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    Forums ›› Technically Speaking ›› Programming ›› Island ECN source code - Incredible  


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nitro
 

Registered: Sep 2001
Posts: 17952

 

08-25-12 09:04 PM

http://josh.com/notes/island-ecn-10th-birthday/

This is absolutely fascinating and a must read for anyone vaguely interested in algorithmic trading. Josh is publishing some of the code to the internals of the Island ECN!!

My jaw dropped when I saw that the matching engine for Island was written in FoxPro, then I realized that FoxPro uses ISAM indexing engine/with B*tree, which will always be pretty fast. Apparently, some of the code still runs the current Nasdaq Matching Engine

What a treat to read through this stuff...

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Kevin Schmit
 

Registered: Nov 2005
Posts: 568

 

08-26-12 02:40 AM


Quote from nitro:

http://josh.com/notes/island-ecn-10th-birthday/

This is absolutely fascinating and a must read for anyone vaguely interested in algorithmic trading. Josh is publishing some of the code to the internals of the Island ECN!!


Thanks for posting.

As you say, fascinating.

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ksmetana
 

Registered: May 2010
Posts: 507

 

08-30-12 01:10 AM

wow

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Trader KGB
 

Registered: Jan 2005
Posts: 1090

 

08-30-12 01:21 AM


I had DOS machines that were running continuously from 1992 until 2010.

And here I thought I was holdout for running XP up til this year!

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braincell
 

Registered: Jul 2011
Posts: 538

 

08-30-12 12:47 PM

Lots of that code in proc enter2order can be optimized with pure ASM code, like checking for most common conditions first in comparatives, etc. I know the rest of it is in C/ASM but this matching engine part should be too! imho...

Nevertheless, it's interesting stuff.

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WinstonTJ
 

Registered: Jan 2009
Posts: 1947

 

08-30-12 01:37 PM


Quote from braincell:

Lots of that code in proc enter2order can be optimized with pure ASM code, like checking for most common conditions first in comparatives, etc. I know the rest of it is in C/ASM but this matching engine part should be too! imho...

Nevertheless, it's interesting stuff.



Remember that's source code from 2003. They did a lot of quirky things back then because the hardware it all ran on was very basic.

That's shockingly similar to some of the other ECN's source code of that vintage.

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