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Ordermatch

Ordermatch is a simple matching engine (A set of orderbooks) with a FIX acceptor service as the point of ingress.

Features

  • Accept any canonical NewOrderSingle message for an instrument, with the instrument symbol consisting of an arbitrary string
  • Accept any canonical OrderCancelRequest message for any order resting in the book
  • Accept any canonical MarketDataRequest message for any book
  • Sends ExecutionReport messages when orders are matched, either partially or in full
  • Reads text from stdin, either #symbols to display the active market symbols, or your symbol, i.e. AAPL and will display the state of the book for that symbol

Usage

A config file similar to the example config here is required to run the ordermatch. The cli command usage takes the form of

qf ordermatch [CONFIG_PATH_FILENAME]

where CONFIG_PATH_FILENAME defaults to config/ordermatch.cfg

Example Config Contents

[DEFAULT]
SocketAcceptPort=5001
SenderCompID=ISLD
TargetCompID=TW
ResetOnLogon=Y
FileLogPath=tmp

[SESSION]
BeginString=FIX.4.0

[SESSION]
BeginString=FIX.4.1

[SESSION]
BeginString=FIX.4.2

[SESSION]
BeginString=FIX.4.3

[SESSION]
BeginString=FIX.4.4

[SESSION]
BeginString=FIXT.1.1
DefaultApplVerID=7