Trading Simulator

A high-performance trading simulator built with C++ and Qt/QML that processes real-time market data from cryptocurrency exchanges to estimate transaction costs and measure market impact.

Overview

This trading simulator connects to cryptocurrency exchange WebSocket feeds to receive real-time Level 2 order book data, processes market orders, and provides detailed analytics on transaction costs and market impact.

Architecture

graph LR
    A[Exchange WebSocket API] -->|Real-time L2 Data| B[WebSocket Client]
    B -->|JSON Messages| C[Order Book Manager]
    C -->|Bid/Ask Levels| D[Market Impact Calculator]
    C -->|Price Data| E[Transaction Cost Estimator]
    F[User Input] -->|Order Parameters| D
    F -->|Trade Size/Side| E
    D -->|Impact Metrics| G[QML Interface]
    E -->|Cost Breakdown| G
    C -->|Order Book Display| G
    G -->|Visualization| H[User Display]
    
    style A fill:#e1f5ff
    style B fill:#fff4e1
    style C fill:#ffe1e1
    style D fill:#e1ffe1
    style E fill:#e1ffe1
    style F fill:#f0e1ff
    style G fill:#ffe1f5
    style H fill:#e1f5ff

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Features

• Real-time Market Data: WebSocket connection to exchange L2 order book feeds
• Order Simulation: Simulates market buy/sell orders with configurable sizes
• Impact Analysis: Calculates and visualizes market impact metrics
• Transaction Cost Estimation: Provides detailed breakdown of trading costs
• Modern UI: Built with Qt/QML for a responsive interface
• Cross-platform: Supports Windows, macOS, and Linux

Prerequisites

• CMake 3.10 or higher
• Qt 6.6 or higher (with WebSocket module)
• C++17 compatible compiler

Configuration

WebSocket Endpoint Setup

Before running the simulator, you must configure the WebSocket endpoint in include/QuantConstants.h:

static constexpr const char* SOCKET_ENDPOINT = "wss://your-websocket-endpoint-here";

Expected WebSocket Response Format

The simulator expects L2 order book data in the following JSON format:

{
  "timestamp": "2025-05-04T10:39:13Z",
  "exchange": "OKX",
  "symbol": "BTC-USDT-SWAP",
  "asks": [
    ["95445.5", "9.06"],
    ["95448", "2.05"]
  ],
  "bids": [
    ["95445.4", "1104.23"],
    ["95445.3", "0.02"]
  ]
}

Format Details:

• timestamp: ISO 8601 formatted timestamp
• exchange: Exchange identifier (e.g., "OKX")
• symbol: Trading pair symbol
• asks: Array of [price, quantity] arrays (sell orders)
• bids: Array of [price, quantity] arrays (buy orders)

Testing with OKX Exchange

You can test the simulator using OKX SPOT exchange WebSocket feeds, which provide data in the expected format:

wss://ws.okx.com:8443/ws/v5/public

Subscribe to order book updates using OKX's WebSocket API documentation.

Installation

1. Clone the repository:

   git clone https://github.com/AnasElii/Trading_Simulator-.git
   cd Trading_Simulator-

2. Configure the WebSocket endpoint: Edit include/QuantConstants.h and set your WebSocket endpoint URL.

3. Build the project:

   mkdir build
   cd build
   cmake ..
   cmake --build .

4. Run the simulator:

   ./TradingSimulator

Project Structure

Trading_Simulator-/
├── include/          # Header files
│   └── QuantConstants.h  # Configuration constants
├── interface/        # QML UI files
├── src/             # C++ source files
├── CMakeLists.txt   # CMake build configuration
└── README.md

Usage

1. Launch the application
2. The simulator will connect to the configured WebSocket endpoint
3. Real-time order book data will be displayed
4. Enter order parameters (size, side) to simulate trades
5. View calculated market impact and transaction costs

Key Components

• Order Book Management: Maintains real-time bid/ask levels
• Market Impact Calculator: Analyzes price impact of market orders
• Transaction Cost Estimator: Breaks down trading costs including slippage
• WebSocket Client: Handles real-time data streaming
• QML Interface: Provides interactive visualization

API Keys (Optional)

If your exchange requires authentication, configure API credentials in QuantConstants.h:

static QString GetApiKey();
static QString GetApiSecret();
static QString GetApiPassphrase();

Contributing

Contributions are welcome! Please feel free to submit a Pull Request.

License

This project is available for personal and educational use.

Author

Anas Elii (@AnasElii)

Acknowledgments

This simulator was developed to demonstrate real-time market data processing and trading simulation capabilities.