Substrate Execution Platform

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.