feat: google benchmarks, housekeeping

Author: milsanore

.vscode/launch.json

@@ -39,8 +39,31 @@
 			"args": [],
 			"stopAtEntry": false,
 			"cwd": "${workspaceFolder}",
-			"environment": [],
-			"envFile": "${workspaceFolder}/.env",
+			"externalConsole": false,
+			"MIMode": "gdb",
+			"setupCommands": [
+				{
+					"description": "Enable pretty-printing for gdb",
+					"text": "-enable-pretty-printing",
+					"ignoreFailures": true
+				},
+				{
+					"description": "Set Disassembly Flavor to Intel",
+					"text": "-gdb-set disassembly-flavor intel",
+					"ignoreFailures": true
+				}
+			],
+			"preLaunchTask": "build",
+			"miDebuggerPath": "/usr/bin/gdb"
+		},
+		{
+			"name": "benchmark-debug",
+			"type": "cppdbg",
+			"request": "launch",
+			"program": "${workspaceFolder}/build/Debug/benchmarks/benchmarks",
+			"args": [],
+			"stopAtEntry": false,
+			"cwd": "${workspaceFolder}",
 			"externalConsole": false,
 			"MIMode": "gdb",
 			"setupCommands": [

.vscode/tasks.json

@@ -14,7 +14,7 @@
         "isDefault": true
       },
       "problemMatcher": [],
-      "detail": "Builds the project using Conan and CMake Debug preset"
+      "detail": "Builds the project using Conan, and the CMake 'Debug' preset. does not `rm -rf` build"
     }
   ]
 }

CMakeLists.txt

@@ -23,13 +23,8 @@ add_library(traderlib STATIC ${SOURCES})
 
 # === Conan Setup ===============================
 
-# Conan-generated toolchain setup
-include(${CMAKE_BINARY_DIR}/conan_toolchain.cmake OPTIONAL RESULT_VARIABLE _found_toolchain)
-if(_found_toolchain)
-    message(STATUS "Conan toolchain included")
-endif()
-
 find_package(absl REQUIRED)
+find_package(benchmark REQUIRED)
 find_package(Boost REQUIRED)
 find_package(concurrentqueue REQUIRED)
 find_package(efsw REQUIRED)
@@ -44,6 +39,7 @@ find_package(spdlog REQUIRED)
 
 target_link_libraries(traderlib PUBLIC
     abseil::abseil
+    benchmark::benchmark_main
     boost::boost
     concurrentqueue::concurrentqueue
     efsw::efsw
@@ -58,13 +54,18 @@ target_link_libraries(traderlib PUBLIC
 )
 
 
-# === Create main executable ====================
+# === Main executable ===========================
 
 add_executable(tradercpp "src/main.cpp")
 target_link_libraries(tradercpp PRIVATE traderlib)
 
 
-# === Enable `ctest` ============================
+# === Unit test executable ======================
 
 enable_testing()
 add_subdirectory(tests)
+
+
+# === Benchmark executable ======================
+
+add_subdirectory(benchmarks)

CMakePresets.json

@@ -52,6 +52,13 @@
       "output": {
         "outputOnFailure": true
       }
+    },
+    {
+      "name": "release",
+      "configurePreset": "release",
+      "output": {
+        "outputOnFailure": true
+      }
     }
   ]
 }

Makefile

@@ -26,26 +26,26 @@ init:
 	python3 -m venv .venv
 	source .venv/bin/activate && \
 		pip install gcovr conan && \
-		conan install . --lockfile=conan.lock --build=missing -s build_type=Debug
+		conan install . --lockfile=conan.lock --build=missing -s build_type=Debug && \
+		conan install . --lockfile=conan.lock --build=missing -s build_type=Release
 	cmake --preset=debug
 
-## lock-conan: 📦 run after installing conan dependencies
+## lock-conan: 📦 run after adding (but before installing) conan dependencies
 .PHONY: lock-conan
 lock-conan:
-	conan lock create . --profile:host=default -s build_type=Debug --lockfile-out=conan.lock
+	conan lock create . --profile:host=default -s build_type=Debug   --lockfile-out=conan.lock
 	conan lock create . --profile:host=default -s build_type=Release --lockfile=conan.lock --lockfile-out=conan.lock
 
 ## build-debug: 🔨 compile (debug)
 .PHONY: build-debug
 build-debug:
 	$(call pp,assuming `make init` has been called)
+	cmake --preset=debug
 	cmake --build --preset=debug
 
 ## build-release: 🏎️ compile (prod)
 .PHONY: build-release
 build-release:
-	source .venv/bin/activate && \
-		conan install . --lockfile=conan.lock --build=missing -s build_type=Release
 	cmake --preset=release
 	cmake --build --preset=release
 
@@ -59,10 +59,17 @@ test:
 	source .venv/bin/activate && \
 		gcovr -r . --exclude 'tests/*' --sonarqube -o sonar-coverage.xml
 
+## bench: ⏱️ build and run benchmarks
+.PHONY: bench
+bench:
+	$(call pp,assuming `make build-release` has been called)
+	cmake --build --preset release
+	build/Release/benchmarks/benchmarks --benchmark_report_aggregates_only=false
+
 ## tidy: 🧹 tidy things up before committing code
 .PHONY: tidy
 tidy:
-	find src/ tests/ \( -name '*.cpp' -o -name '*.hpp' -o -name '*.c' -o -name '*.h' \) -exec clang-format -i {} +	
+	find src/ tests/ benchmarks/ \( -name '*.cpp' -o -name '*.hpp' -o -name '*.c' -o -name '*.h' \) -exec clang-format -i {} +	
 	hooks/check_clang_tidy.sh
 
 ## run-debug: 🏃‍♂️  run the app (debug) (don't forget `withenv`)

README.md

@@ -141,48 +141,51 @@ NB: this app uses `make` as a recipe book, but it's not essential:
   - ✅ dependency injection
   - integration test with mocked Binance server
   - FTXUI snapshot testing
+- benchmarking
+  - micro benchmarks
+  - load test with mocked FIX server
+  - profiling (valgrind/cachegrind)
+  - profile-guided optimization (pgo)
+  - profile tcmalloc
 - performance / latency
   - ✅ store prices and sizes as integrals (ticks as `uint64_t`) for performance
   - ✅ cache line alignment
   - ✅ tcmalloc (Full) / gperftools
-    - profiling tcmalloc
-  - release compile flags
-  - profiling (valgrind/cachegrind)
-  - profile-guided optimization (pgo)
-  - load test with mocked FIX server
   - CPU
     - ✅ process priority
     - ✅ FIX-thread "realtime"
     - ✅ FIX-thread CPU affinity
     - Disable hyperthreading
+  - OS
+    - ✅ vacate OS services
+    - ✅ move IRQs for all system devices to other CPUs
+    - RTOS / PREEMPT_RT kernel
+  - co-location
+    - ✅ find Binance's server location for a low-latency connection
   - NIC
     - ✅ NIC IRQ affinity to same CPU as FIX
     - wired, kernel-bypass NICs
     - hardware queue affinity
     - QoS (mark packets)
     - AF_XDP (+ Zero-copy mode)
     - ~dedicated NIC + DPDK~
-  - OS
-    - ✅ vacate OS services
-    - move IRQs for all system devices to other CPUs
-    - RTOS / PREEMPT_RT kernel
+  - FIX
+    - ✅ debug quickfix to confirm if it's running in it's own thread
+    - QuickFIX alternative (Fix8)
+      - otherwise => QuickFIX + SSL
+  - kernel space vs user space
+  - sparse arrays & flat matrix
+  - release compile flags
+  - memory-mapped files
+  - Memory locking
   - BIOS
     - disable hyperthreading, turbo boost
     - disable C-states deeper than C1 (C1E, C6, etc)
     - set cpu governor to "performance"
-  - Memory locking
-  - sparse arrays & flat matrix
-  - memory-mapped files
-  - (analyse) find Binance's server location for a low-latency connection
-  - (analyse) how to quantify latency?
-  - FIX SSL connectivity, to avoid stunnel latency overhead
-  - QuickFIX alternative (Fix8)
-  - kernel space vs user space
-  - RT OS
 - ✅ logging
   - ✅ fast
-  - add console target for fatal messages
-  - error handling
+  - ✅ error handling
+  - ✅ add console target for fatal messages
   - compiled out 'debug' logging for release builds
   - thread name in logs
   - rolling
@@ -196,9 +199,6 @@ NB: this app uses `make` as a recipe book, but it's not essential:
 - observability
   - opentelemetry (asynchronous)
   - grafana+tempo via docker-compose
-- FIX
-  - ✅ debug quickfix to confirm if it's running in it's own thread
-  - switch to Fix8
 - security
   - OpenSSF Scorecard
 - other

benchmarks/CMakeLists.txt

@@ -0,0 +1,18 @@
+file(GLOB_RECURSE BENCHMARK_SOURCES
+    "${CMAKE_CURRENT_SOURCE_DIR}/*.cpp"
+)
+
+add_executable(benchmarks ${BENCHMARK_SOURCES})
+
+target_include_directories(benchmarks PRIVATE
+    ${CMAKE_SOURCE_DIR}/src
+)
+
+target_link_libraries(benchmarks PRIVATE
+    traderlib  # Core library
+    abseil::abseil
+    benchmark::benchmark
+    spdlog::spdlog
+)
+
+add_test(NAME benchmarks COMMAND benchmarks)

benchmarks/main.cpp

@@ -0,0 +1,17 @@
+#include <benchmark/benchmark.h>
+
+#include <cstdlib>
+
+#include "spdlog/spdlog.h"
+#include "utils/logging.h"
+
+struct Initializer {
+  Initializer() {
+    setenv("LOG_PATH", "logs/benchmark", 1);
+    setenv("LOG_LEVEL", "info", 1);
+    utils::Logging::configure();
+  }
+};
+static Initializer init;
+
+BENCHMARK_MAIN();

benchmarks/order_book_benchmark.cpp

@@ -0,0 +1,104 @@
+#include <benchmark/benchmark.h>
+#include <fmt/ranges.h>
+
+#include <random>
+
+#include "core/bid_ask.h"
+#include "core/order_book.h"
+#include "spdlog/spdlog.h"
+
+class OrderBookFixture : public benchmark::Fixture {
+ public:
+  void SetUp([[maybe_unused]] const benchmark::State& state) override {
+    // deterministically build an initial, fully-populated, order book
+    book_ = std::make_unique<core::OrderBook>(bids_, asks_);
+
+    // bids
+    uint64_t bid_px = MID_PRICE - 1;
+    for (uint64_t i = 0; i <= DEPTH_LEVELS; ++i) {
+      auto msg = FIX44::MarketDataIncrementalRefresh();
+      auto change = FIX44::MarketDataIncrementalRefresh::NoMDEntries();
+      change.set(FIX::Symbol("BTCUSDT"));
+      change.set(FIX::MDUpdateAction(FIX::MDUpdateAction_NEW));
+      change.set(FIX::MDEntryType(FIX::MDEntryType_BID));
+      change.set(FIX::MDEntryPx(bid_px--));
+      if (bid_px < MID_PRICE - DEPTH_LEVELS) {
+        bid_px = MID_PRICE - 1;
+      }
+      change.set(FIX::MDEntrySize(i));
+      msg.addGroup(change);
+      book_->apply_increment(msg, false);
+    }
+
+    // offers
+    uint64_t ask_px = MID_PRICE + 1;
+    for (uint64_t i = 0; i <= DEPTH_LEVELS; ++i) {
+      auto msg = FIX44::MarketDataIncrementalRefresh();
+      auto change = FIX44::MarketDataIncrementalRefresh::NoMDEntries();
+      change.set(FIX::Symbol("BTCUSDT"));
+      change.set(FIX::MDUpdateAction(FIX::MDUpdateAction_NEW));
+      change.set(FIX::MDEntryType(FIX::MDEntryType_OFFER));
+      change.set(FIX::MDEntryPx(ask_px++));
+      if (ask_px > MID_PRICE + DEPTH_LEVELS) {
+        ask_px = MID_PRICE + 1;
+      }
+      change.set(FIX::MDEntrySize(i));
+      msg.addGroup(change);
+      book_->apply_increment(msg, false);
+
+      // asks_[MID_PRICE + i] = 1;
+    }
+  }
+
+  void TearDown([[maybe_unused]] const benchmark::State& state) override {
+    const auto vec = book_->to_vector();
+    spdlog::info("Levels: [{}]", fmt::join(vec, ", "));
+  }
+
+  // order book
+  std::unique_ptr<core::OrderBook> book_;
+  absl::btree_map<uint64_t, uint64_t, std::greater<>> bids_;
+  absl::btree_map<uint64_t, uint64_t> asks_;
+  //
+  static constexpr uint64_t DEPTH_LEVELS = 500;
+  static constexpr uint64_t MID_PRICE = 100'000;
+};
+
+BENCHMARK_DEFINE_F(OrderBookFixture, BM_AddOrder)(benchmark::State& state) {
+  FIX44::MarketDataIncrementalRefresh msg;
+  FIX44::MarketDataIncrementalRefresh::NoMDEntries change;
+  uint8_t tick_tock = 0;
+  uint64_t volume = 1;
+  uint64_t bid_px = MID_PRICE - 1;
+  uint64_t ask_px = MID_PRICE + 1;
+  for (auto _ : state) {
+    msg = FIX44::MarketDataIncrementalRefresh();
+    change = FIX44::MarketDataIncrementalRefresh::NoMDEntries();
+    change.set(FIX::Symbol("BTCUSDT"));
+    change.set(FIX::MDUpdateAction(FIX::MDUpdateAction_NEW));
+    if (tick_tock == 0) {
+      change.set(FIX::MDEntryType(FIX::MDEntryType_BID));
+      change.set(FIX::MDEntryPx(bid_px--));
+      if (bid_px < MID_PRICE - DEPTH_LEVELS) {
+        bid_px = MID_PRICE - 1;
+      }
+      change.set(FIX::MDEntrySize(volume));
+      tick_tock = 1;
+    } else {
+      change.set(FIX::MDEntryType(FIX::MDEntryType_OFFER));
+      change.set(FIX::MDEntryPx(ask_px++));
+      if (ask_px > MID_PRICE + DEPTH_LEVELS) {
+        ask_px = MID_PRICE + 1;
+      }
+      change.set(FIX::MDEntrySize(volume++));
+      tick_tock = 0;
+    }
+    msg.addGroup(change);
+    book_->apply_increment(msg, false);
+  }
+
+  state.counters["Updates/sec"] =
+      benchmark::Counter(state.iterations(), benchmark::Counter::kIsRate);
+}
+
+BENCHMARK_REGISTER_F(OrderBookFixture, BM_AddOrder)->Iterations(500'000);