C++ trading engine

Give replay and exchange integrations the same boundaries

Market data and order execution sit behind explicit interfaces, with an interchangeable clock for replay. This lets a strategy use the same interface against historical data and exchange adapters. Strategy plugins load through a versioned C ABI, which makes compatibility checks explicit at the library boundary.

Orders cross threads through a single-producer, single-consumer ring. The repository has a Kraken integration and a separate Python REST execution path. Production orders have run through the Python REST executor since July 2026, and it carries its own fail-closed consent gate, a durable intent ledger with stable references, and its own interlock tests. The C++ live order path stays behind an arming ladder and has never been armed on the production box.

Recover state after an interruption

The indicator cache stores calculation progress in memory-mapped files. On restart, it can resume from the stored input position instead of recalculating the entire history.

Order recovery replays a journal into a fresh order-management system. Reconciliation compares local orders with the exchange's state, including fills that occurred during downtime and orders the exchange no longer reports.

A missing order is not enough evidence to cancel it locally. The recovery tests check that uncertain exchange state does not invent a fill. They also check that an order filled in part and then cancelled keeps both its fill history and its final cancelled status.

Tests exercise those recovery cases and reopen persisted stores after writes. That verifies restart behavior. It does not simulate a physical power failure. Sanitizer builds check memory errors and data races.

Profile the bottleneck

In an earlier simulator, allocation on the ingestion path limited how much history a backtest could process. Linux profiling directed the work toward container sizing and ownership. Preallocating storage and moving data instead of copying it removed that bottleneck. Pooling database connections reduced repeated setup work.

The changes allowed longer backtests without the same allocation bottleneck.

Build on exchange-integration experience

The project began with open-source contributions to zenbot in 2016. Merged pull requests #28 corrected the altcoin pair graph and #34 added Poloniex USDT pairs.

Subsequent versions added a C++ feed handler with gap detection and backfilling, followed by a backtesting simulator with an order book and charting interface. That work informed the boundaries in the current engine. The current engine is the fourth iteration since 2017 and carries 45 architecture decision records as of September 22, 2026.