Trading Engine Server

A high-performance, scalable trading engine simulation built in C# .NET 8.0 that models markets.

Features

• Efficient order book management using advanced data structures (SortedSet, Dictionary)
• Support for multiple matching algorithms (FIFO and Pro-rata)
• Real-time order matching and trade execution
• Scalable architecture capable of handling multiple financial instruments
• Unit and integration testing suite
• Custom logger with text and console logging capabilities

Architecture

The trading engine is built on a modular architecture:

• Orderbook: Manages the order book for each financial instrument
• MatchingEngine: Implements order matching algorithms (FIFO and Pro-rata)
• Order: Represents individual orders in the system
• Trade: Represents executed trades
• Security: Represents financial instruments

Setup

1. Clone the repository:

2. Open the solution in Visual Studio or your preferred C# IDE.

3. Restore NuGet packages.

4. Build the solution.

Usage

To use the trading engine in your project (see integration tests and TradingEngineServer class for additional examples):

1. Initialize the OrderbookManager and MatchingEngine:

   var orderbookManager = new OrderbookManager();
   var matchingEngine = new FIFOMatchingEngine(); // or ProRataMatchingEngine

2. Create a security and add it to the system:

   var security = new Security(1, "AAPL");
   orderbookManager.CreateOrderbook(security, matchingEngine);

3. Add orders to the orderbook:

   var orderbook = orderbookManager.GetOrderbook(security);
   var buyOrder = new Order(new OrderCore(1, "user1", security.Id), 100, 10, true);
   orderbook.AddOrder(buyOrder);

4. Perform matching:

   var matchResult = orderbook.Match();

5. Process the match results:

   foreach (var trade in matchResult.Trades)
   {
       Console.WriteLine($"Trade executed: {trade.Quantity} @ {trade.Price}");
   }

Testing

Run the included unit and integration tests to verify the system's functionality:

dotnet test

Future Enhancements

• Implement additional matching algorithms
• Add support for market orders and other order types
• Integrate with a real-time market data feed
• Implement risk management features
• Add a RESTful API for external integrations