feat: add multi-instrument support, cross-exchange arbitrage, and performance optimizations

CMakeLists.txt

@@ -150,6 +150,18 @@ option(BUILD_VISUALIZATION "Build visualization server" ON)
 option(USE_TBB "Use Intel TBB for parallel algorithms" OFF)
 option(USE_DPDK "Use DPDK for kernel bypass networking" OFF)
 option(USE_LOCK_FREE "Use lock-free data structures" ON)
+option(ENABLE_LTO "Enable Link-Time Optimization for release builds" OFF)
+
+# LTO support
+if(ENABLE_LTO)
+  include(CheckIPOSupported)
+  check_ipo_supported(RESULT LTO_SUPPORTED)
+  if(LTO_SUPPORTED)
+    message(STATUS "LTO/IPO enabled")
+  else()
+    message(STATUS "LTO/IPO not supported by this compiler")
+  endif()
+endif()
 
 # Include directories
 include_directories(${CMAKE_CURRENT_SOURCE_DIR} ${WEBSOCKETPP_INCLUDE_DIRS}
@@ -191,7 +203,10 @@ set(CORE_SOURCES
     core/persistence/journal/Journal.cpp
     core/persistence/journal/JournalEntry.cpp
     core/persistence/snapshot/SnapshotManager.cpp
-    core/routing/OrderRouter.cpp)
+    core/routing/OrderRouter.cpp
+    core/instrument/InstrumentManager.cpp
+    core/instrument/ResourceAllocator.cpp
+    core/utils/ThreadAffinity.cpp)
 
 # Strategy library files
 set(STRATEGY_SOURCES
@@ -203,7 +218,10 @@ set(STRATEGY_SOURCES
     strategies/analytics/MarketRegimeDetector.cpp
     strategies/rl/RLParameterAdapter.cpp
     strategies/backtesting/BacktestEngine.cpp
-    strategies/config/StrategyConfig.cpp)
+    strategies/config/StrategyConfig.cpp
+    strategies/arbitrage/ArbitrageDetector.cpp
+    strategies/arbitrage/ArbitrageExecutor.cpp
+    strategies/analytics/CrossMarketCorrelation.cpp)
 
 # Exchange library files
 set(EXCHANGE_SOURCES
@@ -330,6 +348,11 @@ endif()
 
 target_link_libraries(pinnaclemm ${PINNACLEMM_LIBS})
 
+# Apply LTO to main executable in release builds
+if(ENABLE_LTO AND LTO_SUPPORTED)
+  set_property(TARGET pinnaclemm PROPERTY INTERPROCEDURAL_OPTIMIZATION TRUE)
+endif()
+
 # Tests
 if(BUILD_TESTS)
   enable_testing()
@@ -488,6 +511,33 @@ if(BUILD_TESTS)
     Threads::Threads
     Boost::filesystem)
   add_test(NAME DisasterRecoveryTests COMMAND disaster_recovery_tests)
+
+  # Instrument Manager tests
+  add_executable(instrument_manager_tests tests/unit/InstrumentManagerTests.cpp)
+  target_link_libraries(
+    instrument_manager_tests
+    core
+    risk
+    strategy
+    exchange
+    GTest::gtest_main
+    GTest::gtest
+    Threads::Threads)
+  add_test(NAME InstrumentManagerTests COMMAND instrument_manager_tests)
+
+  # Arbitrage Detector tests
+  add_executable(arbitrage_detector_tests tests/unit/ArbitrageDetectorTests.cpp)
+  target_link_libraries(arbitrage_detector_tests core strategy
+                        GTest::gtest_main GTest::gtest Threads::Threads)
+  add_test(NAME ArbitrageDetectorTests COMMAND arbitrage_detector_tests)
+
+  # Cross-Market Correlation tests
+  add_executable(cross_market_correlation_tests
+                 tests/unit/CrossMarketCorrelationTests.cpp)
+  target_link_libraries(cross_market_correlation_tests core strategy
+                        GTest::gtest_main GTest::gtest Threads::Threads)
+  add_test(NAME CrossMarketCorrelationTests
+           COMMAND cross_market_correlation_tests)
 endif()
 
 # Benchmarks
@@ -558,6 +608,18 @@ if(BUILD_BENCHMARKS)
   add_executable(risk_check_benchmark tests/performance/RiskCheckBenchmark.cpp)
   target_link_libraries(risk_check_benchmark core risk benchmark::benchmark
                         Threads::Threads)
+
+  # Multi-instrument benchmarks
+  add_executable(multi_instrument_benchmark
+                 tests/performance/MultiInstrumentBenchmark.cpp)
+  target_link_libraries(
+    multi_instrument_benchmark
+    core
+    risk
+    strategy
+    exchange
+    benchmark::benchmark
+    Threads::Threads)
 endif()
 
 # Install targets

README.md

@@ -21,7 +21,8 @@
     <a href="docs/ORDER_ROUTING.md">Order Routing</a>&nbsp;&nbsp;•&nbsp;&nbsp;
     <a href="docs/PERFORMANCE_BENCHMARKS.md">Performance Benchmarks</a>&nbsp;&nbsp;•&nbsp;&nbsp;
     <a href="docs/api/reference.md">API Reference</a>&nbsp;&nbsp;•&nbsp;&nbsp;
-    <a href="docs/exchange/connector_guide.md">Exchange Connectors</a>
+    <a href="docs/exchange/connector_guide.md">Exchange Connectors</a>&nbsp;&nbsp;•&nbsp;&nbsp;
+    <a href="docs/MULTI_INSTRUMENT_GUIDE.md">Multi-Instrument</a>
   </p>
 </div>
 
@@ -52,6 +53,11 @@ PinnacleMM is a high-performance, production-grade market making system designed
 - **Disaster Recovery**: Atomic risk state persistence, position reconciliation, and labeled backup management
 - **Kubernetes Deployment**: Production-ready StatefulSet with health probes, PVC, network policies, and pod disruption budget
 - **Enterprise Security**: AES-256-CBC encryption with unique salts, 100,000 PBKDF2 iterations, secure password input, comprehensive input validation, audit logging, rate limiting, and certificate pinning
+- **Multi-Instrument Trading**: Simultaneous trading across multiple symbols with `InstrumentManager` orchestration
+- **Cross-Exchange Arbitrage**: Venue price discrepancy detection with fee-adjusted opportunity scanning and dry-run execution
+- **Cross-Market Correlation**: Pearson/rolling correlation, lead-lag analysis, Engle-Granger cointegration, and signal-based spread adjustment
+- **Per-Symbol Risk Tracking**: Atomic per-symbol position, PnL, and volume tracking with configurable per-symbol limits
+- **Dynamic Resource Allocation**: CPU core distribution and thread pinning for multi-instrument deployments
 - **Comprehensive Testing**: Extensive test suite ensuring reliability and performance
 
 ## System Architecture
@@ -161,6 +167,12 @@ cd build && ./pinnaclemm --mode simulation --enable-ml --json-log --json-log-fil
 # Combined: ML + visualization + JSON logging
 cd build && ./pinnaclemm --mode simulation --enable-ml --enable-visualization --json-log --json-log-file sim_ml_data.jsonl
 
+# Multi-instrument simulation
+cd build && ./pinnaclemm --mode simulation --symbols BTC-USD,ETH-USD
+
+# Arbitrage detection (dry-run)
+cd build && ./pinnaclemm --mode simulation --symbol BTC-USD --enable-arbitrage --arb-dry-run
+
 # The visualization dashboard will be available at:
 # - WebSocket: ws://localhost:8080 (or custom port with --viz-ws-port)
 # - REST API: http://localhost:8081 (or custom port with --viz-api-port)
@@ -453,6 +465,9 @@ docker run -it --name pinnaclemm-live \
 - **Market Regime Detector**: Hidden Markov Model-based detection of 8 market regimes
 - **RL Parameter Adapter**: Reinforcement learning for dynamic strategy parameter optimization
 - **Advanced Backtesting Engine**: Historical replay with Monte Carlo analysis and statistical testing
+- **Instrument Manager**: Multi-instrument orchestration with per-symbol order books, strategies, and simulators
+- **Arbitrage Detector**: Cross-exchange price discrepancy detection with fee-adjusted scanning
+- **Cross-Market Correlation**: Statistical lead-lag analysis and cointegration testing for signal generation
 - **Real-Time Visualization**: Web-based dashboard with Chart.js and D3.js visualization
 - **FIX Protocol Engine**: Professional-grade FIX connectivity for institutional trading
 - **Persistence System**: Crash recovery with memory-mapped files
@@ -548,6 +563,12 @@ open build/test_dashboard.html
 # or manually: file:///path/to/PinnacleMM/build/test_dashboard.html
 ```
 
+### Multi-Instrument & Optimization
+- [Multi-Instrument Guide](docs/MULTI_INSTRUMENT_GUIDE.md) - **Multi-symbol trading with InstrumentManager**
+- [Cross-Exchange Arbitrage](docs/CROSS_EXCHANGE_ARBITRAGE.md) - **Venue spread detection and execution**
+- [Cross-Market Correlation](docs/CROSS_MARKET_CORRELATION.md) - **Statistical correlation and signal generation**
+- [Performance Optimization Guide](docs/PERFORMANCE_OPTIMIZATION_GUIDE.md) - **LTO, CPU affinity, object pooling, lock-free fixes**
+
 ### Exchange Integration
 - [FIX Protocol Integration Guide](docs/FIX_PROTOCOL_INTEGRATION.md)
 - [FIX Testing Guide](docs/TESTING_GUIDE.md)
@@ -621,6 +642,12 @@ cd build
 ./disaster_recovery_tests     # 8 tests - state persistence, backups
 ./risk_check_benchmark        # Risk check latency benchmarks
 
+# Test multi-instrument and optimization components (Phase 5)
+./instrument_manager_tests         # 9 tests - lifecycle management
+./arbitrage_detector_tests         # 8 tests - opportunity detection, fees
+./cross_market_correlation_tests   # 7 tests - correlation, lead-lag
+./multi_instrument_benchmark       # Startup scaling benchmarks
+
 # Memory safety validation with Address Sanitizer (development builds)
 cmake -DCMAKE_BUILD_TYPE=Debug -DENABLE_SANITIZERS=ON .. && make -j8
 ./pinnaclemm --mode simulation --symbol BTC-USD --verbose

config/default_config.json

@@ -60,6 +60,30 @@
       "keepSnapshots": 5,
       "compactionThreshold": 1000000
     },
+    "instruments": [
+      {
+        "symbol": "BTC-USD",
+        "enabled": true,
+        "useLockFree": true,
+        "enableML": false,
+        "baseSpreadBps": 10.0,
+        "orderQuantity": 0.01,
+        "maxPosition": 10.0
+      }
+    ],
+    "arbitrage": {
+      "enabled": false,
+      "minSpreadBps": 5.0,
+      "minProfitUsd": 1.0,
+      "maxStalenessMs": 500,
+      "scanIntervalMs": 10,
+      "dryRun": true,
+      "venues": ["coinbase", "kraken"],
+      "venueFees": {
+        "coinbase": 0.001,
+        "kraken": 0.0016
+      }
+    },
     "risk_management": {
       "limits": {
         "max_position_size": 10.0,