Tik: Low Latency Trading Gateway

Simple High performance, low latency system implemented in C++ written for learning purposes. Processes Data in realtime via FIX protocol.

Features

• Lock Free queues
• Memory Pools to eliminate allocations
• CPU pinning with dedicated cores for market and order processing
• Zero copy using in place parsing and string views
• State machine for FIX parsing
• Compile time optimizations

Performance results

• Average tik-to-trade: 10-15 microseconds
• Peak Performance: 2.8μs minimum latency
• Message Processing: 400+ messages per 30-second test with ~98% execution rate
• Parser efficiency: Sub-2μs (averaging around 1.4μs)

Build

Tree

├── config.json
├── include/
│   ├── fast_float/  (9 headers)
│   ├── json.hpp
│   ├── ordermanager.h
│   ├── orders.h
│   ├── parser.h
│   └── receive.h
├── Makefile
├── README.md
└── src/
    ├── (main, ordermanager, parser, orders, receive).cpp
    └── testserver.py

Prerequisites

# Ubuntu/Debian
sudo apt-get install build-essential nlohmann-json3-dev libboost-dev

Compilation

make clean && make

Configuration

Edit config.json for trading parameters (for now its only one config variable)

{
    "symbol": "EUR/USD",
    "target_buy_price": 1.1235,
    "order_quantity": 1500
}

Compile and run

./TIK

Test with Market data

python3 testserver.py

Data Flow

Market Data (UDP) → Parser → Order Book → Strategy → Order Execution

Planned goals

• Implement SBE protocol
• Multi-symbol support