Sunday, September 25, 2011

Architecture for the ideal systematic trading platform

My mentor and I were thinking about the architecture of the ideal systematic trading platform.

It should look like this:
1.- A Risk Module to control positions and let open or close them.
2.- A Signaling module
3.- A Trading module, where orders will be received and routed to Direct Market Access
4.- A Data Management module

Since we're working on data management are (the only solution that fits our requirements is KDB+, but it's too expensive and the effort to master KDB-language is almost the same as doing the ideal solution), here we have the schema of interfaces:

Remember that everything it's being implemented under MetaOS project, hosted at (

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