trading-engine/TODO

FIX Engine
    * Actually manage FIX sessions properly
    * Parsing FIX messages is the most CPU-intensive activity
      in the whole system. Probably need to rethink the current
      approach (separate out the FIX engine entirely?)
    * What is the best buffer size for reading from a socket?
      Small so that overall latency is low? High so as to minimize
      number of context switches?
    * Add support for all message types
    * Add backing store to keep a log of sent/received messages
    * Add support for gap fill
    * Support different versions of FIX?

System-Wide Improvements
    * Actually check return codes for errors on all of the
      system-level calls (pthread, sockets, etc.)
    * Need to run more performance tests on newer hardware
    * Profile threading performance. The trading engine creates
      a lot of threads, depending on how many books are open and
      how many clients are connected. Are those threads contending
      poorly for access to shared resources? How does the kernel
      scheduler cope with many threads under high load?
    * Add unit tests

Order Matching/Book
    * Add a transaction logging system to keep a record of
      filled orders
    * Hook into the FIX engine to send order acknowledgment and
      order fill reports
    * Add support for multicast and TCP market data feeds
    * Matching algorithm based on binary heaps works ok, but doesn't
      seem optimal. Is there any way to exploit the fact that
      bids and asks tend to cluster around a security's current
      price? Binary heaps also don't seem to work well for canceling
      or otherwise changing orders - direct access into the heap is
      slow because the heap is ordered according to the heap property.
      Need to augment the book with some kind of table of all open
      orders that would facilitate quicker direct access?
    * Add support for other order types

Research Topics
    * How to price a security?
    * How to route orders to other exchanges?
    * How to fill order on other exchanges who may have a better price?