GitHub @Alex Chen ·
If one investor wants to buy a quantity of stock and another wants to sell the same quantity at the same price, their orders match and a transaction is made.
Generally, a buy order and a sell order are compatible if the maximum price of the buy order matches or exceeds the minimum price of the sell order.
I adopted FIFO algorithm (price-time-quantity priority based) - the earliest active buy order at the highest price takes priority over any subsequent order at that price, which in turn takes priority over any active buy order at a lower price.
Example:
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OrderId Direction Price Time Quantity
1 Sell 100 1 50
2 Sell 90 1 60
3 Buy 91 3 80
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For the buyer's order 3, we first match the price 91 >= 90 (lowest now), and quantity 80 >= 60. The seller 2 managed to sell all the stocks in hand. But the price 91 < 100, the order 3 will not match order 1. The status after matching will be
---------------------------------------------------
OrderId Direction Price Time Quantity
1 Sell 100 1 50
3 Buy 91 3 20
---------------------------------------------------
Sell Stock
Order Today
Order History
Seller/Buyer
+
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| 1 - place order
|
|
+-------v-------+
| |
| API Gateway |
| |
+---------------+
|
| 2
|
|
+-------v-------+
| | 3 +--------------------+ 6
| Order Service +-------------> orders queue +----------------------+
| | +---------+----------+ |
+---------------+ | |
| 4 |5 |
| | |
+----v-----+ | |
| | +---------v----------+ +---------v----------+
| Database | 7 | | 8 | |
| <---------------+ Trading Service +------------> Trading Service |
+----------+ | (order+matching) | | (order+matching) |
| | | Standby |
| | | |
+--------------------+ +--------------------+
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|
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v
Outside Stock Market
Based on Vue.js
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Implmented
- User Login / Logout
- Password Setting
- Nav Bar
- Side Bar
- Banking
- Orders
- Transactions
- Buy / Sell
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Libs & Tools
- Electron: Build cross-platform desktop App with JavaScript
- Element UI: Common UI elements
- Vue Bus: Component communication
Based on Spring Core + Spring Boot + Spring Cloud
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DB - Sqlite (For simplility + Fast Development)
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Redis + Docker (Caching)
docker run --name redis-lab -p 6379:6379 -d redis
-
Uuid Generation
- Twitter snowflake
64 bit in total ==> long in Java * 1 bit - sign bit (0 - positive, 1 - negative) * 41 bit - timestamp diff (current timestamp - start timestamp) * 10 bit - 5 for data center id + 5 for machine(worker) id * 12 bit - seq id in a milisecond unit ( 2 ^ 12 = 4096 ids in a ms)Pro: - Seq id increase along with time - No duplicate id globally - Can generate a large number of ids per unit time -
Invert Index
- Fast Form Auto completion for Stock Symbol
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Logic
|----------- Stock Market Info
|
Matching System ------------->------------------<------------ Order Status Info
publish consume
Vertx Event Bus
Client
+
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| 1 - place order
|
|
+-------v-------+
| |
| Acceptor |
| NIOEventLoop |
| |
+---------------+
|
| 2
|
|
+-------v-------+
| |-----------------> Read
| I/O |
| NIOEventLoop |-----------------> Decode / Compute / Encode
| |
| |-----------------> Write
+---------------+
Server: decode, handle datagram
Clent: generate datagram, send out datagram
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Queue cluster:
- Fetch orders from Gateway
- Sort orders by timestamp, price placed, quantity
- Broadcast orders to matching system
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Why Raft
- High Avaiblility - self-healing
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How to multicast to downstream
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Vert.x datagram socket sends UDP packets
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Why UDP: no connection overhead
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How to solve package loss - use packet number to identify sequence.
- if SeqNo > lastSeqNo + 1, packet dropped, downstream asks for resend.
- of SeqNo < lastSeqNo + 1, packet duplicate, discard current packet/
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- Core Logic
For each sine stock:
Map<Price, PriorityQueue<Order>> sell
Map<Price, PriorityQueue<Order>> buy
Case 1 - A buy order comes in
Get the queue<Order> with lowest price >= buy price
Poll out the first Order
- If Partial Order of Buy, put buy order into buy queue
- If Partial Order of Sell, put back sell order
- If Buy order has taken all first sell order, poll out the second order, repeat...
Case 2 - A sell order comes in
Get the queue<Order> with highest price <= sell price
Poll out the first Order
- If Partial Order of Sell, put sell order into sell queue
- If Partial Order of Buy, put back buy order
- If Sell order has taken all first buy order, poll out the second order, repeat...
- Ring Buffer
Producer
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| Order
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+-------v-------+
| |
| |
| Ring Buffer |<----------- Consumer -----------> Order Service (Counter)
| | (Pre-Check, Matching, Publish Matching to outside Stock Market)
| |
| |
+---------------+