Libtrading is an open source API for high-performance, low-latency trading applications. It implements network protocols used for communicating with exchanges, dark pools, and other trading venues. The API supports FIX, FIX/FAST, and many proprietary protocols such as ITCH and OUCH used by NASDAQ.

• C API
• High performance, low latency
• FIX dialect support
• SystemTap/DTrace probes

Install prerequisite packages:

Debian

$ apt-get install pkg-config libxml2-dev libglib2.0-dev libncurses5-dev \
    python-yaml libevent-dev

Fedora

$ yum install zlib-devel libxml2-devel glib2-devel vim-common ncurses-devel \
    python-yaml libevent-devel

Note: on older RHEL versions you'll need to replace libevent-devel with libevent2-devel

OSX

$ brew install libevent glib pkgconfig
$ pip install pyyaml

Then run:

$ make install

You can also run the test harness:

$ make check

To measure FIX engine performance locally, start a FIX server:

$ ./tools/fix/fix_server -m 1 -p 7070
Server is listening to port 7070...

and then run the FIX client latency tester against it:

$ ./tools/fix/fix_client -n 100000 -m order -p 7070 -h localhost
Client Logon OK
Messages sent: 100000
Round-trip time: min/avg/max = 15.0/16.8/129.0 μs
Client Logout OK

• Quick Start Guide
• Exchange Coverage
• Protocol Coverage

The following above were obtained by running Libtrading messaging ping-pong tests on a 4-way Intel Haswell 3.60 GHz CPU running Fedora 21 with Linux 3.19.7-200. The processes were pinned to separate physical cores and the numbers include time spent in the Linux TCP/IP stack.

FIX engine round-trip time frequency plot for the above looks as follows:

Copyright (C) 2011-2014 Pekka Enberg and contributors

Libtrading is distributed under the 2-clause BSD license.

• Denis Ivaykin
• Marat Stanichenko
• Jussi Virtanen