lowlat-engine

A generic low-latency C++20 event/stream processing engine.

Architecture

See docs/DESIGN.md for the architectural decision records.

Status

Current features:

• Event-driven pipeline architecture
• Runtime-polymorphic operator chain
• TickEvent and AudioSample event support
• VWAP, SMA, and RMS operators
• NASDAQ ITCH 5.0 Order Executed With Price source
• WAV PCM audio source for 16-bit mono 44.1/48 kHz files
• Unit tests and Google Benchmark microbenchmarks

Test

From the build directory:

cd build
ctest --output-on-failure

Or from the project root:

cmake --build build -j
cd build && ctest --output-on-failure

Benchmarks

Build first:

cmake --build build -j

Run benchmarks from the project root:

./build/benchmarks/engine_bench

Some ITCH benchmarks require a NASDAQ ITCH input file. Set LOWLAT_ITCH_FILE before running:

export LOWLAT_ITCH_FILE=/data/file.itch
./build/benchmarks/engine_bench

A NASDAQ ITCH sample file can be downloaded from the official NASDAQ sample data page:

Download NASDAQ ITCH sample data

If LOWLAT_ITCH_FILE is not set, the ITCH file-source benchmarks will be skipped.