trader.cpp

Small trading UI connected to Binance over their FIX API.
A proof-of-concept, showcasing some modern c++ and some fintech concepts.

Run Requirements

• linux (tested with debian-trixie)
• stunnel for TLS encryption (or a local proxy)
• a Binance account, and an Ed25519 token with FIX read permissions enabled
• sudo permissions (for elevated process and thread priorities)

Run

• start an SSL tunnel
  • e.g. run stunnel stunnel_prod.conf (from the binance folder)
• configure:
  • copy fixconfig (from the binance folder)
  • copy spot-fix-md.xml (from the binance folder) and edit references in fixconfig
  • copy your binance private key pem and your public api key
  • copy .env.example to .env, edit values, and source the file
• run:
  • download release
  • chmod u+x tradercpp
  • sudo ./tradercpp

Build Requirements

• C++20
• python3, python3.8-venv, pip
• Conan (tested with >= 2)
• CMake (tested with >= 4)
• ninja

Dev Requirements

• make (convenience)
• gdb
• clang-tidy
• clang-format
• lcov

Build and Run

NB: this app uses make as a recipe book, but it's not essential:

1. copy .env.example to .env, and set your public/private keys
2. run an SSL tunnel (e.g. stunnel binance/stunnel_prod.conf)
3. make init
4. make build-debug
5. sudo make withenv RECIPE=run-debug

Test

make test

Debug

• vscode
  • app and test debug profiles are pre-configured in the following files:
    • .vscode/launch.json
    • .vscode/tasks.json
• intellij (clion)
  • enable the debug CMake profile

Help

make

Cloud Config

• Sonarcloud (click the badge)
• Codecov (click the badge)

Aims

Functional

• ✅ create a FIX connection to Binance
  • ✅ separate price/trade/order sessions
  • server maintenance, News messages
  • per-session execution reports / Response Mode
  • track message limits
  • OrderMassCancelRequest on error
  • quickfix database vs fix8 equivalent
• ✅ subscribe to price updates
• ✅ use a precise number type for money
• create a basic trading signal (e.g. standard deviations)
• fire an order
• ✅ test in the Binance test environment
• momentum indicators
• throughput indicators (messages/sec)
• orders
  • update balance for in-flight orders (reconcile asynchronously)

Non-functional

• ✅ package management (Conan 2 + lock file)
• ✅ QuickFIX
• ✅ basic cpp app to start with
• ✅ makefile and build chain
• ✅ package management
• ✅ debugging
• ✅ single-threaded to start with, then re-architect (and mermaid diagram)
• ✅ UI
  • ✅ publish messages to thread-safe queue
  • ✅ consume messages from thread-safe queue on a worker thread
  • ✅ pretty print values
  • double-buffering
  • FPS limit
  • interrupt/ctrl+c signal
• code quality
  • ✅ clang-format
    • ✅ configure editor to auto-format
    • ✅ fail commits if not formatted (via git hooks)
  • clang-tidy
    • ✅ all files tidied
    • ✅ configured clang-tidy => clang-format
    • ✅ fail commits/merges if not tidy (via git hooks)
    • ✅ clang-tidy-diff.py (alias 18)
    • ✅ parallelised (via run-clang-tidy)
  • ✅ both integrated into build pipeline
  • ✅ sonarcloud integrated into build pipeline
  • ✅ sonarcloud and codecov coverage
  • ✅ badges
• diagnostics
  • ✅ ASan
  • UBSan
  • TSan
  • Valgrind
• pipeline
  • ✅ custom docker build image with all dependencies (hosted on GHCR for faster pipelines)
  • ✅ reusable pipeline components
  • ✅ release pipeline
  • ✅ cron
    • ✅ comprehensive clang-tidy & clang-format checks
    • ✅ sonarcloud
  • ✅ cached dependencies
  • https://github.com/googleapis/release-please
  • containerised pipeline integration tests / dind
  • local github action runner (act)
  • ccache or precomiled headers
• testing
  • ✅ coverage gutters
  • ✅ dependency injection
  • integration test with mocked Binance server
  • FTXUI snapshot testing
• benchmarking
  • ✅ micro benchmarks
  • load test with mocked FIX server
  • profiling (valgrind/cachegrind)
  • profile-guided optimization (pgo)
  • profile tcmalloc
• performance / latency
  • ✅ store prices and sizes as integrals (ticks as uint64_t) for performance
  • ✅ cache line alignment
  • ✅ tcmalloc (Full) / gperftools
  • CPU
    • ✅ isolated CPU cores
    • ✅ thread-CPU affinity
    • ✅ thread "realtime" priority
    • Disable hyperthreading
  • OS
    • ✅ vacate OS services
    • ✅ move IRQs for all system devices to other CPUs
    • RTOS / PREEMPT_RT kernel
  • co-location
    • ✅ find Binance's server location for a low-latency connection
  • NIC
    • ✅ NIC IRQ affinity to same CPU as FIX
    • wired, kernel-bypass NICs
    • hardware queue affinity
    • QoS (mark packets)
    • AF_XDP (+ Zero-copy mode)
    • dedicated NIC + DPDK
  • FIX
    • ✅ debug quickfix to confirm if it's running in it's own thread
    • QuickFIX alternative (Fix8)
      • otherwise => QuickFIX + SSL
  • hugepages
  • kernel space vs user space
  • intrinsics
  • compiler auto-vectorization
  • SIMD
  • sparse arrays & flat matrix
  • release compile flags
  • memory-mapped files
  • Memory locking
  • BIOS
    • disable hyperthreading, turbo boost
    • disable C-states deeper than C1 (C1E, C6, etc)
    • set cpu governor to "performance"
• ✅ logging
  • ✅ fast
  • ✅ error handling
  • ✅ add console target for fatal messages
  • compiled out 'debug' logging for release builds
  • thread name in logs
  • rolling
  • structured
  • basic schema (severity, correlationId)
• versioning
  • master branch merge check for conventional commit message (e.g. regex)
  • maybe a merge git gook check
  • automated semantic versioning
  • github-changelog-generator
• observability
  • opentelemetry (asynchronous)
  • grafana+tempo via docker-compose
• security
  • OpenSSF Scorecard
• other
  • nix
  • decimal type
  • zeromq + protobufs?
  • shellcheck?
  • conan build_requires
• deployment
  • terraform

Design

sequenceDiagram
    participant MAIN    as Main Thread
    participant LOGS    as Log UI Thread
    participant BOOK    as Orderbook Thread
    participant TRADES  as Trade Thread
    participant FIX     as FIX Thread

    FIX-->>FIX: subscribe to Binance <br> + push to <queue>

    FIX->>TRADES: pull from <queue>
    TRADES-->>TRADES: build UI

    FIX->>BOOK: pull from <queue>
    BOOK-->>BOOK: build UI

    LOGS-->>LOGS: poll log file <br> + build UI

    TRADES->>MAIN: request render
    BOOK->>MAIN: request render
    LOGS->>MAIN: request render

Loading

Credits

• https://github.com/binance/binance-fix-connector-python
• harjus