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TradingEngineServer

A simple trading engine server written in C#.

Overview

This trading engine implements a limit order book system for matching buy and sell orders. It provides infrastructure for order management, order book maintenance, and price discovery through a spread calculation mechanism.

Architecture

The solution is organized into the following projects:

TradingEngineServer (Core)

The main entry point and host for the trading engine. It uses Microsoft's Generic Host infrastructure to run as a background service.

  • Program.cs: Entry point that builds and runs the trading engine host
  • TradingEngineServer.cs: Background service that implements the main engine loop
  • TradingEngineServerHostBuilder.cs: Configures dependency injection and services
  • iTradingEngine.cs: Interface defining the trading engine contract

OrdersCS (Orders Library)

Defines the order domain model and order-related operations:

  • Order: Represents a limit order with price, quantity, and side (buy/sell)
  • OrderCore: Core order properties (OrderID, Username, SecurityID)
  • IOrderCore: Interface for order identity
  • ModifyOrder: Represents an order modification request
  • CancelOrder: Represents an order cancellation request
  • Limit: A price level in the order book containing a linked list of orders
  • OrderbookEntry: A node in the linked list at a specific price level
  • Side: Enum for order side (Bid/Ask)
  • LimitComparer: Custom comparers for sorting bid/ask limits

OrderbookCS (Order Book Library)

Implements the central limit order book:

  • Orderbook: The main order book implementation with:
    • Separate sorted sets for bid and ask limits
    • O(1) order lookup by ID using a dictionary
    • Linked list structure at each price level for order priority (FIFO)
  • OrderbookSpread: Represents the best bid/ask spread
  • MatchResult: Result of order matching (placeholder for matching engine)

Interfaces:

  • IReadOnlyOrderbook: Read-only order book queries
  • IOrderEntryOrderbook: Order entry operations (add, modify, remove)
  • IRetrievalOrderbook: Order retrieval operations
  • IMatchingOrderbook: Order matching interface

InstrumentCS (Instruments Library)

Defines tradeable instruments:

  • Security: Represents a tradeable security/instrument

How the Order Book Works

Data Structures

The order book uses three key data structures:

  1. SortedSet<Limit> for bids: Sorted in descending price order (highest bid first)
  2. SortedSet<Limit> for asks: Sorted in ascending price order (lowest ask first)
  3. Dictionary<long, OrderbookEntry>: Maps order IDs to order book entries for O(1) lookup

Order Flow

  1. Adding an Order:

    • A new limit price level is created if it doesn't exist
    • The order is appended to the tail of the linked list at that price level
    • The order is indexed in the dictionary by its ID

  2. Modifying an Order:

    • The existing order is cancelled
    • A new order with modified parameters is added

  3. Cancelling an Order:

    • The order is removed from its linked list
    • Head/tail pointers are updated appropriately
    • The order is removed from the dictionary

Price Priority

  • Bids: Higher prices have priority (buyers want to pay more)
  • Asks: Lower prices have priority (sellers want to receive less)

Time Priority

Orders at the same price level are processed in FIFO order using a doubly-linked list.

Configuration

The engine is configured via appsettings.json:

{
    "LoggerConfiguration": {
        "LoggerType": "Text",
        "TextLoggerConfiguration": {
            "Directory": "path/to/logs",
            "Filename": "TradingEngineServer",
            "FileExtension": ".log"
        }
    },
    "TradingEngineServerConfiguration": {
        "TradingEngineServerSettings": {
            "Port": 12000
        }
    }
}

Dependencies

  • Microsoft.Extensions.Hosting
  • Microsoft.Extensions.DependencyInjection
  • Microsoft.Extensions.Logging
  • External LoggingCS library (not included in this repository)

License

See LICENSE.txt for license information.