Stock Exchange Simulation

This project implements a stock exchange simulation using a microservices architecture. To build and deploy the exchange locally, run

docker compose build
docker compose up

System Overview

Core Services

• order-entry-gateway

  • Recieves order requests
  • Converts valid order requests into sequenced orders
  • Sends orders to matching-engine
  • Sends order reports to market-data-feed

• matching-engine

  • Maintains a separate, in-memory order book for each security listed on the exchange
  • Recieves orders and matches them against the corresponding order book
  • Sends execution requests for matched orders to clearinghouse
  • Sends trade reports and price updates to market-data-feed

• clearinghouse

  • Receives execution requests
  • Clears and settles valid execution requests
  • Sends settlement reports to market-data-feed

• market-data-feed

  • Recieves and stores data received from every other service
  • Provides an API for data access that includes both REST and WebSocket endpoints

Additional Components

• Persistence

  The services share a Postgres server with two databases: clearing_data and market_data.

  • clearing_data maintains a record of account balances for traders as well as a securities deposit to track share holdings
  • market_data stores reports from other services, as well as price updates from matching-engine

• Inter-service communication

  Services communicate via a RabbitMQ server. The server contains a direct exchange named stock_exchange that all messages are published to. This exchange maintains three durable queues to which messages are routed to and consumed from:

  • order_entry
  • order_execution
  • data_feed

• Market participants

  To simulate market participants, the project includes the trading-bots directory containing Python-based traders. A trader submits orders to the gateway according to a particular strategy (e.g., a random walk).

  market-data-feed offers endpoints for retrieving data related to each trader, such as:

  • /holdings/{securityId}/{clientId}: current share holdings of a trader, for a given security
  • /balance/{clientId}: current account balance of a trader

  Each trader starts with an initial balance of $10,000, which varies based on their trading activity. Hence, trading bots can be tested against each other and evaluated according to their final share holdings and account balances.