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| </style> |
| </head> |
| <body> |
|
|
| <div class="header"> |
| <h1>StockEx Trading Platform</h1> |
| <p class="subtitle">Developer & Technical Guide</p> |
| <p class="version">Version 1.0 | Euronext OPTIQ Inspired</p> |
| </div> |
|
|
| <div class="toc"> |
| <strong>Contents</strong> |
| <ul> |
| <li>1. Overview</li> |
| <li>2. Architecture</li> |
| <li>3. Modules</li> |
| <li>4. Database Persistence</li> |
| <li>5. Data Flow Diagrams</li> |
| <li>6. Kafka Topics</li> |
| <li>7. Message Formats</li> |
| <li>8. SSE Events</li> |
| <li>9. Configuration</li> |
| <li>10. Development</li> |
| </ul> |
| </div> |
|
|
| <hr> |
|
|
| <div class="section"> |
| <h2>1. Overview</h2> |
| <p><strong>StockEx</strong> is a real-time trading simulation platform providing complete order-to-trade lifecycle emulation. Built with microservices architecture using Docker containers.</p> |
|
|
| <div class="two-col"> |
| <div class="highlight"> |
| <strong>Core Features</strong> |
| <ul style="margin:5px 0; padding-left:20px;"> |
| <li>FIX 4.4 protocol gateway</li> |
| <li>Price-time priority matching</li> |
| <li>Kafka event streaming</li> |
| <li>SSE real-time dashboard</li> |
| <li>SQLite persistence</li> |
| </ul> |
| </div> |
| <div class="info"> |
| <strong>Tech Stack</strong> |
| <ul style="margin:5px 0; padding-left:20px;"> |
| <li>Python 3.11 / Flask</li> |
| <li>QuickFIX/Python</li> |
| <li>Apache Kafka 7.5</li> |
| <li>Docker Compose</li> |
| <li>SQLite</li> |
| </ul> |
| </div> |
| </div> |
| </div> |
|
|
| <div class="section"> |
| <h2>2. System Architecture</h2> |
| <div class="arch-diagram"> |
| ┌─────────────────┐ ┌─────────────────┐ ┌─────────────────┐ |
| │ FIX UI Client │ │ FIX UI Client │ │ Frontend │ |
| │ (Port 5002) │ │ (Port 5003) │ │ (Port 5000) │ |
| └────────┬────────┘ └────────┬────────┘ └────────┬────────┘ |
| │ FIX 4.4 │ FIX 4.4 │ HTTP/JSON |
| └───────────────┬───────┴───────────────────────┘ |
| ▼ |
| ┌───────────────────────────────┐ |
| │ FIX OEG (Port 5001) │ |
| │ QuickFIX Order Gateway │ |
| └───────────────┬───────────────┘ |
| │ JSON |
| ▼ |
| ┌────────────────────────────────────────────────────────────────────┐ |
| │ APACHE KAFKA (Port 9092) │ |
| │ ┌──────────┐ ┌──────────┐ ┌──────────┐ │ |
| │ │ orders │ │ trades │ │ snapshots│ │ |
| │ └──────────┘ └──────────┘ └──────────┘ │ |
| └─────┬─────────────────┬─────────────────┬─────────────────────────┘ |
| │ │ │ |
| ▼ │ ▼ |
| ┌─────────────┐ │ ┌─────────────┐ |
| │ Matcher │─────────┘ │ MD Feeder │ |
| │ (Port 6000) │ │ (MDF) │ |
| │ │ │ │ |
| │ Order Book │◄──────────────────│ Price Sim │ |
| │ Trade Exec │ │ BBO Publish │ |
| └─────────────┘ └─────────────┘ |
| │ |
| ▼ REST API |
| ┌─────────────────────────────────────────┐ |
| │ Dashboard (Port 5005) │ |
| │ Orders │ Trades │ Book │ Chart │ Stats │ |
| └─────────────────────────────────────────┘ |
| </div> |
| </div> |
|
|
| <div class="section"> |
| <h2>3. Module Specifications</h2> |
|
|
| <div class="module-box"> |
| <h4>Kafka Message Broker</h4> |
| <span class="port">9092</span> <span class="port">29092 (host)</span> <span class="tech">Confluent 7.5.0</span> |
| <p>Central event bus. All order flow distributed via topics. Zookeeper (port 2181) for coordination.</p> |
| </div> |
|
|
| <div class="module-box"> |
| <h4>FIX Order Entry Gateway</h4> |
| <span class="port">5001</span> <span class="tech">QuickFIX/Python</span> |
| <p>FIX 4.4 acceptor. Receives NewOrderSingle (D), OrderCancelRequest (F), OrderCancelReplaceRequest (G). Normalizes to JSON → Kafka <code>orders</code>.</p> |
| </div> |
|
|
| <div class="module-box"> |
| <h4>Matcher Engine</h4> |
| <span class="port">6000</span> <span class="tech">Python/Flask/SQLite</span> |
| <p>Consumes <code>orders</code>, matches with price-time priority, publishes <code>trades</code>. Maintains order book per symbol. SQLite persistence.</p> |
| <table> |
| <tr><th>Endpoint</th><th>Method</th><th>Description</th></tr> |
| <tr><td><span class="endpoint">/orderbook/<symbol></span></td><td>GET</td><td>Order book depth</td></tr> |
| <tr><td><span class="endpoint">/trades</span></td><td>GET</td><td>Recent trades</td></tr> |
| <tr><td><span class="endpoint">/health</span></td><td>GET</td><td>Health + stats</td></tr> |
| </table> |
| </div> |
|
|
| <div class="module-box"> |
| <h4>Market Data Feeder (MDF)</h4> |
| <span class="tech">Python</span> |
| <p>Simulates market activity. 90% passive orders (book building), 10% aggressive (trades). Publishes BBO snapshots.</p> |
| <p>Output: <code>orders</code> + <code>snapshots</code> topics</p> |
| </div> |
|
|
| <div class="module-box"> |
| <h4>Dashboard</h4> |
| <span class="port">5005</span> <span class="tech">Flask/SSE/JavaScript</span> |
| <p>Real-time web UI. Consumes Kafka + Matcher API. Server-Sent Events for live streaming. Edit/Cancel order management.</p> |
| <table> |
| <tr><th>Endpoint</th><th>Method</th><th>Description</th></tr> |
| <tr><td><span class="endpoint">/stream</span></td><td>GET</td><td>SSE event stream</td></tr> |
| <tr><td><span class="endpoint">/data</span></td><td>GET</td><td>Polling fallback</td></tr> |
| <tr><td><span class="endpoint">/order/cancel</span></td><td>POST</td><td>Cancel order</td></tr> |
| <tr><td><span class="endpoint">/order/amend</span></td><td>POST</td><td>Amend order</td></tr> |
| </table> |
| </div> |
|
|
| <div class="module-box"> |
| <h4>FIX UI Clients</h4> |
| <span class="port">5002</span> <span class="port">5003</span> <span class="tech">QuickFIX/Flask</span> |
| <p>Web-based FIX initiators. Connect to FIX OEG for institutional order submission.</p> |
| </div> |
| </div> |
|
|
| <div class="section"> |
| <h2>4. Database Persistence</h2> |
|
|
| <div class="info"> |
| <strong>Storage:</strong> SQLite database at <code>/app/data/matcher.db</code><br> |
| <strong>Docker Volume:</strong> <code>stockex_matcher_data</code> (survives container restarts) |
| </div> |
|
|
| <h4>4.1 Database Schema</h4> |
|
|
| <div class="module-box"> |
| <h4>order_book — All Orders</h4> |
| <table> |
| <tr><th>Column</th><th>Type</th><th>Description</th></tr> |
| <tr><td><code>id</code></td><td>INTEGER</td><td>Auto-increment primary key</td></tr> |
| <tr><td><code>cl_ord_id</code></td><td>TEXT</td><td>Unique client order ID</td></tr> |
| <tr><td><code>symbol</code></td><td>TEXT</td><td>Security (ALPHA, EXAE, etc.)</td></tr> |
| <tr><td><code>side</code></td><td>TEXT</td><td>BUY / SELL</td></tr> |
| <tr><td><code>price</code></td><td>REAL</td><td>Limit price</td></tr> |
| <tr><td><code>quantity</code></td><td>INTEGER</td><td>Original order quantity</td></tr> |
| <tr><td><code>remaining_qty</code></td><td>INTEGER</td><td>Unfilled quantity</td></tr> |
| <tr><td><code>status</code></td><td>TEXT</td><td>OPEN / FILLED / CANCELLED</td></tr> |
| <tr><td><code>timestamp</code></td><td>REAL</td><td>Order entry time (Unix)</td></tr> |
| <tr><td><code>created_at</code></td><td>DATETIME</td><td>DB insert timestamp</td></tr> |
| </table> |
| </div> |
|
|
| <div class="module-box"> |
| <h4>trades — Executed Trades</h4> |
| <table> |
| <tr><th>Column</th><th>Type</th><th>Description</th></tr> |
| <tr><td><code>id</code></td><td>INTEGER</td><td>Auto-increment primary key</td></tr> |
| <tr><td><code>symbol</code></td><td>TEXT</td><td>Traded security</td></tr> |
| <tr><td><code>price</code></td><td>REAL</td><td>Execution price</td></tr> |
| <tr><td><code>quantity</code></td><td>INTEGER</td><td>Traded quantity</td></tr> |
| <tr><td><code>buy_order_id</code></td><td>TEXT</td><td>Buyer's cl_ord_id</td></tr> |
| <tr><td><code>sell_order_id</code></td><td>TEXT</td><td>Seller's cl_ord_id</td></tr> |
| <tr><td><code>timestamp</code></td><td>REAL</td><td>Trade time (Unix)</td></tr> |
| <tr><td><code>created_at</code></td><td>DATETIME</td><td>DB insert timestamp</td></tr> |
| </table> |
| </div> |
|
|
| <h4>4.2 Database Functions</h4> |
| <table> |
| <tr><th>Function</th><th>Description</th></tr> |
| <tr><td><code>save_order(order)</code></td><td>Insert new order into order_book</td></tr> |
| <tr><td><code>update_order_quantity(id, qty)</code></td><td>Update remaining_qty after partial fill</td></tr> |
| <tr><td><code>cancel_order(cl_ord_id)</code></td><td>Set status = 'CANCELLED'</td></tr> |
| <tr><td><code>save_trade(trade)</code></td><td>Insert executed trade</td></tr> |
| <tr><td><code>get_open_orders(symbol, side)</code></td><td>Query open orders for matching</td></tr> |
| <tr><td><code>load_order_books()</code></td><td>Restore order books on startup</td></tr> |
| <tr><td><code>get_trades(symbol, limit)</code></td><td>Retrieve recent trades</td></tr> |
| <tr><td><code>delete_filled_orders(days)</code></td><td>Cleanup old filled/cancelled orders</td></tr> |
| </table> |
|
|
| <h4>4.3 Indexes</h4> |
| <div class="code-block">CREATE INDEX idx_trades_symbol ON trades(symbol); |
| CREATE INDEX idx_trades_timestamp ON trades(timestamp); |
| CREATE INDEX idx_orderbook_symbol_side ON order_book(symbol, side); |
| CREATE INDEX idx_orderbook_status ON order_book(status); |
| CREATE INDEX idx_orderbook_cl_ord_id ON order_book(cl_ord_id);</div> |
| </div> |
|
|
| <div class="section"> |
| <h2>5. Data Flow Diagrams</h2> |
|
|
| <h4>4.1 Order Entry Flow</h4> |
| <div class="arch-diagram"> |
| ┌──────────────┐ |
| │ FIX Client │ |
| └──────┬───────┘ |
| │ FIX 4.4 NewOrderSingle (35=D) |
| ▼ |
| ┌──────────────┐ |
| │ FIX OEG │ Validate → Normalize → Generate cl_ord_id |
| └──────┬───────┘ |
| │ JSON |
| ▼ |
| ┌──────────────┐ |
| │ Kafka │ Topic: orders |
| │ [orders] │ |
| └──────┬───────┘ |
| │ |
| ┌─────┴─────┐ |
| ▼ ▼ |
| ┌────────┐ ┌───────────┐ |
| │Matcher │ │ Dashboard │ |
| └────────┘ └───────────┘ |
| </div> |
|
|
| <h4>4.2 Order Matching Flow</h4> |
| <div class="arch-diagram"> |
| ┌─────────────────┐ |
| │ Incoming Order │ |
| │ (from Kafka) │ |
| └────────┬────────┘ |
| │ |
| ▼ |
| ┌─────────────────┐ |
| │ Parse & Validate│ |
| └────────┬────────┘ |
| │ |
| ┌──────────────┴──────────────┐ |
| ▼ ▼ |
| ┌────────────┐ ┌────────────┐ |
| │ BUY Order │ │ SELL Order │ |
| └──────┬─────┘ └──────┬─────┘ |
| │ │ |
| ▼ ▼ |
| ┌──────────────────┐ ┌──────────────────┐ |
| │ Check SELL book │ │ Check BUY book │ |
| │ for price ≤ bid │ │ for price ≥ ask │ |
| └────────┬─────────┘ └────────┬─────────┘ |
| │ │ |
| ┌──────┴──────┐ ┌──────┴──────┐ |
| ▼ ▼ ▼ ▼ |
| ┌───────┐ ┌────────┐ ┌───────┐ ┌────────┐ |
| │ Match │ │No Match│ │ Match │ │No Match│ |
| │ Found │ │ │ │ Found │ │ │ |
| └───┬───┘ └───┬────┘ └───┬───┘ └───┬────┘ |
| │ │ │ │ |
| ▼ ▼ ▼ ▼ |
| ┌───────┐ ┌────────┐ ┌───────┐ ┌────────┐ |
| │Execute│ │Add to │ │Execute│ │Add to │ |
| │ Trade │ │BUY Book│ │ Trade │ │SELLBook│ |
| └───┬───┘ └────────┘ └───┬───┘ └────────┘ |
| │ │ |
| └───────────┬───────────────┘ |
| ▼ |
| ┌────────────┐ |
| │Kafka:trades│ |
| └────────────┘ |
| </div> |
|
|
| <h4>4.3 Real-time Dashboard Flow</h4> |
| <div class="arch-diagram"> |
| ┌─────────────────────────────────────────────────────────────────┐ |
| │ BROWSER │ |
| │ ┌─────────────────────────────────────────────────────────┐ │ |
| │ │ Dashboard UI │ │ |
| │ │ ┌─────────┐ ┌─────────┐ ┌─────────┐ ┌─────────────────┐│ │ |
| │ │ │ Orders │ │ Trades │ │ Book │ │ Statistics ││ │ |
| │ │ └────▲────┘ └────▲────┘ └────▲────┘ └────────▲────────┘│ │ |
| │ └───────┼───────────┼───────────┼───────────────┼──────────┘ │ |
| │ │ │ │ │ │ |
| │ └───────────┴─────┬─────┴───────────────┘ │ |
| │ │ │ |
| │ ┌───────▼────────┐ │ |
| │ │ EventSource │ SSE Connection │ |
| │ │ /stream │ │ |
| │ └───────┬────────┘ │ |
| └────────────────────────────┼────────────────────────────────────┘ |
| │ HTTP (SSE) |
| ▼ |
| ┌────────────────────────────────────────────────────────────────┐ |
| │ DASHBOARD SERVER │ |
| │ │ |
| │ ┌──────────────┐ ┌──────────────┐ ┌────────────┐ │ |
| │ │Kafka Consumer│─────▶│ SSE Broadcast│────▶│ Clients │ │ |
| │ │ (orders, │ │ Queue │ │ Queue[] │ │ |
| │ │ trades, │ └──────────────┘ └────────────┘ │ |
| │ │ snapshots) │ │ |
| │ └──────────────┘ │ |
| │ │ |
| │ ┌──────────────┐ ┌──────────────┐ │ |
| │ │ REST API │◀────▶│ Matcher │ /orderbook, /trades │ |
| │ │ /data │ │ Proxy │ │ |
| │ └──────────────┘ └──────────────┘ │ |
| └────────────────────────────────────────────────────────────────┘ |
| </div> |
|
|
| <h4>4.4 Complete System Interaction</h4> |
| <div class="arch-diagram"> |
| ┌─────────┐ ┌─────────┐ ┌─────────┐ |
| │FIX Cli 1│ │FIX Cli 2│ │Frontend │ |
| └────┬────┘ └────┬────┘ └────┬────┘ |
| │ │ │ |
| └─────┬─────┴───────────┘ |
| │ |
| ▼ |
| ┌─────────────┐ |
| │ FIX OEG │◄──── FIX 4.4 Protocol |
| └──────┬──────┘ |
| │ |
| ▼ |
| ┌────────────────────────────────────┐ |
| │ KAFKA CLUSTER │ |
| │ ┌────────┐┌────────┐┌──────────┐ │ |
| │ │orders ││trades ││snapshots │ │ |
| │ └───┬────┘└───▲────┘└────▲─────┘ │ |
| └──────┼─────────┼──────────┼───────┘ |
| │ │ │ |
| ┌─────┼─────────┼──────────┼─────┐ |
| │ ▼ │ │ │ |
| │ ┌────────┐ │ │ │ |
| │ │MATCHER │────┘ │ │ |
| │ │ │ │ │ |
| │ │ Book │ │ │ |
| │ │ Match │ │ │ |
| │ │ Trade │ │ │ |
| │ └────────┘ │ │ |
| │ ▲ │ │ |
| │ │ REST │ │ |
| │ │ │ │ |
| │ ┌───┴────────────────────┴──┐ │ |
| │ │ DASHBOARD │ │ |
| │ │ (SSE + Kafka Consumer) │ │ |
| │ └───────────────────────────┘ │ |
| │ │ |
| │ ┌───────────────────────────┐ │ |
| │ │ MD FEEDER (MDF) │──┘ |
| │ │ Orders + Snapshots │ |
| │ └───────────────────────────┘ |
| │ DOCKER NETWORK |
| └────────────────────────────────┘ |
| </div> |
|
|
| <h4>4.5 Message Sequence: New Order to Trade</h4> |
| <div class="arch-diagram"> |
| FIX Client FIX OEG Kafka Matcher Dashboard |
| │ │ │ │ │ |
| │──35=D────▶│ │ │ │ |
| │NewOrder │ │ │ │ |
| │ │──JSON────▶│ │ │ |
| │ │ [orders] │ │ │ |
| │ │ │──consume──▶│ │ |
| │ │ │ │ │ |
| │ │ │ │──match() │ |
| │ │ │ │ │ |
| │ │ │◀──trade────│ │ |
| │ │ │ [trades] │ │ |
| │ │ │ │ │ |
| │ │ │──────────────consume───▶│ |
| │ │ │ │ │ |
| │ │ │ │ render() |
| │ │ │ │ │ |
| </div> |
| </div> |
|
|
| <div class="section"> |
| <h2>6. Kafka Topics</h2> |
| <table> |
| <tr><th>Topic</th><th>Producers</th><th>Consumers</th><th>Content</th></tr> |
| <tr><td><code>orders</code></td><td>FIX OEG, MDF, Frontend</td><td>Matcher, Dashboard</td><td>New/Cancel/Amend orders</td></tr> |
| <tr><td><code>trades</code></td><td>Matcher</td><td>Dashboard, Consumer</td><td>Executed trades</td></tr> |
| <tr><td><code>snapshots</code></td><td>MDF</td><td>Dashboard</td><td>BBO updates</td></tr> |
| </table> |
| </div> |
|
|
| <div class="section"> |
| <h2>7. Message Formats</h2> |
|
|
| <h4>Order (New)</h4> |
| <div class="code-block json">{ |
| "symbol": "ALPHA", |
| "side": "BUY", |
| "price": 25.50, |
| "quantity": 100, |
| "cl_ord_id": "MDF-1234567890-1", |
| "timestamp": 1234567890.123, |
| "source": "MDF" |
| }</div> |
|
|
| <h4>Order (Cancel)</h4> |
| <div class="code-block json">{ |
| "type": "cancel", |
| "orig_cl_ord_id": "MDF-1234567890-1", |
| "symbol": "ALPHA", |
| "timestamp": 1234567890.456 |
| }</div> |
|
|
| <h4>Order (Amend)</h4> |
| <div class="code-block json">{ |
| "type": "amend", |
| "orig_cl_ord_id": "MDF-1234567890-1", |
| "cl_ord_id": "amend-1234567890", |
| "symbol": "ALPHA", |
| "quantity": 150, |
| "price": 25.45, |
| "timestamp": 1234567890.789 |
| }</div> |
|
|
| <h4>Trade</h4> |
| <div class="code-block json">{ |
| "symbol": "ALPHA", |
| "price": 25.50, |
| "quantity": 100, |
| "buy_order_id": "order-123", |
| "sell_order_id": "order-456", |
| "timestamp": 1234567890.123 |
| }</div> |
|
|
| <h4>Snapshot (BBO)</h4> |
| <div class="code-block json">{ |
| "symbol": "ALPHA", |
| "best_bid": 25.45, |
| "best_ask": 25.55, |
| "bid_size": 500, |
| "ask_size": 300, |
| "timestamp": 1234567890.123, |
| "source": "MDF" |
| }</div> |
| </div> |
|
|
| <div class="section"> |
| <h2>8. SSE Events</h2> |
| <table> |
| <tr><th>Event</th><th>Data</th><th>Trigger</th></tr> |
| <tr><td><code>connected</code></td><td>{status}</td><td>Client connects</td></tr> |
| <tr><td><code>init</code></td><td>{orders, bbos, trades}</td><td>Initial state dump</td></tr> |
| <tr><td><code>order</code></td><td>Order JSON</td><td>New order received</td></tr> |
| <tr><td><code>trade</code></td><td>Trade JSON</td><td>Trade executed</td></tr> |
| <tr><td><code>snapshot</code></td><td>BBO JSON</td><td>Price update</td></tr> |
| </table> |
| </div> |
|
|
| <div class="section"> |
| <h2>9. Configuration</h2> |
| <table> |
| <tr><th>Variable</th><th>Default</th><th>Description</th></tr> |
| <tr><td><code>KAFKA_BOOTSTRAP</code></td><td>kafka:9092</td><td>Broker address</td></tr> |
| <tr><td><code>MATCHER_URL</code></td><td>http://matcher:6000</td><td>Matcher API</td></tr> |
| <tr><td><code>TICK_SIZE</code></td><td>0.05</td><td>Min price increment</td></tr> |
| <tr><td><code>ORDERS_PER_MIN</code></td><td>8</td><td>MDF rate</td></tr> |
| <tr><td><code>KAFKA_RETRIES</code></td><td>30</td><td>Connection retries</td></tr> |
| </table> |
|
|
| <h4>Securities (shared_data/securities.txt)</h4> |
| <div class="code-block">#SYMBOL start_price current_price |
| ALPHA 25.00 25.00 |
| EXAE 42.00 42.00 |
| PEIR 18.50 18.50 |
| QUEST 12.75 12.75</div> |
| </div> |
|
|
| <div class="section"> |
| <h2>10. Development Commands</h2> |
|
|
| <h4>Build & Run</h4> |
| <div class="code-block">docker compose up --build # Start all |
| docker compose up -d --build # Background |
| docker compose logs -f dashboard # Follow logs |
| docker compose down # Stop all</div> |
|
|
| <h4>Reset Data</h4> |
| <div class="code-block">docker compose down |
| docker volume rm stockex_matcher_data |
| docker compose up -d</div> |
|
|
| <h4>Container Access</h4> |
| <div class="code-block">docker exec -it matcher bash |
| docker exec -it dashboard bash |
| docker logs matcher --tail 50</div> |
|
|
| <h4>API Testing</h4> |
| <div class="code-block">curl http://localhost:6000/orderbook/ALPHA |
| curl http://localhost:6000/trades |
| curl http://localhost:5005/data</div> |
| </div> |
|
|
| <div class="screenshot"> |
| <img src="screenshots/dashboard.png" alt="StockEx Dashboard"> |
| <p style="font-size:10pt; color:#666;"><em>StockEx Trading Dashboard - Real-time Market View</em></p> |
| </div> |
|
|
| <hr> |
|
|
| <div class="footer"> |
| <strong>StockEx Trading Platform v1.0</strong><br> |
| Developer Guide | Euronext OPTIQ Inspired<br> |
| <p style="margin-top:10px;">Print to PDF: Ctrl+P → Save as PDF</p> |
| </div> |
|
|
| </body> |
| </html> |
|
|
