jLOB has all the basic capabilities of a functional exchange. Custom business logic can be defined by implementing orderbook listeners. It currently supports HTTP and FIX protocol communication.
There is also a UI repository that allows interacting with the orderbook. Full sample deployment: https://lob.eliquinox.com/
PersistenceLimitOrderBookListener.java defines logic for storing orderbook events and caching orderbook state.
Events are stored in PostgreSQL and orderbook state is cached in Redis. Reference config.local.yaml defines parameters
for local execution of the application:
database:
host: 127.0.0.1
name: jlob
port: 5432
username: postgres
password: postgres
redis:
host: 127.0.0.1
port: 6379
Create and start these dependencies accordingly.
Reference FIX server and FIX client configurations are provided in fix.server.cfg and fix.client.cfg accordingly.
To start the service:
gradle runBook
The task will create needed JOOQ classes and run DB migrations, creating needed tables.
It will then start HTTP and FIX servers on http://127.0.0.1:4567 and tcp://127.0.0.1:9877.
Import jLOB.postman_collection.json into Postman to start exploring the API.
jLOB supports the following endpoints:
GET /book
Retrieves the current state of the orderbook:
Example response:
{
"bids": {
"90": {
"side": "BID",
"price": 90,
"placements": [
{
"uuid": "77b778eb-4304-41f8-9a75-3113c459907a",
"timestamp": {
"seconds": 1587682193,
"nanos": 398559000
},
"side": "BID",
"price": 90,
"size": 100
}
]
}
},
"offers": {
"100": {
"side": "OFFER",
"price": 100,
"placements": [
{
"uuid": "6a6a90cc-3f7d-4514-b70e-dca1e1706415",
"timestamp": {
"seconds": 1587682203,
"nanos": 9953000
},
"side": "OFFER",
"price": 100,
"size": 100
}
]
}
}
}
POST /book
Sends an order to the orderbook.
Example Request:
{
"side": "offer",
"price": 100,
"size": 100000
}
Example Response:
{
"uuid": "e08f8a3b-f38b-4a72-a2a9-2ae0cb8c9d1f",
"timestamp": {
"seconds": 1587682282,
"nanos": 259523000
},
"side": "OFFER",
"price": 100,
"size": 10000
}
DEL /book
Cancels a given amount of an existing order.
Example Request:
{
"id": "e08f8a3b-f38b-4a72-a2a9-2ae0cb8c9d1f",
"size": 20
}
Example Response:
{
"placementUuid": "e08f8a3b-f38b-4a72-a2a9-2ae0cb8c9d1f",
"timestamp": {
"seconds": 1587682397,
"nanos": 728419000
},
"size": 20
}
POST /vwap
Retrieves a volume-weighted average price from the orderbook, given a side and a size of a hypothetical order.
Example Request:
{
"action": "bid",
"size": 10000
}
Example Response:
{
"price": 100.00
}
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