPIC DataService FIXGateway Security list reply for FIX Client Request
SecuritList Request(x) SECURITY_LIST_REQUEST _TOPIC MatchingEngine DataService Security List Request for Order Book setup
SecurityList(y) SECURITY_LIST_TOPIC DataService MatchingEngine Security List for OrderBook Setup
OrderMassStatus Request(AF) ORDER_MASS_STATUS_ REQUEST_TOPIC FIXGateway DataService Initiated by FIX Client Mass Status Request

Autogeneration of IDL from QuickFIX XML

GenTools is a utility that generates DDS IDL, FIX to IDL, and IDL to FIX adapters and IDL logger helper classes from QuickFIX's XML data dictionary.

Building Distributed ATS and it's dependencies

download_deps_and_build_all.sh

Docker

docker-compose.yml

version: '2'
services:
  # Core: Matching Engines, Data Services, FIX Gateways 
  distributed_ats:
    image: ghcr.io/mkipnis/distributed_ats:latest
    command: ["bash", "-c", "cd /opt/DistributedATS/; . ./distributed_ats_env.sh; cd MiscATS/CryptoCLOB/scripts; ./start_ats.sh"]
    # volumes: # Users and Instruments
    #   - "./data:/opt/DistributedATS/DataService/sql/sqlite"
    ports: # FIX Gateways
      - "15001:15001"
      - "16001:16001"
      - "17001:17001"

  # Front-End : Tomcat/Spring/React
  distributed_ats_webtrader:
    image: ghcr.io/mkipnis/distributed_ats_webtrader:latest
    ports:
      - "8080:8080"

Upon starting the dockerized instance, open your browser and go to http://localhost:8080. Then, use either CRYPTO_TRADER_1, CRYPTO_TRADER_2, CRYPTO_TRADER_3, or CRYPTO_TRADER_4 as the username to log in with the password "TEST".