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<!-- βββββββ COVER βββββββ -->
<div class="cover">
<h1>EuNEx Developers Guide</h1>
<div class="subtitle">Euronext Optiq-Modeled Exchange Simulator</div>
<div class="version">Version 0.5.0</div>
<div class="meta">C++20 Actor Architecture • Price-Time Priority Matching • FIX 4.4 • Kafka Bus</div>
</div>
<div class="container">
<!-- βββββββ TOC βββββββ -->
<nav class="toc">
<h2>Table of Contents</h2>
<ol>
<li><a href="#overview">Overview</a></li>
<li><a href="#architecture">Architecture</a></li>
<li><a href="#naming">Optiq Naming Alignment</a></li>
<li><a href="#topology">Actor Topology</a></li>
<li><a href="#dataflow">Data Flow</a></li>
<li><a href="#components">Core Components</a></li>
<li><a href="#events">Event System</a></li>
<li><a href="#orderbook">Order Book & Matching</a></li>
<li><a href="#recovery">Recovery & IACA</a></li>
<li><a href="#kafka">Kafka Bus</a></li>
<li><a href="#fix">FIX Protocol Gateway</a></li>
<li><a href="#clearing">Clearing House</a></li>
<li><a href="#ai">AI Trading Members</a></li>
<li><a href="#structure">Project Structure</a></li>
<li><a href="#build">Build & Test</a></li>
<li><a href="#config">Configuration</a></li>
<li><a href="#extending">Extending EuNEx</a></li>
</ol>
</nav>
<!-- βββββββ 1. OVERVIEW βββββββ -->
<section id="overview">
<h2>1. Overview</h2>
<p>EuNEx (Euronext Exchange Simulator) is a C++20 actor-based matching engine that mirrors the Euronext Optiq production architecture. It implements the full order lifecycle: entry, validation, matching, market data dissemination, trade clearing, and FIX protocol connectivity.</p>
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<div class="principle"><strong>Actor Isolation</strong>No shared mutable state in the hot path</div>
<div class="principle"><strong>Lock-Free Pipes</strong>Event::Pipe for cross-actor comms</div>
<div class="principle"><strong>Fixed-Point Pricing</strong>8 decimals, PRICE_SCALE = 10<sup>8</sup></div>
<div class="principle"><strong>Price-Time Priority</strong>Multi-level sweep matching</div>
<div class="principle"><strong>Recovery Gating</strong>Master/Mirror for HA</div>
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</section>
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<h2>2. Architecture</h2>
<h3>High-Level System Diagram</h3>
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<!-- Thread-safe reads label -->
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<text x="340" y="243" text-anchor="middle" font-family="Inter" font-size="9" fill="#059669">getLeaderboard()</text>
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<line x1="340" y1="230" x2="340" y2="255" stroke="#059669" stroke-width="1.5" stroke-dasharray="3,3" marker-end="url(#a2g)"/>
<!-- βββ C++ ENGINE βββ -->
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<text x="450" y="280" text-anchor="middle" font-family="Inter" font-size="13" font-weight="700" fill="white">C++ ACTOR ENGINE</text>
<!-- CORE 0 -->
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<text x="90" y="318" font-family="Inter" font-size="11" font-weight="700" fill="#92400e">CORE 0 β Gateway</text>
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<text x="160" y="348" text-anchor="middle" font-family="Inter" font-size="12" font-weight="600" fill="#92400e">FIXAcceptorActor</text>
<text x="160" y="365" text-anchor="middle" font-family="Inter" font-size="10" fill="#b45309">TCP accept loop</text>
<text x="160" y="380" text-anchor="middle" font-family="Inter" font-size="10" fill="#b45309">FIX 4.4 parse/build</text>
<text x="160" y="395" text-anchor="middle" font-family="Inter" font-size="10" fill="#b45309">D, F, G β Events</text>
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<text x="323" y="348" text-anchor="middle" font-family="Inter" font-size="12" font-weight="600" fill="#92400e">OEGActor</text>
<text x="323" y="365" text-anchor="middle" font-family="Inter" font-size="10" fill="#b45309">Session validation</text>
<text x="323" y="380" text-anchor="middle" font-family="Inter" font-size="10" fill="#b45309">Symbol routing</text>
<text x="323" y="395" text-anchor="middle" font-family="Inter" font-size="10" fill="#b45309">Exec report fanout</text>
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<!-- CORE 1 -->
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<text x="455" y="318" font-family="Inter" font-size="11" font-weight="700" fill="#065f46">CORE 1 β Matching Engine (per symbol)</text>
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<text x="496" y="365" text-anchor="middle" font-family="Inter" font-size="9" fill="#059669">Book</text>
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<text x="586" y="348" text-anchor="middle" font-family="JetBrains Mono" font-size="10" font-weight="500" fill="#065f46">MSFT</text>
<text x="586" y="365" text-anchor="middle" font-family="Inter" font-size="9" fill="#059669">Book</text>
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<text x="676" y="348" text-anchor="middle" font-family="JetBrains Mono" font-size="10" font-weight="500" fill="#065f46">GOOGL</text>
<text x="676" y="365" text-anchor="middle" font-family="Inter" font-size="9" fill="#059669">Book</text>
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<text x="766" y="348" text-anchor="middle" font-family="JetBrains Mono" font-size="10" font-weight="500" fill="#065f46">EURO50</text>
<text x="766" y="365" text-anchor="middle" font-family="Inter" font-size="9" fill="#059669">Book</text>
<text x="635" y="408" text-anchor="middle" font-family="Inter" font-size="10" fill="#059669">KafkaBus* β Kafka topics • No locks in matching path</text>
<!-- Arrow Core 0 β Core 1 -->
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<text x="420" y="373" text-anchor="middle" font-family="Inter" font-size="8" fill="#003399">Events</text>
<!-- CORE 2 -->
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<text x="90" y="468" font-family="Inter" font-size="11" font-weight="700" fill="#5b21b6">CORE 2 β Market Data</text>
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<text x="245" y="498" text-anchor="middle" font-family="Inter" font-size="12" font-weight="600" fill="#5b21b6">MDGActor</text>
<text x="245" y="515" text-anchor="middle" font-family="Inter" font-size="10" fill="#7c3aed">BBO snapshots • Trade history (200) • Thread-safe reads</text>
<text x="245" y="530" text-anchor="middle" font-family="Inter" font-size="10" fill="#7c3aed">Trade count • Volume • Last price per symbol</text>
<!-- CORE 3 -->
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<text x="455" y="468" font-family="Inter" font-size="11" font-weight="700" fill="#991b1b">CORE 3 β Post-Trade & AI</text>
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<text x="540" y="498" text-anchor="middle" font-family="Inter" font-size="12" font-weight="600" fill="#991b1b">ClearingHouseActor</text>
<text x="540" y="515" text-anchor="middle" font-family="Inter" font-size="10" fill="#dc2626">10 members, capital, P&L</text>
<text x="540" y="530" text-anchor="middle" font-family="Inter" font-size="10" fill="#dc2626">Session β Member map</text>
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<text x="725" y="498" text-anchor="middle" font-family="Inter" font-size="12" font-weight="600" fill="#9a3412">AITraderActor</text>
<text x="725" y="515" text-anchor="middle" font-family="Inter" font-size="10" fill="#ea580c">10 AI members</text>
<text x="725" y="530" text-anchor="middle" font-family="Inter" font-size="10" fill="#ea580c">Momentum / MeanRev / Rand</text>
<!-- Core 1 β Core 2 arrows -->
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<text x="400" y="440" font-family="Inter" font-size="9" fill="#7c3aed">TradeEvent + BookUpdate</text>
<!-- Core 1 β Core 3 arrows -->
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<text x="605" y="455" font-family="Inter" font-size="9" fill="#dc2626">TradeEvent</text>
<!-- ExecReport back -->
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<text x="400" y="427" font-family="Inter" font-size="8" fill="#059669">ExecReport β OEG</text>
<!-- KafkaBus -->
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<text x="90" y="600" font-family="Inter" font-size="11" font-weight="700" fill="#475569">KAFKA BUS (optional, Optiq KFK)</text>
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<text x="155" y="624" text-anchor="middle" font-family="JetBrains Mono" font-size="9" fill="#1e40af">eunex.orders</text>
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<text x="295" y="624" text-anchor="middle" font-family="JetBrains Mono" font-size="9" fill="#065f46">eunex.trades</text>
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<text x="445" y="624" text-anchor="middle" font-family="JetBrains Mono" font-size="9" fill="#5b21b6">eunex.market-data</text>
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<text x="620" y="624" text-anchor="middle" font-family="JetBrains Mono" font-size="9" fill="#92400e">eunex.recovery.fragments</text>
<!-- Arrow Core 1 β Kafka -->
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<!-- AI β OEG loop back -->
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<text x="485" y="785" text-anchor="middle" font-family="Inter" font-size="9" fill="#ea580c">NewOrderEvent β OEG β ME</text>
</svg>
</div>
</section>
<!-- βββββββ 3. NAMING βββββββ -->
<section id="naming">
<h2>3. Optiq Naming Alignment</h2>
<p>EuNEx components mirror Euronext Optiq production terminology:</p>
<table>
<tr><th>Optiq Production</th><th>EuNEx Class</th><th>File</th></tr>
<tr><td>OEActor (OE Gateway)</td><td><code>OEGActor</code></td><td><code>src/actors/OEGActor.hpp</code></td></tr>
<tr><td>LogicalCoreActor + Book</td><td><code>MECoreActor</code></td><td><code>src/actors/MECoreActor.hpp</code></td></tr>
<tr><td>Book (order book engine)</td><td><code>Book</code></td><td><code>src/common/Book.hpp</code></td></tr>
<tr><td>MDLimitLogicalCoreHandler</td><td><code>MDGActor</code></td><td><code>src/actors/MDGActor.hpp</code></td></tr>
<tr><td>OEG FIX Gateway</td><td><code>FIXAcceptorActor</code></td><td><code>src/actors/FIXAcceptorActor.hpp</code></td></tr>
<tr><td>Clearing House (PTB path)</td><td><code>ClearingHouseActor</code></td><td><code>src/actors/ClearingHouseActor.hpp</code></td></tr>
<tr><td>Member Trading Bots</td><td><code>AITraderActor</code></td><td><code>src/actors/AITraderActor.hpp</code></td></tr>
<tr><td>Kafka Bus (KFK)</td><td><code>KafkaBus</code></td><td><code>src/persistence/KafkaBus.hpp</code></td></tr>
<tr><td>RecoveryProxy</td><td><code>RecoveryProxy</code></td><td><code>src/recovery/RecoveryProxy.hpp</code></td></tr>
<tr><td>IacaAggregatorActor</td><td><code>IacaAggregator</code></td><td><code>src/iaca/IacaAggregator.hpp</code></td></tr>
</table>
<p><span class="badge badge-blue">OEG</span> Order Entry Gateway —
<span class="badge badge-green">ME</span> Matching Engine —
<span class="badge badge-purple">MDG</span> Market Data Gateway —
<span class="badge badge-gold">KFK</span> Kafka Bus</p>
</section>
<!-- βββββββ 4. TOPOLOGY βββββββ -->
<section id="topology">
<h2>4. Actor Topology</h2>
<h3>Core Affinity Layout</h3>
<div class="diagram">
<svg width="860" height="280" viewBox="0 0 860 280">
<!-- Core 0 -->
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<text x="20" y="30" font-family="Inter" font-size="11" font-weight="700" fill="#92400e">CPU Core 0</text>
<text x="20" y="50" font-family="JetBrains Mono" font-size="11" fill="#92400e">OEGActor</text>
<text x="20" y="68" font-family="Inter" font-size="10" fill="#b45309"> Symbol β Book routing</text>
<text x="20" y="86" font-family="JetBrains Mono" font-size="11" fill="#92400e">FIXAcceptorActor</text>
<text x="20" y="104" font-family="Inter" font-size="10" fill="#b45309"> TCP :9001, FIX 4.4</text>
<!-- Core 1 -->
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<text x="240" y="30" font-family="Inter" font-size="11" font-weight="700" fill="#065f46">CPU Core 1</text>
<text x="240" y="50" font-family="JetBrains Mono" font-size="10" fill="#065f46">MECoreActor (AAPL)</text>
<text x="240" y="66" font-family="JetBrains Mono" font-size="10" fill="#065f46">MECoreActor (MSFT)</text>
<text x="240" y="82" font-family="JetBrains Mono" font-size="10" fill="#065f46">MECoreActor (GOOGL)</text>
<text x="240" y="98" font-family="JetBrains Mono" font-size="10" fill="#065f46">MECoreActor (EURO50)</text>
<text x="240" y="118" font-family="Inter" font-size="9" fill="#059669">KafkaBus* • No locks</text>
<!-- Core 2 -->
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<text x="20" y="168" font-family="Inter" font-size="11" font-weight="700" fill="#5b21b6">CPU Core 2</text>
<text x="20" y="188" font-family="JetBrains Mono" font-size="11" fill="#5b21b6">MDGActor</text>
<text x="20" y="206" font-family="Inter" font-size="10" fill="#7c3aed"> BBO per symbol</text>
<text x="20" y="222" font-family="Inter" font-size="10" fill="#7c3aed"> Trade history</text>
<text x="20" y="238" font-family="Inter" font-size="10" fill="#7c3aed"> β Dashboard reads</text>
<!-- Core 3 -->
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<text x="240" y="168" font-family="Inter" font-size="11" font-weight="700" fill="#991b1b">CPU Core 3</text>
<text x="240" y="188" font-family="JetBrains Mono" font-size="11" fill="#991b1b">ClearingHouseActor</text>
<text x="240" y="206" font-family="Inter" font-size="10" fill="#dc2626"> 10 members, P&L</text>
<text x="240" y="226" font-family="JetBrains Mono" font-size="11" fill="#9a3412">AITraderActor</text>
<text x="240" y="244" font-family="Inter" font-size="10" fill="#ea580c"> Momentum / MeanRev / Rand</text>
<!-- Connections legend -->
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<text x="475" y="32" font-family="Inter" font-size="13" font-weight="700" fill="#1e293b">Event::Pipe Connections</text>
<line x1="475" y1="52" x2="530" y2="52" stroke="#d97706" stroke-width="2"/>
<text x="540" y="56" font-family="Inter" font-size="10" fill="#475569">FIXAcceptor β OEG β MECoreActor</text>
<line x1="475" y1="76" x2="530" y2="76" stroke="#059669" stroke-width="2"/>
<text x="540" y="80" font-family="Inter" font-size="10" fill="#475569">MECore β OEG (ExecReport fanout)</text>
<line x1="475" y1="100" x2="530" y2="100" stroke="#7c3aed" stroke-width="2"/>
<text x="540" y="104" font-family="Inter" font-size="10" fill="#475569">MECore β MDGActor (Trade + BookUpdate)</text>
<line x1="475" y1="124" x2="530" y2="124" stroke="#dc2626" stroke-width="2"/>
<text x="540" y="128" font-family="Inter" font-size="10" fill="#475569">MECore β ClearingHouse (Trade)</text>
<line x1="475" y1="148" x2="530" y2="148" stroke="#ea580c" stroke-width="2"/>
<text x="540" y="152" font-family="Inter" font-size="10" fill="#475569">AITrader β OEG (NewOrderEvent)</text>
<line x1="475" y1="172" x2="530" y2="172" stroke="#94a3b8" stroke-width="2" stroke-dasharray="4,3"/>
<text x="540" y="176" font-family="Inter" font-size="10" fill="#475569">MECore β KafkaBus (if enabled)</text>
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<text x="540" y="200" font-family="Inter" font-size="10" fill="#475569">Dashboard β MDGActor (thread-safe read)</text>
<line x1="475" y1="220" x2="530" y2="220" stroke="#dc2626" stroke-width="2" stroke-dasharray="3,3"/>
<text x="540" y="224" font-family="Inter" font-size="10" fill="#475569">CH UI β ClearingHouseActor (thread-safe)</text>
</svg>
</div>
</section>
<!-- βββββββ 5. DATA FLOW βββββββ -->
<section id="dataflow">
<h2>5. Data Flow</h2>
<h3>Order Lifecycle (New Limit Order)</h3>
<div class="diagram">
<svg width="860" height="480" viewBox="0 0 860 480">
<defs>
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<!-- Step 1: Client β FIX -->
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<text x="60" y="52" text-anchor="middle" font-family="Inter" font-size="11" font-weight="600" fill="#475569">Client</text>
<text x="60" y="67" text-anchor="middle" font-family="Inter" font-size="9" fill="#94a3b8">(FIX 4.4)</text>
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<text x="133" y="48" text-anchor="middle" font-family="Inter" font-size="8" fill="#003399">35=D</text>
<!-- Step 2: FIXAcceptor -->
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<text x="230" y="58" text-anchor="middle" font-family="Inter" font-size="9" fill="#3b82f6">Parse FIX tags</text>
<text x="230" y="72" text-anchor="middle" font-family="Inter" font-size="9" fill="#3b82f6">Map symbol β idx</text>
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<!-- Step 3: OEG -->
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<text x="420" y="42" text-anchor="middle" font-family="Inter" font-size="11" font-weight="600" fill="#92400e">OEGActor</text>
<text x="420" y="58" text-anchor="middle" font-family="Inter" font-size="9" fill="#b45309">Route by symbolIdx</text>
<text x="420" y="72" text-anchor="middle" font-family="Inter" font-size="9" fill="#b45309">Validate session</text>
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<text x="450" y="110" font-family="Inter" font-size="8" fill="#003399">NewOrderEvent</text>
<!-- Step 4: MECoreActor -->
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<text x="420" y="148" text-anchor="middle" font-family="Inter" font-size="13" font-weight="700" fill="#065f46">MECoreActor</text>
<text x="270" y="172" font-family="Inter" font-size="11" fill="#065f46">1. KafkaBus.publishOrder() β eunex.orders</text>
<text x="270" y="190" font-family="Inter" font-size="11" fill="#065f46">2. RecoveryProxy.cause() β persist fragment</text>
<text x="270" y="208" font-family="Inter" font-size="11" fill="#065f46">3. Book.newOrder() β price-time matching</text>
<text x="270" y="226" font-family="Inter" font-size="11" fill="#065f46">4. For each fill:</text>
<text x="290" y="242" font-family="Inter" font-size="10" fill="#059669">a. TradeEvent β MDGActor</text>
<text x="290" y="256" font-family="Inter" font-size="10" fill="#059669">b. TradeEvent β ClearingHouseActor</text>
<text x="290" y="270" font-family="Inter" font-size="10" fill="#059669">c. KafkaBus.publishTrade() β eunex.trades</text>
<text x="270" y="288" font-family="Inter" font-size="11" fill="#065f46">5. ExecReportEvent β OEGActor</text>
<text x="270" y="306" font-family="Inter" font-size="11" fill="#065f46">6. BookUpdateEvent β MDGActor</text>
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<text x="500" y="170" text-anchor="middle" font-family="Inter" font-size="8" fill="#94a3b8">* if KAFKA_BROKERS set</text>
<!-- MECore β OEG (ExecReport) -->
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<text x="200" y="283" text-anchor="middle" font-family="Inter" font-size="8" fill="#003399">ExecReport</text>
<!-- OEG box (fanout) -->
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<text x="105" y="290" text-anchor="middle" font-family="Inter" font-size="10" font-weight="600" fill="#92400e">OEGActor</text>
<text x="105" y="305" text-anchor="middle" font-family="Inter" font-size="9" fill="#b45309">fanout</text>
<text x="105" y="318" text-anchor="middle" font-family="Inter" font-size="9" fill="#b45309">β FIX, AI</text>
<!-- MECore β Clearing -->
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<text x="770" y="262" text-anchor="middle" font-family="Inter" font-size="10" font-weight="600" fill="#991b1b">ClearingHouseActor</text>
<text x="770" y="278" text-anchor="middle" font-family="Inter" font-size="9" fill="#dc2626">session β member</text>
<text x="770" y="291" text-anchor="middle" font-family="Inter" font-size="9" fill="#dc2626">capital, holdings</text>
<!-- OEG β Client (ExecReport back) -->
<line x1="105" y1="328" x2="105" y2="370" stroke="#003399" stroke-width="1.5" marker-end="url(#af)"/>
<text x="130" y="350" font-family="Inter" font-size="8" fill="#003399">FIX 35=8</text>
<rect x="55" y="375" width="100" height="40" rx="6" fill="#f1f5f9" stroke="#94a3b8" stroke-width="1.5"/>
<text x="105" y="397" text-anchor="middle" font-family="Inter" font-size="10" font-weight="600" fill="#475569">Client</text>
<text x="105" y="410" text-anchor="middle" font-family="Inter" font-size="9" fill="#94a3b8">receives fill</text>
<!-- MECore β MDG -->
<line x1="420" y1="325" x2="420" y2="370" stroke="#7c3aed" stroke-width="1.5" marker-end="url(#af)"/>
<text x="440" y="350" font-family="Inter" font-size="8" fill="#7c3aed">Trade + BookUpdate</text>
<!-- MDG β Dashboard/CH UI -->
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<text x="420" y="395" text-anchor="middle" font-family="Inter" font-size="11" font-weight="600" fill="#5b21b6">MDGActor</text>
<text x="420" y="410" text-anchor="middle" font-family="Inter" font-size="9" fill="#7c3aed">snapshots • history</text>
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<text x="590" y="467" text-anchor="middle" font-family="Inter" font-size="10" fill="#991b1b">Clearing UI :8091</text>
</svg>
</div>
</section>
<!-- βββββββ 6. COMPONENTS βββββββ -->
<section id="components">
<h2>6. Core Components</h2>
<h3>6.1 SimplxShim — Actor Framework</h3>
<p>The actor engine emulates the <a href="https://github.com/Tredzone/simplx">Tredzone Simplx</a> framework API:</p>
<table>
<tr><th>Simplx Concept</th><th>EuNEx Implementation</th></tr>
<tr><td><code>Actor</code></td><td>Base class with event handlers, mailbox</td></tr>
<tr><td><code>Event::Pipe</code></td><td>Lock-free cross-actor channel</td></tr>
<tr><td><code>ActorId</code></td><td><code>{id: uint64, coreId: uint8}</code></td></tr>
<tr><td><code>Engine</code></td><td>Multi-threaded scheduler with core affinity</td></tr>
<tr><td><code>Callback</code></td><td>Timer-like periodic invocation</td></tr>
<tr><td><code>AsyncService</code></td><td>Service locator pattern</td></tr>
</table>
<h3>6.2 Types</h3>
<pre><code><span class="type">Price_t</span> = <span class="type">int64_t</span> <span class="cmt">// Fixed-point, PRICE_SCALE = 100'000'000</span>
<span class="type">Quantity_t</span> = <span class="type">uint64_t</span>
<span class="type">OrderId_t</span> = <span class="type">uint64_t</span> <span class="cmt">// Exchange-assigned order ID</span>
<span class="type">ClOrdId_t</span> = <span class="type">uint64_t</span> <span class="cmt">// Client order ID</span>
<span class="type">SymbolIndex_t</span> = <span class="type">uint32_t</span> <span class="cmt">// Instrument identifier</span>
<span class="type">SessionId_t</span> = <span class="type">uint16_t</span> <span class="cmt">// Client session identifier</span>
<span class="type">MemberId_t</span> = <span class="type">uint16_t</span> <span class="cmt">// Clearing member identifier</span></code></pre>
<h3>6.3 Price Conversion</h3>
<pre><code><span class="type">Price_t</span> px = toFixedPrice(<span class="num">150.25</span>); <span class="cmt">// β 15'025'000'000</span>
<span class="type">double</span> d = toDouble(px); <span class="cmt">// β 150.25</span></code></pre>
</section>
<!-- βββββββ 7. EVENTS βββββββ -->
<section id="events">
<h2>7. Event System</h2>
<p>Events flow between actors via <code>Event::Pipe</code>. Each event struct inherits <code>tredzone::Actor::Event</code>:</p>
<table>
<tr><th>Event</th><th>Direction</th><th>Purpose</th></tr>
<tr><td><code>NewOrderEvent</code></td><td>OEG β ME</td><td>New order submission</td></tr>
<tr><td><code>CancelOrderEvent</code></td><td>OEG β ME</td><td>Cancel resting order</td></tr>
<tr><td><code>ModifyOrderEvent</code></td><td>OEG β ME</td><td>Modify price/qty (cancel-replace)</td></tr>
<tr><td><code>ExecReportEvent</code></td><td>ME β OEG</td><td>Ack, fill, partial, reject</td></tr>
<tr><td><code>TradeEvent</code></td><td>ME β MDG/CH</td><td>Trade execution</td></tr>
<tr><td><code>BookUpdateEvent</code></td><td>ME β MDG/AI</td><td>BBO + depth snapshot</td></tr>
<tr><td><code>RecoveryFragmentEvent</code></td><td>ME β Persist</td><td>Recovery persistence</td></tr>
</table>
<h3>Usage Pattern</h3>
<pre><code><span class="cmt">// In MECoreActor constructor:</span>
oePipe_ = Event::Pipe(*<span class="kw">this</span>, oeGatewayId);
mdPipe_ = Event::Pipe(*<span class="kw">this</span>, marketDataId);
<span class="cmt">// Pushing an event (lock-free):</span>
oePipe_.push<ExecReportEvent>(report, sessionId);
mdPipe_.push<TradeEvent>(trade);</code></pre>
</section>
<!-- βββββββ 8. ORDER BOOK βββββββ -->
<section id="orderbook">
<h2>8. Order Book & Matching</h2>
<div class="diagram">
<svg width="700" height="230" viewBox="0 0 700 230">
<!-- BIDS -->
<text x="160" y="18" text-anchor="middle" font-family="Inter" font-size="14" font-weight="700" fill="#059669">BIDS (descending)</text>
<rect x="30" y="28" width="260" height="30" rx="4" fill="#065f46"/>
<text x="80" y="48" text-anchor="middle" font-family="Inter" font-size="11" font-weight="600" fill="white">Price</text>
<text x="200" y="48" text-anchor="middle" font-family="Inter" font-size="11" font-weight="600" fill="white">Orders (FIFO)</text>
<rect x="30" y="60" width="260" height="28" rx="0" fill="#ecfdf5" stroke="#d1fae5" stroke-width="1"/>
<text x="80" y="79" text-anchor="middle" font-family="JetBrains Mono" font-size="11" fill="#065f46">155.00</text>
<rect x="140" y="65" width="40" height="18" rx="3" fill="#059669"/>
<text x="160" y="78" text-anchor="middle" font-family="JetBrains Mono" font-size="10" fill="white">100</text>
<rect x="185" y="65" width="40" height="18" rx="3" fill="#059669"/>
<text x="205" y="78" text-anchor="middle" font-family="JetBrains Mono" font-size="10" fill="white">50</text>
<rect x="30" y="90" width="260" height="28" rx="0" fill="white" stroke="#d1fae5" stroke-width="1"/>
<text x="80" y="109" text-anchor="middle" font-family="JetBrains Mono" font-size="11" fill="#065f46">154.50</text>
<rect x="140" y="95" width="40" height="18" rx="3" fill="#059669"/>
<text x="160" y="108" text-anchor="middle" font-family="JetBrains Mono" font-size="10" fill="white">200</text>
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<text x="80" y="139" text-anchor="middle" font-family="JetBrains Mono" font-size="11" fill="#065f46">154.00</text>
<rect x="140" y="125" width="40" height="18" rx="3" fill="#059669"/>
<text x="160" y="138" text-anchor="middle" font-family="JetBrains Mono" font-size="10" fill="white">75</text>
<rect x="185" y="125" width="40" height="18" rx="3" fill="#059669"/>
<text x="205" y="138" text-anchor="middle" font-family="JetBrains Mono" font-size="10" fill="white">100</text>
<!-- ASKS -->
<text x="540" y="18" text-anchor="middle" font-family="Inter" font-size="14" font-weight="700" fill="#dc2626">ASKS (ascending)</text>
<rect x="410" y="28" width="260" height="30" rx="4" fill="#991b1b"/>
<text x="460" y="48" text-anchor="middle" font-family="Inter" font-size="11" font-weight="600" fill="white">Price</text>
<text x="580" y="48" text-anchor="middle" font-family="Inter" font-size="11" font-weight="600" fill="white">Orders (FIFO)</text>
<rect x="410" y="60" width="260" height="28" rx="0" fill="#fef2f2" stroke="#fee2e2" stroke-width="1"/>
<text x="460" y="79" text-anchor="middle" font-family="JetBrains Mono" font-size="11" fill="#991b1b">157.00</text>
<rect x="520" y="65" width="40" height="18" rx="3" fill="#dc2626"/>
<text x="540" y="78" text-anchor="middle" font-family="JetBrains Mono" font-size="10" fill="white">200</text>
<rect x="410" y="90" width="260" height="28" rx="0" fill="white" stroke="#fee2e2" stroke-width="1"/>
<text x="460" y="109" text-anchor="middle" font-family="JetBrains Mono" font-size="11" fill="#991b1b">158.00</text>
<rect x="520" y="95" width="40" height="18" rx="3" fill="#dc2626"/>
<text x="540" y="108" text-anchor="middle" font-family="JetBrains Mono" font-size="10" fill="white">100</text>
<rect x="565" y="95" width="40" height="18" rx="3" fill="#dc2626"/>
<text x="585" y="108" text-anchor="middle" font-family="JetBrains Mono" font-size="10" fill="white">150</text>
<rect x="410" y="120" width="260" height="28" rx="0" fill="#fef2f2" stroke="#fee2e2" stroke-width="1"/>
<text x="460" y="139" text-anchor="middle" font-family="JetBrains Mono" font-size="11" fill="#991b1b">159.00</text>
<rect x="520" y="125" width="40" height="18" rx="3" fill="#dc2626"/>
<text x="540" y="138" text-anchor="middle" font-family="JetBrains Mono" font-size="10" fill="white">300</text>
<!-- Spread indicator -->
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<text x="350" y="83" text-anchor="middle" font-family="Inter" font-size="10" font-weight="600" fill="#92400e">SPREAD</text>
<text x="350" y="100" text-anchor="middle" font-family="JetBrains Mono" font-size="12" font-weight="700" fill="#92400e">2.00</text>
<!-- Data structure labels -->
<text x="160" y="185" text-anchor="middle" font-family="JetBrains Mono" font-size="10" fill="#64748b">std::map<Price_t,</text>
<text x="160" y="200" text-anchor="middle" font-family="JetBrains Mono" font-size="10" fill="#64748b"> vector<Order>,</text>
<text x="160" y="215" text-anchor="middle" font-family="JetBrains Mono" font-size="10" fill="#64748b"> std::greater<>></text>
<text x="540" y="185" text-anchor="middle" font-family="JetBrains Mono" font-size="10" fill="#64748b">std::map<Price_t,</text>
<text x="540" y="200" text-anchor="middle" font-family="JetBrains Mono" font-size="10" fill="#64748b"> vector<Order>,</text>
<text x="540" y="215" text-anchor="middle" font-family="JetBrains Mono" font-size="10" fill="#64748b"> std::less<>></text>
</svg>
</div>
<h3>Order Types & TIF</h3>
<table>
<tr><th>Order Type</th><th>Behavior</th></tr>
<tr><td><span class="badge badge-green">Limit</span></td><td>Rests on book if no match; price-time priority</td></tr>
<tr><td><span class="badge badge-red">Market</span></td><td>Sweeps all levels; never rests (IOC behavior)</td></tr>
<tr><td><span class="badge badge-orange">StopMarket</span></td><td>Parks until trigger price hit, converts to Market</td></tr>
<tr><td><span class="badge badge-purple">StopLimit</span></td><td>Parks until trigger price hit, converts to Limit</td></tr>
</table>
<table>
<tr><th>Time-in-Force</th><th>Behavior</th></tr>
<tr><td><code>Day</code></td><td>Rests until end of session</td></tr>
<tr><td><code>IOC</code></td><td>Fill what's available, cancel remainder</td></tr>
<tr><td><code>FOK</code></td><td>Fill all or reject entirely</td></tr>
</table>
</section>
<!-- βββββββ 9. RECOVERY βββββββ -->
<section id="recovery">
<h2>9. Recovery & IACA</h2>
<h3>RecoveryProxy</h3>
<p>Master/Mirror gating for high availability. <code>cause()</code> always executes (both sides). <code>effect()</code> only on Master. <code>recoveryEffect()</code> only on Mirror during failover replay.</p>
<h3>IACA Fragment Chains</h3>
<p>Fragments form a tree. Completion check: <code>sum(nextCount) == total_fragments - 1</code>. On completion, the handler fires and generates IA SBE messages.</p>
</section>
<!-- βββββββ 10. KAFKA βββββββ -->
<section id="kafka">
<h2>10. Kafka Bus</h2>
<p>The Kafka Bus (<code>src/persistence/KafkaBus.hpp</code>) mirrors the Optiq KFK that connects ME to downstream consumers: MDG, PTB, Clearing, IDS, SATURN.</p>
<h3>Topics</h3>
<table>
<tr><th>Topic</th><th>Content</th><th>Key</th></tr>
<tr><td><code>eunex.orders</code></td><td>Raw Order structs</td><td>symbolIdx</td></tr>
<tr><td><code>eunex.trades</code></td><td>Trade structs</td><td>symbolIdx</td></tr>
<tr><td><code>eunex.market-data</code></td><td>BBO snapshots</td><td>symbolIdx</td></tr>
<tr><td><code>eunex.recovery.fragments</code></td><td>Recovery fragments</td><td>originId:originKey</td></tr>
<tr><td><code>eunex.control</code></td><td>Control messages</td><td>(reserved)</td></tr>
</table>
<h3>Compile-Time Toggle</h3>
<pre><code>cmake .. -DEUNEX_USE_KAFKA=ON <span class="cmt"># requires librdkafka-dev</span>
cmake .. -DEUNEX_USE_KAFKA=OFF <span class="cmt"># no-op stub (default)</span></code></pre>
<h3>Runtime</h3>
<pre><code><span class="kw">export</span> EUNEX_KAFKA_BROKERS=kafka:<span class="num">9092</span>
./eunex_me</code></pre>
<h3>Docker Deployment</h3>
<p><code>docker/docker-compose.yml</code> runs Kafka in KRaft mode (no ZooKeeper) using <code>apache/kafka:3.9.0</code>, creates all topics via <code>kafka-init</code>, then starts the engine.</p>
<pre><code><span class="kw">cd</span> docker
docker compose up --build</code></pre>
</section>
<!-- βββββββ 11. FIX βββββββ -->
<section id="fix">
<h2>11. FIX Protocol Gateway</h2>
<p>TCP server on port 9001 with per-client receive threads. Parses FIX 4.4 messages and routes to the actor engine via <code>Event::Pipe</code>.</p>
<table>
<tr><th>Tag 35</th><th>Message</th><th>Direction</th></tr>
<tr><td><code>A</code></td><td>Logon</td><td><span class="badge badge-blue">Inbound</span></td></tr>
<tr><td><code>5</code></td><td>Logout</td><td><span class="badge badge-blue">Inbound</span></td></tr>
<tr><td><code>0</code></td><td>Heartbeat</td><td><span class="badge badge-blue">Inbound</span></td></tr>
<tr><td><code>D</code></td><td>NewOrderSingle</td><td><span class="badge badge-blue">Inbound</span></td></tr>
<tr><td><code>F</code></td><td>OrderCancelRequest</td><td><span class="badge badge-blue">Inbound</span></td></tr>
<tr><td><code>G</code></td><td>OrderCancelReplaceRequest</td><td><span class="badge badge-blue">Inbound</span></td></tr>
<tr><td><code>8</code></td><td>ExecutionReport</td><td><span class="badge badge-green">Outbound</span></td></tr>
</table>
<h3>Symbol Mapping</h3>
<table>
<tr><th>Symbol String</th><th>SymbolIndex_t</th></tr>
<tr><td>AAPL</td><td>1</td></tr>
<tr><td>MSFT</td><td>2</td></tr>
<tr><td>GOOGL</td><td>3</td></tr>
<tr><td>EURO50</td><td>4</td></tr>
</table>
</section>
<!-- βββββββ 12. CLEARING βββββββ -->
<section id="clearing">
<h2>12. Clearing House</h2>
<p>Receives <code>TradeEvent</code> from MECoreActor. Maps sessions to 10 clearing members. Tracks capital, holdings per symbol, P&L, and trade counts.</p>
<table>
<tr><th>Session Range</th><th>Members</th><th>Source</th></tr>
<tr><td>100-109</td><td>MBR01-MBR10</td><td>FIX gateway clients</td></tr>
<tr><td>200-209</td><td>MBR01-MBR10</td><td>AI traders</td></tr>
</table>
<p><strong>On each trade:</strong> Buy side reduces capital, updates weighted average cost. Sell side adds proceeds, realizes P&L. <code>getLeaderboard()</code> returns members sorted by capital (thread-safe, mutex-protected).</p>
</section>
<!-- βββββββ 13. AI βββββββ -->
<section id="ai">
<h2>13. AI Trading Members</h2>
<p>10 automated trading members with 3 rotating strategies:</p>
<table>
<tr><th>Strategy</th><th>Logic</th></tr>
<tr><td><span class="badge badge-green">Momentum</span></td><td>If last N prices trending up β BUY. Down β SELL. Follow the trend.</td></tr>
<tr><td><span class="badge badge-purple">Mean Reversion</span></td><td>If price > moving average β SELL. Below β BUY. Fade the move.</td></tr>
<tr><td><span class="badge badge-orange">Random</span></td><td>Random side (50/50), random qty (10-100), price around midpoint.</td></tr>
</table>
<p><strong>Data sources:</strong> <code>BookUpdateEvent</code> (BBO), <code>TradeEvent</code> (price history), <code>ExecReportEvent</code> (fill confirmations).</p>
<p><strong>Output:</strong> <code>NewOrderEvent</code> β OEGActor via Event::Pipe, ~3s intervals via Actor::Callback.</p>
</section>
<!-- βββββββ 14. STRUCTURE βββββββ -->
<section id="structure">
<h2>14. Project Structure</h2>
<pre><code>EuNEx/
βββ CMakeLists.txt Build configuration
βββ README.md Project overview
βββ src/
β βββ main.cpp Entry point, actor wiring
β βββ common/
β β βββ Types.hpp Core types (Price_t, Order, Trade)
β β βββ Book.hpp / Book.cpp Price-time priority matching
β βββ engine/
β β βββ SimplxShim.hpp Actor framework (Simplx API)
β βββ actors/
β β βββ Events.hpp Inter-actor event definitions
β β βββ OEGActor.hpp/cpp Order Entry Gateway
β β βββ MECoreActor.hpp/cpp Matching Engine core (per symbol)
β β βββ MDGActor.hpp/cpp Market Data Gateway
β β βββ FIXAcceptorActor.hpp/cpp FIX 4.4 TCP protocol gateway
β β βββ ClearingHouseActor.hpp/cpp Trade clearing & positions
β β βββ AITraderActor.hpp/cpp Automated trading members
β βββ net/SocketCompat.hpp Cross-platform sockets
β βββ persistence/
β β βββ KafkaBus.hpp Multi-topic Kafka publisher
β β βββ PersistenceStore.hpp Store interface
β β βββ KafkaStore.hpp Kafka adapter (optional)
β βββ recovery/RecoveryProxy.hpp Master/Mirror recovery
β βββ iaca/
β βββ Fragment.hpp IACA fragment definitions
β βββ IacaAggregator.hpp/cpp Fragment chain assembly
βββ tests/ 7 test suites
βββ examples/ ping_pong, simple_match
βββ dashboard/ Flask web UI (:8090)
βββ clearing_house/ Flask clearing UI (:8091)
βββ fix_gateway/ Python FIX gateway (alt)
βββ docker/
βββ Dockerfile Multi-stage build
βββ docker-compose.yml Kafka + engine + nginx
βββ nginx.conf Reverse proxy config</code></pre>
</section>
<!-- βββββββ 15. BUILD βββββββ -->
<section id="build">
<h2>15. Build & Test</h2>
<h3>Prerequisites</h3>
<ul>
<li><strong>C++20 compiler:</strong> MSVC 19.30+, GCC 12+, Clang 15+</li>
<li><strong>CMake:</strong> 3.16+</li>
<li><strong>Optional:</strong> librdkafka (for Kafka persistence)</li>
</ul>
<h3>Build Commands</h3>
<pre><code><span class="cmt"># Configure</span>
cmake -B build -DEUNEX_BUILD_TESTS=ON
<span class="cmt"># Build</span>
cmake --build build --config Release
<span class="cmt"># Run tests (7 suites)</span>
<span class="kw">cd</span> build && ctest -C Release
<span class="cmt"># Run engine</span>
./build/Release/eunex_me</code></pre>
<h3>CMake Options</h3>
<table>
<tr><th>Option</th><th>Default</th><th>Description</th></tr>
<tr><td><code>EUNEX_USE_SIMPLX</code></td><td>OFF</td><td>Use real Simplx framework</td></tr>
<tr><td><code>EUNEX_USE_KAFKA</code></td><td>OFF</td><td>Enable Kafka persistence</td></tr>
<tr><td><code>EUNEX_BUILD_TESTS</code></td><td>ON</td><td>Build test binaries</td></tr>
<tr><td><code>EUNEX_BUILD_EXAMPLES</code></td><td>ON</td><td>Build example binaries</td></tr>
</table>
<h3>Test Suites</h3>
<table>
<tr><th>Suite</th><th>Cases</th><th>Verifies</th></tr>
<tr><td>OrderBookTest</td><td>26</td><td>Book matching, all TIFs, multi-level sweeps, cancels</td></tr>
<tr><td>MatchingEngineTest</td><td>—</td><td>MECoreActor event handling</td></tr>
<tr><td>ThreadedEngineTest</td><td>—</td><td>Multi-core Engine, mailbox</td></tr>
<tr><td>ClearingHouseTest</td><td>7</td><td>Capital, holdings, P&L, session mapping</td></tr>
<tr><td>FIXGatewayTest</td><td>5</td><td>Symbol mapping, actor lifecycle, OEG routing</td></tr>
<tr><td>AITraderTest</td><td>6</td><td>Strategy execution, multi-symbol, clearing</td></tr>
<tr><td>StopOrdersTest</td><td>12</td><td>Stop triggers, phases, IOP, uncrossing</td></tr>
</table>
</section>
<!-- βββββββ 16. CONFIG βββββββ -->
<section id="config">
<h2>16. Configuration</h2>
<table>
<tr><th>Parameter</th><th>Value</th><th>Description</th></tr>
<tr><td>FIX port</td><td>9001</td><td>FIXAcceptorActor TCP listen port</td></tr>
<tr><td>Symbols</td><td>4</td><td>AAPL(1), MSFT(2), GOOGL(3), EURO50(4)</td></tr>
<tr><td>AI members</td><td>10</td><td>MBR01–MBR10</td></tr>
<tr><td>Initial capital</td><td>100,000.0</td><td>Per clearing member</td></tr>
<tr><td>AI trade interval</td><td>~3s</td><td>Per round in main loop</td></tr>
<tr><td>Price scale</td><td>10<sup>8</sup></td><td>Fixed-point decimal places</td></tr>
<tr><td>Kafka brokers</td><td><code>EUNEX_KAFKA_BROKERS</code></td><td>Env var, e.g. <code>kafka:9092</code></td></tr>
</table>
<h3>Seed Orders</h3>
<pre><code>AAPL: Sell 155.00/100, 154.00/200 | Buy 153.00/150, 152.00/100
MSFT: Sell 325.00/100, 324.00/150 | Buy 323.00/200, 322.00/100
GOOGL: Sell 142.00/100, 141.00/200 | Buy 140.00/150, 139.00/100
EURO50: Sell 5050.00/50, 5040.00/80 | Buy 5030.00/60, 5020.00/40</code></pre>
</section>
<!-- βββββββ 17. EXTENDING βββββββ -->
<section id="extending">
<h2>17. Extending EuNEx</h2>
<h3>Adding a New Symbol</h3>
<ol>
<li>Define a new <code>SymbolIndex_t</code> constant in <code>main.cpp</code></li>
<li>Create a <code>MECoreActor</code> passing OEG, MDG, CH actor IDs</li>
<li>Register: <code>oeGateway->mapSymbol(newSym, bookActor->getActorId())</code></li>
<li>Add to <code>AITraderActor</code>'s symbol list</li>
<li>Add seed orders if desired</li>
</ol>
<h3>Adding a New Actor</h3>
<ol>
<li>Create <code>src/actors/MyActor.hpp</code> inheriting <code>tredzone::Actor</code></li>
<li>Register event handlers: <code>registerEventHandler<EventT>(*this)</code></li>
<li>Create <code>Event::Pipe</code> members for destination actors</li>
<li>Add <code>.cpp</code> to <code>EUNEX_CORE_SOURCES</code> in CMakeLists.txt</li>
<li>Wire into topology in <code>main.cpp</code></li>
</ol>
<h3>Adding a New Event Type</h3>
<ol>
<li>Define struct in <code>Events.hpp</code> inheriting <code>tredzone::Actor::Event</code></li>
<li>Add <code>onEvent(const MyEvent&)</code> to receiving actors</li>
<li>Register: <code>registerEventHandler<MyEvent>(*this)</code></li>
<li>Push: <code>pipe.push<MyEvent>(args...)</code></li>
</ol>
<h3>Adding a New Trading Strategy</h3>
<ol>
<li>Add enum value to <code>Strategy</code> in <code>AITraderActor.hpp</code></li>
<li>Implement <code>strategyMyStrategy()</code> method</li>
<li>Add case to <code>submitOrder()</code> switch</li>
<li>Assign to members in <code>initMembers()</code></li>
</ol>
</section>
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EuNEx v0.5.0 — Euronext Optiq Architecture Simulator • C++20 Actor-Based Matching Engine<br>
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