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

• Quick Start Guide
• Exchange Coverage
• Protocol Coverage

Contact

Libtrading developers can be reached at [email protected].

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:

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.