Exchange | Event Publishing

The exchange_publishers module is the outbound broadcast layer of the matching engine. It translates internal matching outcomes into structured events that networking gateways can distribute.

Overview

After a match occurs, the results must be communicated to the world. exchange_publishers decouples the matching logic from the networking logic. It takes raw trade or book update data and formats it for consumption by the FIX server or a hypothetical WebSocket gateway.

Key Responsibilities

• Provide an interface for ExecutionReport broadcasting.
• Manage MarketDataPublisher for Level 2 depth updates.
• Abstract the destination of these events (Console, FIX, or Files).
• Handle subscription-based routing (only send market data to interested clients).

Architecture

graph LR
    W(WorkerThread) -->|match| PUB[ExecutionPublisher]
    W -->|depth change| MDP[MarketDataPublisher]
    
    PUB -->|Broadcast| FIX(exchange_fix)
    MDP -->|Incremental Refresh| FIX

Class Diagram

classDiagram
    class ExecutionPublisher {
        <<static>>
        +SetCallback(ExecutionReportCallback)
        +publishExecution(Order, action)
        +publishTrade(Trade, buyOrder, sellOrder)
        +publishRejection(orderId, clientId, symbol, side, reason)
        -s_callback: ExecutionReportCallback
    }
 
    class MarketDataPublisher {
        +addSubscription(Symbol, SessionID)
        +publishDelta(MarketDataUpdate)
        -m_subscriptions: map~Symbol, vector~SessionID~~
    }
 
    ExecutionPublisher ..> ExecutionReport : Formats

Component Responsibilities

Component	Description
**ExecutionPublisher**	Distributes filled trade notifications. Critical for updating client order blotters.
**MarketDataPublisher**	Manages the fan-out of L2 book updates. Implements basic multicast-style logic over unicast TCP sessions.

Critical Design Conventions

• Non-Blocking: Publishers must not perform direct socket writes if the buffer is full. They should enqueue to outbound networking buffers to prevent matching thread stalls.
• Abstract Interfaces: Allows the server to run in a "Headless" mode (logging to stdout) or a "Networked" mode (transmitting via FIX) without changing the core engine code.