Trading Engine Orders

A realistic order generation engine for stress-testing order books. Simulates market microstructure with regime-based dynamics — prices don't just random walk, they crash, rally, and recover like real markets.

Build

cargo build --release

Usage

# Default (normal scenario)
./target/release/trading-engine-orders

# Select a scenario via CLI
./target/release/trading-engine-orders --scenario crash

# Use a TOML config file
./target/release/trading-engine-orders -c config.toml

# Config file + CLI overrides (CLI wins)
./target/release/trading-engine-orders -c config.toml --scenario rally --initial-price 250.0

CLI Options

Flag	Description
--scenario <NAME>	Market scenario: normal, crash, volatile, flash-crash, rally
-c, --config <FILE>	Path to TOML configuration file
--multicast-group <ADDR>	UDP multicast group (default: 239.255.0.1)
--multicast-port <PORT>	UDP multicast port (default: 5555)
--initial-price <PRICE>	Starting mid-price (default: 100.0)
--tick-interval <SECS>	Tick interval in seconds (default: 0.1)
--tick-size <SIZE>	Minimum price increment (default: 0.01)
--shock-prob <PROB>	Shock probability per tick (default: 0.0003)
--wire-format <FORMAT>	Network wire format: text, binary
--control-enabled <BOOL>	Enable runtime UDP control API
--control-bind <ADDR:PORT>	Control API bind address (default: 127.0.0.1:6001)

Configuration File

See config.toml for all available settings. CLI flags override values from the config file.

Scenarios

Scenario	Description
normal	Starts calm, naturally transitions through all regimes via Markov chain. Crashes and rallies happen organically.
crash	10 seconds of calm trading, then a forced crash with negative drift and sell-heavy order flow.
rally	10 seconds of calm trading, then a forced rally with positive drift and buy-heavy order flow.
flash-crash	8 seconds of calm, then a short (3-7s) crash followed by rapid recovery.
volatile	Sustained high volatility with no regime transitions. Pure throughput stress testing.

Market Regimes

The simulator uses a state machine with 5 regimes. Each regime controls volatility, drift, order rates, buy/sell bias, spread width, book depth, and cancellation behavior.

Regime	Sigma	Drift	Limit/s	Market/s	Buy Bias	Spread
CALM	0.15	0.0	50	5	50%	0.03
VOLATILE	0.80	0.0	80	15	50%	0.08
CRASH	2.00	-1.50	15	45	12%	0.25
RALLY	1.50	+1.20	25	35	88%	0.15
RECOVERY	0.50	+0.30	60	8	55%	0.05

How It Works

Price Model — Geometric Brownian Motion with regime-dependent drift and volatility.

Regime Transitions — Markov chain with per-tick transition probabilities. Typical flow: CALM -> VOLATILE -> CRASH -> RECOVERY -> CALM.

Shock Events — Rare (~once per 5 min), sudden 2-6% price jumps that trigger immediate regime changes when the market is calm.

Order Generation — Each tick (100ms): limit orders arrive at Poisson rates with exponential offsets from mid; market orders cross the book; expired and regime-driven cancellations remove liquidity.

Wire Protocol

Orders are sent via UDP multicast with selectable format.

Text format (wire_format = "text")

ORDER|id=42|side=BUY|type=LIMIT|price=99.85|size=23|time=1.300
CANCEL|id=42|time=5.700

Binary format (wire_format = "binary")

Little-endian frames with header:

• magic[2] = "OF"
• version = 1
• msg_type = 1 for ORDER, 2 for CANCEL

ORDER payload:

• id:u64
• side:u8 (1=BUY, 2=SELL)
• order_type:u8 (1=LIMIT, 2=MARKET)
• price:f64
• size:u32
• time:f64

CANCEL payload:

• id:u64
• time:f64

Runtime Control API

When [control].enabled = true, the engine listens on UDP (default 127.0.0.1:6001) for live commands:

• pause
• resume
• rate <multiplier> (example: rate 4.0)
• display <seconds> (example: display 0.5)
• regime <calm|volatile|crash|rally|recovery>
• reload (reloads runtime tunables from -c/--config)
• stats

Example:

echo "rate 10.0" | nc -u -w1 127.0.0.1 6001
echo "regime crash" | nc -u -w1 127.0.0.1 6001

orderflow-rs