First of all, my apologies for not being able to run through the tests, however, both the comments and source and source give an indication of a problem. I ran into this issue as I was porting to C#.

Is there an issue with these two tests, i.e TestAonAskNoMatchMulti and TestAonBidNoMatchMulti?

Re TestAonAskNoMatchMulti, below should be the order book at the time Ask1 is added. I believe there should be no trade because of no match? Ask1+Bid1 (match, remaining q = 500), Ask 1 + Bid2 (match, remaining q = 100) and then finally Ask1 + Bid0 (no match, not enough quantity for Bid0, therefore not enough quantity for Ask1). Therefore, roll back whole transaction.

Here's the order book state for the second test just after bid1 is added. Again I don't expect a match.

Am I missing something?

In test/unit/ut_all_or_none.cpp there is a test TestOneBidTwoAonAsk. But in code test creates aon bid and two asks with no conditions. There is already TestOneAonBidTwoAsk which does the same

Hi, I didn't want to install Boost so I followed the instructions as stated (edited env.sh). But when I run ./env.sh I still get this error "Please export BOOST_VERSION, and BOOST_CFG. You can also set BOOST_ROOT if it is not in /usr/boost/BOOST_VERSION". The next command $MPC_ROOT/mwc.pl - type make liquibook.mwc gives the error "No such file or directory". I realized that $MPC_ROOT is not defined but I am not sure what to set it as. Note that I am already able to compile C++ 11 programs in this environment (which I believed was the minimum requirement). I am just trying to build a binary out of your manual order entry example. Please help!

Hello,

I was working through the code and was just wondering what the purpose of the macro LIQUIBOOK_ORDER_KNOWS_CONDITIONS was. I understand there is some notion of whether the order knows its conditions, but was wondering why the order would not know that.

OrderBook::cancel(const OrderPtr& order) function does not check for the order in stop orders during cancellation.
So if you place a cancel order for stop order that has not been triggered yet you will not be able to cancel it and a cancel reject callback is generated.

Correct behaviour:

1. Try to cancel the order in normal orders.
2. If order exists, generate cancel callback, else check for the order in stop orders.
3. If order exists, generate cancel callback else cancel reject callback.

I can submit a pull request if required.

This is a rather subtle bug, but can cause a lot of trouble. The find_bid and ask_bid methods are similar and both have the same bug. Consider the code for find_bid:

template <class OrderPtr>
inline void
OrderBook<OrderPtr>::find_bid(
  const OrderPtr& order,
  typename Bids::iterator& result)
{
  // Find the order search price
  Price search_price = sort_price(order);
  for (result = bids_.find(search_price); result != bids_.end(); ++result) {
    // If this is the correct bid
    if (result->second.ptr() == order) {
      break;
    // Else if this bid's price is too low to match the search price
    } else if (result->first < search_price) {
      // Here lies that bug.
      break; // No more possible
    }
  }
}

If you see carefully, then the value of result is not set to bid_.end() if the loop breaks in the else condition. This can happen if, for example, there are 2 bids of same price (100, 100) and another bid of 101. Now, if by mistake someone cancels 101 twice (which is possible if one isn't careful), or someone cancels an order that doesn't exist (which is again possible, but less probably than the first case), then one of the 100-bid would be cancelled too.

I've checked only the cancel part, but find_bid is also used in replace and similar situation can arise over there.

The tests don't consider this situation, and hence the code builds fine. The solution is to set result = bids_.end() in the else before breaking. The same thing needs to be done in find_ask.

I'm attempting to build the application, I've downloaded and unzipped the MPC build tools, and placed them in a directory relative to my clone of the source.

When I run: ../mpc.pl/mwc.pl -type make liquibook.mwc

I get:

ERROR: Unable to locate parent: QuickFASTApplication

Is this the result of not having set the the $MPC_ROOT env variable?

I tried referencing it set=/home/jordanbuacke/MPC/ but that doesn't help.

Haven't built a C++ app in a while with custom tools so I'm probably just doing something wrong.

Thanks

Btw, I'm in ubuntu server 12.04

when i run mwc.pl -type make liquibook.mwc gives mwc.pl: command not found

It would be great to add serialization abilities in liquibook for ease of system restart.

sir, i am learning HFT related knowledge, i think your project powerful, but i don't know how to connect nasdaq get stock limit orders data real time, can you share something or documents? thanks !!!!

My OS is ubuntu 16.04
gcc version 6.4.0

I am trying to compile Liquibook
I installed MPC, Xercesc, Boost_1_62_0, Quickfast and all other dependencies
Exposed all variables : QUICKFAST_ROOT, MPC_ROOT, XERCES_ROOT, BOOST_ROOT and all related lib and include variables. env.sh did not run properly so I manually exposed LIQUIBOOK_ROOT to the folder where I extracted the zip downloaded from this git.
I run following :
$MPC_ROOT/mwc.pl -type make liquibook.mwc -- done
$ make depend -- done
$ make all -- error following:

uss1@USS:~/Work/Trade_Server/Liquidbook/liquibook-master/examples/depth_feed_publisher$ make allmake[1]: Entering directory '/home/uss1/Work/Trade_Server/Liquidbook/liquibook-master/examples/depth_feed_publisher'
make[1]: Nothing to be done for 'all'.
make[1]: Leaving directory '/home/uss1/Work/Trade_Server/Liquidbook/liquibook-master/examples/depth_feed_publisher'
make[1]: Entering directory '/home/uss1/Work/Trade_Server/Liquidbook/liquibook-master/examples/depth_feed_publisher'
g++ -fPIC -O -D_REENTRANT -I"/usr/local/lib//include/boost-1_62_0" -I"/usr/local/lib//." -I"/home/uss1/Work/Trade_Server/Liquidbook/quickfast/quickfast-master//src" -I"/home/uss1/Work/Trade_Server/Liquidbook/liquibook-master//src" -c -o "subscriber_main.o" subscriber_main.cpp
In file included from /usr/include/boost/bind.hpp:22:0,
from subscriber_main.cpp:2:
/usr/include/boost/bind/bind.hpp: In instantiation of ‘R boost::_bi::list3<A1, A2, A3>::operator()(boost::_bi::type, F&, A&, long int) [with R = bool; F = boost::_mfi::mf2<bool, liquibook::examples::DepthFeedSubscriber, boost::shared_ptr<boost::array<unsigned char, 128ul> >&, long unsigned int>; A = boost::_bi::list2<const boost::shared_ptr<boost::array<unsigned char, 128ul> >&, const long unsigned int&>; A1 = boost::_bi::valueliquibook::examples::DepthFeedSubscriber*; A2 = boost::arg<1>; A3 = boost::arg<2>]’:
/usr/include/boost/bind/bind.hpp:917:50: required from ‘boost::_bi::bind_t<R, F, L>::result_type boost::_bi::bind_t<R, F, L>::operator()(A1&&, A2&&) [with A1 = boost::shared_ptr<boost::array<unsigned char, 128ul> >; A2 = long unsigned int; R = bool; F = boost::_mfi::mf2<bool, liquibook::examples::DepthFeedSubscriber, boost::shared_ptr<boost::array<unsigned char, 128ul> >&, long unsigned int>; L = boost::_bi::list3<boost::_bi::valueliquibook::examples::DepthFeedSubscriber*, boost::arg<1>, boost::arg<2> >; boost::_bi::bind_t<R, F, L>::result_type = bool]’
/usr/include/boost/function/function_template.hpp:138:22: required from ‘static R boost::detail::function::function_obj_invoker2<FunctionObj, R, T0, T1>::invoke(boost::detail::function::function_buffer&, T0, T1) [with FunctionObj = boost::_bi::bind_t<bool, boost::_mfi::mf2<bool, liquibook::examples::DepthFeedSubscriber, boost::shared_ptr<boost::array<unsigned char, 128ul> >&, long unsigned int>, boost::_bi::list3<boost::_bi::valueliquibook::examples::DepthFeedSubscriber*, boost::arg<1>, boost::arg<2> > >; R = bool; T0 = boost::shared_ptr<boost::array<unsigned char, 128ul> >; T1 = long unsigned int]’
/usr/include/boost/function/function_template.hpp:940:38: required from ‘void boost::function2<R, T1, T2>::assign_to(Functor) [with Functor = boost::_bi::bind_t<bool, boost::_mfi::mf2<bool, liquibook::examples::DepthFeedSubscriber, boost::shared_ptr<boost::array<unsigned char, 128ul> >&, long unsigned int>, boost::_bi::list3<boost::_bi::valueliquibook::examples::DepthFeedSubscriber*, boost::arg<1>, boost::arg<2> > >; R = bool; T0 = boost::shared_ptr<boost::array<unsigned char, 128ul> >; T1 = long unsigned int]’
/usr/include/boost/function/function_template.hpp:728:7: required from ‘boost::function2<R, T1, T2>::function2(Functor, typename boost::enable_if_c<boost::type_traits::ice_not<boost::is_integral::value>::value, int>::type) [with Functor = boost::_bi::bind_t<bool, boost::_mfi::mf2<bool, liquibook::examples::DepthFeedSubscriber, boost::shared_ptr<boost::array<unsigned char, 128ul> >&, long unsigned int>, boost::_bi::list3<boost::_bi::valueliquibook::examples::DepthFeedSubscriber*, boost::arg<1>, boost::arg<2> > >; R = bool; T0 = boost::shared_ptr<boost::array<unsigned char, 128ul> >; T1 = long unsigned int; typename boost::enable_if_c<boost::type_traits::ice_not<boost::is_integral::value>::value, int>::type = int]’
/usr/include/boost/function/function_template.hpp:1077:16: required from ‘boost::function<R(T0, T1)>::function(Functor, typename boost::enable_if_c<boost::type_traits::ice_not<boost::is_integral::value>::value, int>::type) [with Functor = boost::bi::bind_t<bool, boost::mfi::mf2<bool, liquibook::examples::DepthFeedSubscriber, boost::shared_ptr<boost::array<unsigned char, 128ul> >&, long unsigned int>, boost::bi::list3<boost::bi::valueliquibook::examples::DepthFeedSubscriber*, boost::arg<1>, boost::arg<2> > >; R = bool; T0 = boost::shared_ptr<boost::array<unsigned char, 128ul> >; T1 = long unsigned int; typename boost::enable_if_c<boost::type_traits::ice_not<boost::is_integral::value>::value, int>::type = int]’
subscriber_main.cpp:19:34: required from here
/usr/include/boost/bind/bind.hpp:382:42: error: no match for call to ‘(boost::mfi::mf2<bool, liquibook::examples::DepthFeedSubscriber, boost::shared_ptr<boost::array<unsigned char, 128ul> >&, long unsigned int>) (liquibook::examples::DepthFeedSubscriber*&, const boost::shared_ptr<boost::array<unsigned char, 128ul> >&, const long unsigned int&)’
return unwrapper::unwrap(f, 0)(a[base_type::a1], a[base_type::a2], a[base_type::a3]);
~~~~~~~~~~~~~~~~~~~~~~~~~~^~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
In file included from /usr/include/boost/bind/mem_fn.hpp:215:0,
from /usr/include/boost/mem_fn.hpp:22,
from /usr/include/boost/bind/bind.hpp:26,
from /usr/include/boost/bind.hpp:22,
from subscriber_main.cpp:2:
/usr/include/boost/bind/mem_fn_template.hpp:278:7: note: candidate: R boost::mfi::mf2<R, T, A1, A2>::operator()(T*, A1, A2) const [with R = bool; T = liquibook::examples::DepthFeedSubscriber; A1 = boost::shared_ptr<boost::array<unsigned char, 128ul> >&; A2 = long unsigned int]
R operator()(T * p, A1 a1, A2 a2) const
^~~~~~~~
/usr/include/boost/bind/mem_fn_template.hpp:278:7: note: conversion of argument 2 would be ill-formed:
In file included from /usr/include/boost/bind.hpp:22:0,
from subscriber_main.cpp:2:
/usr/include/boost/bind/bind.hpp:382:42: error: binding ‘const boost::shared_ptr<boost::array<unsigned char, 128ul> >’ to reference of type ‘boost::shared_ptr<boost::array<unsigned char, 128ul> >&’ discards qualifiers
return unwrapper::unwrap(f, 0)(a[base_type::a1], a[base_type::a2], a[base_type::a3]);
~~~~~~~~~~~~~~~~~~~~~~~~~~^~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
In file included from /usr/include/boost/bind/mem_fn.hpp:215:0,
from /usr/include/boost/mem_fn.hpp:22,
from /usr/include/boost/bind/bind.hpp:26,
from /usr/include/boost/bind.hpp:22,
from subscriber_main.cpp:2:
/usr/include/boost/bind/mem_fn_template.hpp:283:25: note: candidate: template R boost::mfi::mf2<R, T, A1, A2>::operator()(U&, A1, A2) const [with U = U; R = bool; T = liquibook::examples::DepthFeedSubscriber; A1 = boost::shared_ptr<boost::array<unsigned char, 128ul> >&; A2 = long unsigned int]
template R operator()(U & u, A1 a1, A2 a2) const
^~~~~~~~
/usr/include/boost/bind/mem_fn_template.hpp:283:25: note: template argument deduction/substitution failed:
In file included from /usr/include/boost/bind.hpp:22:0,
from subscriber_main.cpp:2:
/usr/include/boost/bind/bind.hpp:382:42: note: cannot convert ‘(& a)->boost::bi::list2<A1, A2>::operator[]<const boost::shared_ptr<boost::array<unsigned char, 128ul> >&, const long unsigned int&>(boost::bi::storage2<A1, boost::arg >::a2<boost::bi::valueliquibook::examples::DepthFeedSubscriber*, 1>)’ (type ‘const boost::shared_ptr<boost::array<unsigned char, 128ul> >’) to type ‘boost::shared_ptr<boost::array<unsigned char, 128ul> >&’
return unwrapper::unwrap(f, 0)(a[base_type::a1], a[base_type::a2], a[base_type::a3]);
~~~~~~~~~~~~~~~~~~~~~~~~~~^~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
In file included from /usr/include/boost/bind/mem_fn.hpp:215:0,
from /usr/include/boost/mem_fn.hpp:22,
from /usr/include/boost/bind/bind.hpp:26,
from /usr/include/boost/bind.hpp:22,
from subscriber_main.cpp:2:
/usr/include/boost/bind/mem_fn_template.hpp:291:25: note: candidate: template R boost::mfi::mf2<R, T, A1, A2>::operator()(const U&, A1, A2) const [with U = U; R = bool; T = liquibook::examples::DepthFeedSubscriber; A1 = boost::shared_ptr<boost::array<unsigned char, 128ul> >&; A2 = long unsigned int]
template R operator()(U const & u, A1 a1, A2 a2) const
^~~~~~~~
/usr/include/boost/bind/mem_fn_template.hpp:291:25: note: template argument deduction/substitution failed:
In file included from /usr/include/boost/bind.hpp:22:0,
from subscriber_main.cpp:2:
/usr/include/boost/bind/bind.hpp:382:42: note: cannot convert ‘(& a)->boost::bi::list2<A1, A2>::operator[]<const boost::shared_ptr<boost::array<unsigned char, 128ul> >&, const long unsigned int&>(boost::bi::storage2<A1, boost::arg >::a2<boost::bi::valueliquibook::examples::DepthFeedSubscriber*, 1>)’ (type ‘const boost::shared_ptr<boost::array<unsigned char, 128ul> >’) to type ‘boost::shared_ptr<boost::array<unsigned char, 128ul> >&’
return unwrapper::unwrap(f, 0)(a[base_type::a1], a[base_type::a2], a[base_type::a3]);
~~~~~~~~~~~~~~~~~~~~~~~~~~^~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
In file included from /usr/include/boost/bind/mem_fn.hpp:215:0,
from /usr/include/boost/mem_fn.hpp:22,
from /usr/include/boost/bind/bind.hpp:26,
from /usr/include/boost/bind.hpp:22,
from subscriber_main.cpp:2:
/usr/include/boost/bind/mem_fn_template.hpp:299:7: note: candidate: R boost::_mfi::mf2<R, T, A1, A2>::operator()(T&, A1, A2) const [with R = bool; T = liquibook::examples::DepthFeedSubscriber; A1 = boost::shared_ptr<boost::array<unsigned char, 128ul> >&; A2 = long unsigned int]
R operator()(T & t, A1 a1, A2 a2) const
^~~~~~~~
/usr/include/boost/bind/mem_fn_template.hpp:299:7: note: no known conversion for argument 1 from ‘liquibook::examples::DepthFeedSubscriber*’ to ‘liquibook::examples::DepthFeedSubscriber&’
Makefile.depth_feed_subscriber:95: recipe for target 'subscriber_main.o' failed
make[1]: *** [subscriber_main.o] Error 1
make[1]: Leaving directory '/home/uss1/Work/Trade_Server/Liquidbook/liquibook-master/examples/depth_feed_publisher'
Makefile:33: recipe for target 'depth_feed_subscriber' failed
make: *** [depth_feed_subscriber] Error 2

Hi,

I have a custom MySQL database structure, is there a way to adapte your awesome work to match my database ?

If yes, approximativally what is the expected processing performance per second ?

Thank you

for the order filled immediately, I got an exception 'Caught exception during callback: DepthLevel::close_order level quantity too low'.

I trace down and found the DepthLevel::aggregateQty will be update only in accept status( leave aside replace case).
Is it a bug or something I miss?

OS: Ubuntu 16.04.3 LTS
Compiler: gcc version 5.4.0 20160609 (Ubuntu 5.4.0-6ubuntu1~16.04.5)

g++ -std=c++11 -I/usr/local/boost-1.63.0/include -I/usr/local/boost-1.63.0/include/boost -fPIC -O -D_REENTRANT -I"/usr/local/boost-1.63.0/include/boost-1.63.0" -I"/usr/local/boost-1.63.0/." -I"/home/ubuntu/liquiboo/quickfast/src" -I"/home/ubuntu/liquiboo/liquibook/src" -c -o "subscriber_main.o" subscriber_main.cpp
In file included from /usr/local/boost-1.63.0/include/boost/bind.hpp:22:0,
from subscriber_main.cpp:2:
/usr/local/boost-1.63.0/include/boost/bind/bind.hpp: In instantiation of 'R boost::_bi::list3<A1, A2, A3>::operator()(boost::_bi::type, F&, A&, long int) [with R = bool; F = boost::_mfi::mf2<bool, liquibook::examples::DepthFeedSubscriber, boost::shared_ptr<boost::array<unsigned char, 128ul> >&, long unsigned int>; A = boost::_bi::rrlist2<boost::shared_ptr<boost::array<unsigned char, 128ul> >, long unsigned int>; A1 = boost::_bi::valueliquibook::examples::DepthFeedSubscriber*; A2 = boost::arg<1>; A3 = boost::arg<2>]':
/usr/local/boost-1.63.0/include/boost/bind/bind.hpp:1318:50: required from 'boost::_bi::bind_t<R, F, L>::result_type boost::_bi::bind_t<R, F, L>::operator()(A1&&, A2&&) [with A1 = boost::shared_ptr<boost::array<unsigned char, 128ul> >; A2 = long unsigned int; R = bool; F = boost::_mfi::mf2<bool, liquibook::examples::DepthFeedSubscriber, boost::shared_ptr<boost::array<unsigned char, 128ul> >&, long unsigned int>; L = boost::_bi::list3<boost::_bi::valueliquibook::examples::DepthFeedSubscriber*, boost::arg<1>, boost::arg<2> >; boost::_bi::bind_t<R, F, L>::result_type = bool]'
/usr/local/boost-1.63.0/include/boost/function/function_template.hpp:138:22: required from 'static R boost::detail::function::function_obj_invoker2<FunctionObj, R, T0, T1>::invoke(boost::detail::function::function_buffer&, T0, T1) [with FunctionObj = boost::_bi::bind_t<bool, boost::_mfi::mf2<bool, liquibook::examples::DepthFeedSubscriber, boost::shared_ptr<boost::array<unsigned char, 128ul> >&, long unsigned int>, boost::_bi::list3<boost::_bi::valueliquibook::examples::DepthFeedSubscriber*, boost::arg<1>, boost::arg<2> > >; R = bool; T0 = boost::shared_ptr<boost::array<unsigned char, 128ul> >; T1 = long unsigned int]'
/usr/local/boost-1.63.0/include/boost/function/function_template.hpp:936:38: required from 'void boost::function2<R, T1, T2>::assign_to(Functor) [with Functor = boost::_bi::bind_t<bool, boost::_mfi::mf2<bool, liquibook::examples::DepthFeedSubscriber, boost::shared_ptr<boost::array<unsigned char, 128ul> >&, long unsigned int>, boost::_bi::list3<boost::_bi::valueliquibook::examples::DepthFeedSubscriber*, boost::arg<1>, boost::arg<2> > >; R = bool; T0 = boost::shared_ptr<boost::array<unsigned char, 128ul> >; T1 = long unsigned int]'
/usr/local/boost-1.63.0/include/boost/function/function_template.hpp:727:7: required from 'boost::function2<R, T1, T2>::function2(Functor, typename boost::enable_if_c<(! boost::is_integral::value), int>::type) [with Functor = boost::_bi::bind_t<bool, boost::_mfi::mf2<bool, liquibook::examples::DepthFeedSubscriber, boost::shared_ptr<boost::array<unsigned char, 128ul> >&, long unsigned int>, boost::_bi::list3<boost::_bi::valueliquibook::examples::DepthFeedSubscriber*, boost::arg<1>, boost::arg<2> > >; R = bool; T0 = boost::shared_ptr<boost::array<unsigned char, 128ul> >; T1 = long unsigned int; typename boost::enable_if_c<(! boost::is_integral::value), int>::type = int]'
/usr/local/boost-1.63.0/include/boost/function/function_template.hpp:1072:16: required from 'boost::function<R(T0, T1)>::function(Functor, typename boost::enable_if_c<(! boost::is_integral::value), int>::type) [with Functor = boost::bi::bind_t<bool, boost::mfi::mf2<bool, liquibook::examples::DepthFeedSubscriber, boost::shared_ptr<boost::array<unsigned char, 128ul> >&, long unsigned int>, boost::bi::list3<boost::bi::valueliquibook::examples::DepthFeedSubscriber*, boost::arg<1>, boost::arg<2> > >; R = bool; T0 = boost::shared_ptr<boost::array<unsigned char, 128ul> >; T1 = long unsigned int; typename boost::enable_if_c<(! boost::is_integral::value), int>::type = int]'
subscriber_main.cpp:19:34: required from here
/usr/local/boost-1.63.0/include/boost/bind/bind.hpp:388:42: error: no match for call to '(boost::mfi::mf2<bool, liquibook::examples::DepthFeedSubscriber, boost::shared_ptr<boost::array<unsigned char, 128ul> >&, long unsigned int>) (liquibook::examples::DepthFeedSubscriber*&, boost::shared_ptr<boost::array<unsigned char, 128ul> >, long unsigned int)'
return unwrapper::unwrap(f, 0)(a[base_type::a1], a[base_type::a2], a[base_type::a3]);
^
In file included from /usr/local/boost-1.63.0/include/boost/bind/mem_fn.hpp:215:0,
from /usr/local/boost-1.63.0/include/boost/mem_fn.hpp:22,
from /usr/local/boost-1.63.0/include/boost/bind/bind.hpp:26,
from /usr/local/boost-1.63.0/include/boost/bind.hpp:22,
from subscriber_main.cpp:2:
/usr/local/boost-1.63.0/include/boost/bind/mem_fn_template.hpp:278:7: note: candidate: R boost::mfi::mf2<R, T, A1, A2>::operator()(T*, A1, A2) const [with R = bool; T = liquibook::examples::DepthFeedSubscriber; A1 = boost::shared_ptr<boost::array<unsigned char, 128ul> >&; A2 = long unsigned int]
R operator()(T * p, A1 a1, A2 a2) const
^
/usr/local/boost-1.63.0/include/boost/bind/mem_fn_template.hpp:278:7: note: conversion of argument 2 would be ill-formed:
In file included from /usr/local/boost-1.63.0/include/boost/bind.hpp:22:0,
from subscriber_main.cpp:2:
/usr/local/boost-1.63.0/include/boost/bind/bind.hpp:388:42: error: invalid initialization of non-const reference of type 'boost::shared_ptr<boost::array<unsigned char, 128ul> >&' from an rvalue of type 'boost::shared_ptr<boost::array<unsigned char, 128ul> >'
return unwrapper::unwrap(f, 0)(a[base_type::a1], a[base_type::a2], a[base_type::a3]);

However, compiles successfully without boost.

Currently liquibook is unable to handle processing large datatypes which are greater than 64-bit values.
It would be great if code allows user to define customized datatypes in order to handle process bigger values under liquibook/src/book/type.h

for example:
instead of

typedef uint32_t Price;
typedef uint32_t Quantity;
typedef uint32_t Cost;

User wants to define something similar to:

include "uint128.h"

typedef uint128_t Price;
typedef uint128_t Quantity;
typedef uint128_t Cost;

In order_book.h there is issue with order replace. Instead of quantity on market, original quantity is used for modification. It corrupts the book and causes issue in CloseOrder for price modify while deleting older order.

In order_book.h

case TypedCallback::cb_order_replace:
on_replace(cb.order,
cb.order->order_qty(),
cb.order->order_qty() + cb.delta,
cb.price);
if(order_listener_)
{
order_listener_->on_replace(cb.order,
cb.delta,
cb.price);
}
break;

Should be
case TypedCallback::cb_order_replace:
on_replace(cb.order,
cb.quantity_,
cb.quantity_ + cb.delta,
cb.price);
if(order_listener_)
{
order_listener_->on_replace(cb.order,
cb.delta,
cb.price);
}
break;

The README.md should mention about setting QUICKFAST_ROOT environment variable, as without setting it to appropriate value (liquibook/noQuickFast or the location of QuickFAST).

Hello, I was wondering if you have done some performance testing of your book in a multithreaded scenario? For e.g. 1 thread per book, and a total of X threads writing to their respective books.

I ask because I noticed you're stl collection and are relying on stl::allocator. With multiple threads hitting the team simultaneously, I wonder how will the performance change.

Hi

Thank you OCI for open-sourcing this interesting project!
Just starting, so easy question.
I'm following build instruction and executing this step:

cd liquibook
git submodule init
git submodule update

However the last step is failed. What's wrong and how to fix it? Attaching log.

Thanks,
Oleg

C:\Oleg\wssGit>cd liquibook

C:\Oleg\wssGit\liquibook>git submodule init
Submodule 'test/unit/assertiv' ([email protected]:iamtheschmitzer/assertiv.git) reg
istered for path 'test/unit/assertiv'

C:\Oleg\wssGit\liquibook>git submodule update
Cloning into 'test/unit/assertiv'...
The authenticity of host 'github.com (192.30.252.131)' can't be established.
RSA key fingerprint is 16:27:ac:a5:76:28:3d:36:63:1b:56:4d:eb:df:a6:48.
Are you sure you want to continue connecting (yes/no)? yes
Warning: Permanently added 'github.com,192.30.252.131' (RSA) to the list of know
n hosts.
Permission denied (publickey).
fatal: Could not read from remote repository.

Please make sure you have the correct access rights
and the repository exists.
Clone of '[email protected]:iamtheschmitzer/assertiv.git' into submodule path 'test
/unit/assertiv' failed

In cb_order_fill callback:

Cost fill_cost = cb.price * cb.quantity;
Both price and quantity have been multiplied their respective precisions to convert to int64_t:
i.e. price = 100.00 USD -> 10000, quantity 5.00 -> 500

so according to the formula fill_cost is 10000 * 500 -> 5000000 or 50000.00
which is wrong,

Correct fill_cost = 100.00 * 5.00 = 500.00

It would be better to not calculate fill_cost as there is no need for it in liquibook and save computation.

https://github.com/objectcomputing/liquibook/blob/110695cf0a234888555323c94d8b65edb45fe8cf/src/book/order_book.h#L578

This seems to contradict line 553 since if the stop price (here->first) is a better deal than the market price (until) then it definitely is time to panic.

I'm not sure if this is the right place to ask general, not directly related to code, questions. I'm sorry if it is not so (probably you can suggest newsgroup or something?)

I want to use liquibook for constructing orderbook from FAST. This means that i don't need to do "matching" because it already did by exchange, instead I only need to process and "aggregate" such structures:

struct OrderUpdate {
int32_t instrumentId;
uint32_t MDEntryID;
uint32_t MDUpdateAction; // 0 - New 1 - Change 2 -Delete
int64_t MDEntryPx_Mantissa;
int16_t MDEntryPx_Exponent;
int64_t MDEntrySize_Mantissa;
int16_t MDEntrySize_Exponent;
uint32_t RptSeq;
uint32_t MDEntryTime;
uint32_t OrigTime;
int32_t SecurityTradingStatus;
char MDEntryType; // 0 - buy; 1 - sell;
char MsgType;
};

If liquibook is suitable for such work and probably any suggestions how exactly it should be used? Thanks!

Hi!

question I was hoping someone knowledgeable could assist when building liquibook on windows 7 (64 bit)

I'm trying to build on windows using the command:

mwc.pl -type vc10 liquibook.mwc

for some reason i'm getting the error below about QuickFASTApplication, and depth_feed_publisher,mpc (which does exist) :

c:\GitHub\liquibook>C:\ACE_wrappers\bin\mwc.pl -type vc10 liquibook.mwc
MPC_ROOT was set to C:\ACE_wrappers\MPC.
Using C:/ACE_wrappers/bin/MakeProjectCreator/config/MPC.cfg
CIAO_ROOT was used in the configuration file, but was not defined.
DANCE_ROOT was used in the configuration file, but was not defined.
Generating 'vc10' output using liquibook.mwc
WARNING: liquibook.mwc: Command line files specified in a workspace are ignored.

Skipping ut_order_book_shared_ptr (liquibook_unit.mpc), it requires boost.
depth_feed_publisher.mpc: line 2:
ERROR: Unable to locate parent: QuickFASTApplication
liquibook.mwc: line 5:
ERROR: Unable to process examples/depth_feed_publisher/depth_feed_publisher.mpc
ERROR: Unable to process: liquibook.mwc

What am I missing ?
do i need to download quickfix.dll / other ?

Many thanks
Dror