CoinTossX: An open-source low-latency high-throughput matching engine

TL;DR

CoinTossX is an open-source, low-latency, high-throughput matching engine implemented in Java, supporting multiple deployment scales and languages, suitable for research, testing, and industrial use cases.

Contribution

This paper introduces CoinTossX, a versatile, open-source matching engine with multi-language support, scalable deployment options, and real-time monitoring capabilities.

Findings

Supports small-scale desktop testing and large-scale cloud deployment.

Enables order submission and market data monitoring via Julia and Python.

Utilizes UDP and SBE protocols for low-latency communication.

Abstract

We deploy and demonstrate the CoinTossX low-latency, high-throughput, open-source matching engine with orders sent using the Julia and Python languages. We show how this can be deployed for small-scale local desk-top testing and discuss a larger scale, but local hosting, with multiple traded instruments managed concurrently and managed by multiple clients. We then demonstrate a cloud based deployment using Microsoft Azure, with large-scale industrial and simulation research use cases in mind. The system is exposed and interacted with via sockets using UDP SBE message protocols and can be monitored using a simple web browser interface using HTTP. We give examples showing how orders can be be sent to the system and market data feeds monitored using the Julia and Python languages. The system is developed in Java with orders submitted as binary encodings (SBE) via UDP protocols using the Aeron Media Driver as the low-latency, high throughput message transport. The system separates the order-generation and simulation environments e.g. agent-based model simulation, from the matching of orders, data-feeds and various modularised components of the order-book system. This ensures a more natural and realistic asynchronicity between events generating orders, and the events associated with order-book dynamics and market data-feeds. We promote the use of Julia as the preferred order submission and simulation environment.