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Libtrading

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. See documentation for full list of covered exchanges and protocols.

Features

  • Highly optimized, low-latency C API
  • FIX engine
    • Dialect support
      • IEX
    • Certifications
      • Moscow Exchange Derivatives Market (FORTS)
  • FAST engine
  • SystemTap/DTrace probes

Documentation

Contact

Libtrading developers can be reached at libtrading@librelist.com.

Stock Ticker.
Drawing of Edison Stock Ticker, invented by Thomas Edison in 1869. (Image courtesy of Wikimedia Commons.)

Performance

FIX engine has average round-trip time of 15.4 μs for loopback ping-pong test on 2-way 2.7 GHz Sandy Bridge i7 CPU running Fedora 20/Linux 3.14.5. Latency histogram plot looks as follows:

Latency frequency plot

Please note that outliers were eliminated from the plot to make it readable. Full data in CSV format is available here

License

Libtrading is available under 2-clause BSD license.