| cmake_minimum_required(VERSION 3.18) |
| project(cpp_quant_engine LANGUAGES CXX) |
|
|
| set(CMAKE_CXX_STANDARD 20) |
| set(CMAKE_CXX_STANDARD_REQUIRED ON) |
| set(CMAKE_EXPORT_COMPILE_COMMANDS ON) |
| set(CMAKE_POSITION_INDEPENDENT_CODE ON) |
|
|
| # Optimization & Compiler Flags |
| if(MSVC) |
| add_compile_options(/O2 /W4 /std:c++20) |
| else() |
| add_compile_options(-O3 -Wall -Wextra -ffast-math) |
| option(USE_NATIVE_ARCH "Optimize for native host architecture" OFF) |
| if(USE_NATIVE_ARCH) |
| add_compile_options(-march=native) |
| endif() |
| endif() |
|
|
| # Sanitizers |
| option(ENABLE_ASAN "Enable AddressSanitizer" OFF) |
| option(ENABLE_UBSAN "Enable UndefinedBehaviorSanitizer" OFF) |
| option(ENABLE_TSAN "Enable ThreadSanitizer" OFF) |
| option(BUILD_TESTS "Build GoogleTest test suite" ON) |
| option(BUILD_BENCHMARKS "Build Performance Benchmarks" ON) |
|
|
| if(ENABLE_ASAN) |
| message(STATUS "Enabling AddressSanitizer (ASan)") |
| add_compile_options(-fsanitize=address -fno-omit-frame-pointer) |
| add_link_options(-fsanitize=address) |
| endif() |
|
|
| if(ENABLE_UBSAN) |
| message(STATUS "Enabling UndefinedBehaviorSanitizer (UBSan)") |
| add_compile_options(-fsanitize=undefined -fno-omit-frame-pointer) |
| add_link_options(-fsanitize=undefined) |
| endif() |
|
|
| if(ENABLE_TSAN) |
| message(STATUS "Enabling ThreadSanitizer (TSan)") |
| add_compile_options(-fsanitize=thread) |
| add_link_options(-fsanitize=thread) |
| endif() |
|
|
| include_directories(${PROJECT_SOURCE_DIR}/include) |
|
|
| # ------------------------------------------------------------- |
| # Core Engine Static Library |
| # ------------------------------------------------------------- |
| add_library(quant_engine_core STATIC |
| src/core/thread_utils.cpp |
| src/protocol/binary_protocol.cpp |
| src/protocol/itch50_protocol.cpp |
| src/protocol/ouch_protocol.cpp |
| src/order_book/order_book.cpp |
| src/order_book/matching_engine.cpp |
| src/risk/risk_engine.cpp |
| src/gateway/io_reactor.cpp |
| src/gateway/tcp_order_gateway.cpp |
| src/gateway/itch_ouch_simulator.cpp |
| src/market_data/gap_recovery.cpp |
| src/market_data/udp_multicast_receiver.cpp |
| src/engine/replay_engine.cpp |
| src/engine/trading_engine.cpp |
| src/fast_alpha_engine.cpp |
| src/simd_alpha_calculator.cpp |
| ) |
|
|
| target_include_directories(quant_engine_core PUBLIC ${PROJECT_SOURCE_DIR}/include) |
| find_package(Threads REQUIRED) |
| target_link_libraries(quant_engine_core PUBLIC Threads::Threads) |
|
|
| # ------------------------------------------------------------- |
| # Standalone Production Gateway Server Executable |
| # ------------------------------------------------------------- |
| add_executable(quant_gateway src/main_gateway.cpp) |
| target_link_libraries(quant_gateway PRIVATE quant_engine_core) |
|
|
| # ------------------------------------------------------------- |
| # Performance & Latency Benchmark Suite |
| # ------------------------------------------------------------- |
| if(BUILD_BENCHMARKS) |
| add_executable(benchmark_engine benchmarks/benchmark_main.cpp) |
| target_link_libraries(benchmark_engine PRIVATE quant_engine_core) |
| endif() |
|
|
| # ------------------------------------------------------------- |
| # GoogleTest Integration |
| # ------------------------------------------------------------- |
| if(BUILD_TESTS) |
| include(FetchContent) |
| FetchContent_Declare( |
| googletest |
| URL https://github.com/google/googletest/archive/refs/tags/v1.14.0.zip |
| ) |
| # For Windows: Prevent overriding the parent project's compiler/linker settings |
| set(gtest_force_shared_crt ON CACHE BOOL "" FORCE) |
| FetchContent_MakeAvailable(googletest) |
|
|
| enable_testing() |
|
|
| add_executable(engine_tests |
| tests/test_lockfree_queues.cpp |
| tests/test_object_pool.cpp |
| tests/test_binary_protocol.cpp |
| tests/test_order_book_matching.cpp |
| tests/test_risk_engine.cpp |
| tests/test_gap_recovery.cpp |
| tests/test_deterministic_replay.cpp |
| tests/test_network_gateway.cpp |
| tests/test_nasdaq_itch_ouch.cpp |
| ) |
|
|
| target_link_libraries(engine_tests PRIVATE quant_engine_core GTest::gtest_main) |
| include(GoogleTest) |
| gtest_discover_tests(engine_tests) |
| endif() |
|
|
| # ------------------------------------------------------------- |
| # Pybind11 Python Native Module |
| # ------------------------------------------------------------- |
| execute_process( |
| COMMAND python3 -m pybind11 --cmakedir |
| OUTPUT_VARIABLE pybind11_DIR |
| OUTPUT_STRIP_TRAILING_WHITESPACE |
| ) |
| list(APPEND CMAKE_PREFIX_PATH "${pybind11_DIR}") |
| find_package(pybind11 QUIET) |
|
|
| if(pybind11_FOUND) |
| pybind11_add_module(cpp_quant_engine src/bindings.cpp) |
| target_link_libraries(cpp_quant_engine PRIVATE quant_engine_core) |
| target_include_directories(cpp_quant_engine PRIVATE ${PROJECT_SOURCE_DIR}/include) |
| endif() |
|
|
