Elements of Systematic Trading System

According to Irene Aldridge (High Frequency Trading)

the ideal HFT system in production should include the following steps in run-time:

1. Receive and archive real time data
2. Create buy and sell signals
3. Keep track of open positions and P&L
4. Manage risk positions

and these two task in post-execution time:

1. Evaluate performance
2. Cost estimation

In my Juant system, post-execution tasks are not currently present (at least in an explicit way). But, in my opinion, Irene has missed a backtesting module: without it, strategies cannot be tested in a similar environment to runtime.

In the other way, the Signal Generation module is, with Risk Management one, the ideal candidate to have links with Matlab, R and other external mathematical tools...