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Substrate Execution Platform

LGPL logo

Substrate is an open-source execution platform for building and testing bespoke OMS/EMS systems. It combines a high‑performance C++ matching engine with a growing Python stack for simulation, replay, and orchestration.

What’s in this repo

  • C++ matching engine and limit order book
  • Protocol definitions and message helpers
  • Test suite for core matching/LOB behavior
  • Data samples in extdata/ for replay/simulation workflows
  • Python workspace (in progress) for fill simulation and replay

Core goals

  • Deterministic, testable execution simulation
  • Modular components for OMS/EMS assembly
  • Clear interfaces between market data, order flow, and risk controls

Build (C++)

This project uses CMake and Ninja.

  1. Configure:
    • mkdir -p build/gcc-debug
    • cmake -S . -B build/gcc-debug -G Ninja
  2. Build:
    • cmake --build build/gcc-debug
  3. Run tests:
    • ctest --test-dir build/gcc-debug

Python (planned components)

The Python stack will add:

  • Fill simulator
  • Replay engine
  • DAG builder for workflow assembly
  • Algo/broker wheel
  • Risk module
  • Monitoring hooks

Data

Data inputs live in extdata/ and include Databento DBN zst files plus metadata/manifest files.

License

LGPL v3.0 or later. See COPYING and COPYING.LESSER for details.