6093eac7bf
Wave 64-65 cleanup: Proto regeneration and build system updates from Tonic 0.12→0.14 upgrade Files updated: - Cargo.lock: Dependency resolution for Tonic 0.14.2 - All build.rs: Updated for tonic-prost-build - Proto files: Regenerated with tonic-prost 0.14 - Examples/tests: Updated for new gRPC API 🤖 Generated with [Claude Code](https://claude.com/claude-code) Co-Authored-By: Claude <noreply@anthropic.com>
72 lines
3.1 KiB
Markdown
72 lines
3.1 KiB
Markdown
# Trading Engine Crate
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## Overview
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The `trading_engine` crate provides the high-performance core infrastructure essential for High-Frequency Trading (HFT) operations. It focuses on ultra-low latency execution, precise timing, and efficient order management to handle demanding market conditions.
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## Features
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* **Extreme Performance Optimization**: Utilizes RDTSC for precise timing, CPU affinity for dedicated core execution, and SIMD instructions for vectorized data processing.
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* **Robust Order Management**: Manages the lifecycle of orders, from placement to execution and cancellation, ensuring accuracy and low-latency updates.
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* **Flexible Execution Engine**: Implements a highly optimized engine capable of processing trading strategies and executing orders across various venues.
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* **Multi-Broker Connectivity**: Seamlessly integrates with multiple brokers, including Interactive Brokers and ICMarkets, via specialized adapters.
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* **Event-Sourced Architecture**: Employs event sourcing for deterministic state reconstruction, coupled with comprehensive metrics and persistent storage.
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* **Concurrent Lock-Free Data Structures**: Leverages advanced lock-free data structures to minimize contention and maximize throughput in multi-threaded environments.
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## Architecture
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The `trading_engine` is structured around several key components:
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* **Execution Core**: The central logic for strategy evaluation and trade decision-making.
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* **Order Manager**: Handles all order-related operations, maintaining order state and communicating with broker adapters.
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* **Broker Adapters**: Abstract interfaces and concrete implementations for connecting to specific trading venues (e.g., `IbAdapter`, `IcMarketsAdapter`).
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* **Performance Utilities**: Modules for RDTSC access, CPU core pinning, and SIMD instruction sets.
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* **Event Store**: A mechanism for recording all significant events, enabling replay and auditability.
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* **Metrics System**: Collects and reports performance and operational statistics.
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* **Persistence Layer**: Stores critical state and event data for recovery and analysis.
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* **Concurrency Primitives**: Custom lock-free queues, rings, and other data structures.
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## Usage
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To initialize the trading engine and place a simple order:
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```rust
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use trading_engine::{
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engine::TradingEngine,
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order::{Order, OrderSide, OrderType},
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broker::BrokerType,
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};
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#[tokio::main]
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async fn main() -> Result<(), Box<dyn std::error::Error>> {
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let mut engine = TradingEngine::new();
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engine.connect_broker(BrokerType::InteractiveBrokers).await?;
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let order = Order {
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symbol: "ESZ23".to_string(),
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side: OrderSide::Buy,
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order_type: OrderType::Limit,
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quantity: 1,
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price: Some(4500.0),
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// ... other order details
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};
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let order_id = engine.place_order(order).await?;
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println!("Placed order with ID: {}", order_id);
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Ok(())
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}
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```
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## Testing
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To run the tests for the `trading_engine` crate:
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```bash
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cargo test --package trading_engine
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```
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## Documentation
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Comprehensive API documentation is available at [docs.rs/trading_engine](https://docs.rs/trading_engine).
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