Architecture¶

Operating modes¶

The market-data feed is optional, and what you configure under md_feeds decides what kind of simulator you get. The rest of the system — gateways, order book, matching engine, publisher — is identical in every case; only the source of the resting liquidity changes.

Mode	`md_feeds`	Liquidity in the book	Status
Shadowing	A live feed (`coinbase_live_ws` / `hyperliquid_live_ws`)	Real venue quotes, mirrored continuously	Implemented
Self-contained	Omitted, or no recognised `type`	Only the orders clients send	Implemented
Historical replay	A historical feed	Recorded market data, replayed	Not implemented

Shadowing — matching against the live market¶

The mode slick-sim is built for. It subscribes to the real venue's live public market data and reconstructs that venue's book locally, order by order. Your orders are inserted into that same book and matched against real, currently-quoted liquidity by a local FIFO engine.

Prices and trades are therefore real; fills are simulated. Nothing is ever sent upstream except market-data subscriptions and — for Hyperliquid — read-only /info metadata queries.

Self-contained — a conventional exchange simulator¶

With no feed configured, the same machinery behaves like a conventional exchange simulator: books start empty and the only liquidity is what clients themselves submit. Orders rest, match against each other under the same FIFO price/time priority, and produce the same execution reports and venue-native market data. Useful for deterministic tests, for exercising a client's order-entry path without depending on the internet, and for multi-client scenarios where you want full control over both sides of every trade.

Both adapters gate this on an internal use_live_feed_ flag, set only when md_feeds contains an entry whose type the adapter recognises. Omit md_feeds entirely, or give it an unrecognised type, and the flag stays false.

You still need a market-data subscription to trade a symbol

Symbol objects are created lazily by handleMdSubscription, and that is the only path that creates them. Even in self-contained mode a client must subscribe to the symbol's market data before sending orders for it, or they are rejected with UNKNOWN_CONTRACT. The subscription simply returns an empty book instead of a live snapshot.

Historical replay — planned¶

A historical feed would implement the same MDFeed interface and drive the book from recorded data rather than a live socket, so clients' orders match against a past market at whatever rate the replay runs. Everything downstream is unchanged: the same phantom-order model, the same matching engine, the same venue-native output.

Nothing implements this yet — alpaca_historical_data_feed.hpp is a zero-byte placeholder and md_feed's CMakeLists.txt compiles only the Hyperliquid live feed. See Known gaps and, for what a feed has to provide, Adding an exchange.

Phantom orders and simulator orders¶

Whenever a feed is driving the book — live today, historical later — the book holds two kinds of liquidity:

Phantom orders — synthesised from the market-data feed to represent the market's resting liquidity. They are anonymous: the simulator knows their price, quantity and queue position, but nothing else.
Simulator orders — the orders your client actually sent. They rest in the same book, at the same price levels, competing for the same queue positions.

The book cannot distinguish them structurally; it distinguishes them by bookkeeping. This split is the single most important idea in the codebase and is covered in detail in Order book.

In self-contained mode the book simply contains no phantom orders. Nothing else changes — the same code paths run, feed_md_level_quantity_ stays empty, and every fill comes from one client order crossing another.

The per-exchange pipeline¶

Every enabled venue gets its own complete, independent instance of this pipeline. Two venues share nothing except the SymbolManager singleton and the process-global order-id and priority counters.

The dashed portion is the market-data source, which is optional — without it the pipeline runs unchanged and the book holds only client orders.

flowchart TB
    subgraph upstream["Market data source (optional)"]
        RE["Coinbase / Hyperliquid<br/>public WebSocket feed"]
    end

    subgraph sim["slick-sim (one instance per venue)"]
        FEED["md_feed<br/>CoinbaseLiveWSFeed / HyperliquidLiveWSFeed"]
        EX["Exchange<br/>CoinbaseExchange / HyperliquidExchange"]
        SYM["Symbol<br/>one per instrument"]
        BOOK["OrderBook (L3)<br/>simulator orders<br/>+ phantom orders if a feed is configured"]
        ME["FifoMatchingEngine"]
        OG["order_gateway<br/>REST / WebSocket"]
        MDP["market_data_publisher<br/>WebSocket"]
    end

    subgraph client["Trading client"]
        CO["order entry"]
        CM["market data"]
    end

    RE -.->|"live book + trades"| FEED
    FEED -.->|"callbacks on WS thread"| EX
    EX --> SYM
    SYM --> BOOK
    SYM --> ME
    ME --> BOOK

    CO -->|"orders (REST/WS)"| OG
    OG -->|"request_queue"| EX
    EX -->|"response_queue"| OG
    OG -->|"acks / fills / cancels"| CO

    CM -->|"subscribe (WS)"| MDP
    MDP -->|"request_queue"| EX
    EX -->|"md_queue"| MDP
    MDP -->|"venue-native WS"| CM

The two client-facing paths are fully independent, and each is bidirectional:

Order entry — order_gateway accepts orders from the client and returns acks, fills, cancels and rejects to that same client, over the same connection.
Market data — market_data_publisher accepts subscribe/unsubscribe messages from the client and streams book and trade updates back.

A client's subscription request never touches order_gateway. The publisher receives it on its own WebSocket and writes an MD_SUBSCRIPTION Request onto request_queue_ itself — so the publisher is a producer for that queue exactly as the gateways are, and Exchange::processRequest sees order requests and subscription requests interleaved on one queue.

Library targets¶

The build produces one executable, slick-sim, from src/sim/main.cpp, linked against a handful of static libraries.

Target	Directory	Responsibility
`exchange`	`src/exchange/`	Per-venue orchestration (`Exchange`, `CoinbaseExchange`, `HyperliquidExchange`) and `Symbol`, which binds one instrument's book to a matching engine
`matching_engine`	`src/matching_engine/`	`MatchingEngine` interface, `FifoMatchingEngine`, and the four order-lifecycle publish helpers
`order_gateway`	`src/order_gateway/`	Venue-native REST/WebSocket order entry, plus the unused generic TCP/FIX/SBE gateway
`market_data_publisher`	`src/market_data_publisher/`	Re-encodes internal market data into each venue's own WebSocket format
`md_feed`	`src/md_feed/`	Live market-data ingestion from the real venue
(header-only)	`src/common/`, `src/order_book/`, `src/utils/`	Shared types, the order book, and small helpers — no compiled target, included directly

Threading model¶

This is the part most likely to trip you up, because it is not what the class structure suggests.

Threads per exchange¶

One exchange thread. Created in the concrete adapter's start(), it runs a tight spin loop that does all book mutation and all order processing:

// CoinbaseExchange::start()
thread_ = std::thread([this]() {
    while (run_.load(std::memory_order_relaxed)) {
        if (md_feed_ || !md_feeds_.empty()) {
            processData();            // drain the WS stream multiplexer
        }
        processSequencedEvents();     // release time-ordered book events
        processRequest();             // one order request per iteration
    }
});

HyperliquidExchange is the same shape with drainEventQueue() in place of the first two calls. Note there is no sleep and no condition variable — the thread spins at 100% of a core by design.

The base class does not loop

Exchange::start() calls processRequest() exactly once, with no loop. Only the two concrete adapters override it correctly, so a config key other than coinbase or hyperliquid yields an exchange that binds no ports and processes at most one request. See Known gaps.

One uWebSockets event-loop thread per gateway and per publisher. RestWsOrderGateway::start() and WebsocketMarketDataPublisher::start() each spawn a thread that builds a uWS::App, installs routes, and calls .run(). For Coinbase that is three such threads (REST gateway, WS gateway, MD publisher); for Hyperliquid, two.

Venue-SDK WebSocket threads. The Coinbase and Hyperliquid client libraries run their own network threads and invoke callbacks from them.

Which thread runs what¶

Code	Thread	Notes
`Exchange::processRequest`, `handleNewOrderRequest`, `Symbol::addOrder`, `FifoMatchingEngine::match`, all `publish*`	Exchange thread	The only thread that mutates an `OrderBook`
`CoinbaseExchange::onLevel2Updates`, `onMarketTrades`	Coinbase WS thread	Push `Event`s into the per-symbol priority queue; no book mutation
`CoinbaseExchange::onLevel2Snapshot`	Coinbase WS thread	Does mutate the book directly, unlike the incremental path
`HyperliquidExchange::onL2BookUpdate`, `onTradesUpdate`	Hyperliquid WS thread	Append to `event_queue_` only
`HyperliquidExchange::processL2Snapshot`, `processL2Diff`	Exchange thread	Drained from `event_queue_` by `drainEventQueue()`
REST route handlers, WS message handlers	That gateway's uWS loop thread	Write to `request_queue`, poll `response_queue`
`CoinbasePublisher::publish_`, `HyperliquidPublisher::publish_`	Publisher's uWS loop thread	Read `md_queue`, write to client sockets
`CoinbasePublisher::handle_message`, `HyperliquidPublisher::handle_message`	Publisher's uWS loop thread	Client `subscribe`/`unsubscribe` — writes `MD_SUBSCRIPTION` to `request_queue`

The gateway threads deserve a closer look. POST /api/v3/brokerage/orders publishes a request and then blocks its uWS loop thread, polling response_queue every 100 µs for up to 5 seconds waiting for the matching engine's reply. That is a synchronous request/response bridge across a lock-free queue, and while it is waiting, that gateway's event loop serves no other client. Cancel and edit use the same pattern with a 200 ms timeout.

Queue topology¶

Three slick::queue instances per exchange, constructed in the Exchange constructor:

request_queue_ (config.value("request_queue_size",  1048576), …)
response_queue_(config.value("response_queue_size", 1048576), …)
md_queue_      (config.value("md_queue_size",   16777216), …)

Queue	Element	Producers	Consumer
`request_queue_`	`Request`	Every order gateway, and the market-data publisher (for subscriptions)	Exchange thread
`response_queue_`	`OrderResponse`	Exchange thread (via matching-engine publish helpers and the reject/pending senders)	Every order gateway
`md_queue_`	`uint8_t` (variable-length frames)	Exchange thread	Market-data publisher

md_queue_ is a byte queue rather than a typed one because market-data messages are variable-length. Producers call reserve(size) to get a slot index, cast the returned pointer to MarketDataUpdate*, fill the trailing flexible-array payload, then publish(index, size). See Market data.

Consumers hold their own cursor and call read(cursor); each consumer advances independently, so a response queue with several gateways attached delivers every response to every gateway, and each one filters by user_id.

Shared-memory queues¶

Each queue also accepts an optional shared-memory name:

"request_queue_shm_name":  "slick_sim_coinbase_req",
"response_queue_shm_name": "slick_sim_coinbase_rsp",
"md_queue_shm_name":       "slick_sim_coinbase_md"

When present, slick::queue backs the ring with a named shared-memory segment instead of process memory, which would let an external process attach to the same queue. These keys are read by the Exchange constructor but appear nowhere in the sample config and are not otherwise exercised.

Symbol management¶

SymbolManager is a process-wide singleton, not per-exchange:

exch::Symbol* getSymbol(std::string_view sym) const;
exch::Symbol* createSymbol(std::string_view sym, Venue venue);

Symbols are created lazily, on the first market-data subscription for that instrument, by the adapter's addSymbol(). Creation assigns a symid_t, attaches the shared FifoMatchingEngine for that venue, and calls createOrderBook<OrderBookType::L2>().

Two properties are worth knowing:

Keyed by name across all venues. symbols_by_name_ is a flat unordered_map<std::string, Symbol*>. If Coinbase and a future venue both list an instrument under the same string, the second createSymbol inserts a duplicate name and getSymbol returns whichever the map kept — orders for one venue could route into the other's book. Today's two venues use disjoint naming (BTC-USD vs BTC), so it does not bite.
Pointers into a std::vector. symbols_ is a std::vector<Symbol> reserved for 512 entries, and createSymbol hands out &symbols_.back(). Past 512 symbols the vector reallocates and every previously returned Symbol* dangles.

Startup and shutdown¶

sequenceDiagram
    participant main
    participant Exchange
    participant Gateways
    participant Publisher
    participant Feed

    main->>main: parse config JSON, set log level
    loop for each enabled venue
        main->>Exchange: construct (builds queues, gateways, publisher, feeds)
        main->>Exchange: start()
        Exchange->>Gateways: start() (one uWS thread each)
        Exchange->>Publisher: start() (one uWS thread)
        Exchange->>Feed: start() (subscribes upstream)
        Exchange->>Exchange: spawn exchange thread
    end
    main->>main: sleep 1s in a loop until SIGINT
    Note over main: Ctrl+C sets the run flag false
    loop for each exchange
        main->>Exchange: stop()
        Exchange->>Gateways: stop() (close listen socket on loop thread, join)
        Exchange->>Publisher: stop()
        Exchange->>Exchange: join exchange thread
    end

The Exchange constructor throws std::runtime_error if the venue's config is missing either order_gateway or md_publisher; main does not catch it, so a malformed config terminates the process. main exits with EXIT_FAILURE if the config file is absent, unparseable, or lacks a top-level exchanges object.

Where to go next¶

Order lifecycle — follow one order all the way through the pipeline above.
Market data — follow one book update in the other direction.
Known gaps — what in this picture is aspirational.