Strategy Interface

generate_action

take_action

take_action

take_action

take_action

take_action

take_action

take_action

take_action

generate_action

vector<Action> Strategy::generate_action(
	const map<symbol_t, quantity_t> &original_position,
	price_t manageable_money,
	timestamp_t current_time,
	data_provider::DataProvider& provider
);

position = {
  META: 10,
  AAPL: 5,
  GOOG: 3,
  META: 0
}
money = 1000

Strategy::Strategy(nlohmann::json state);

strategy configuration, not resources

generate_action

take_action

take_action

take_action

take_action

take_action

take_action

take_action

take_action

generate_action

Action::AdjustPosition

symbol
expected_quantity
price_low, price_high

Action::MakeLimitOrder

symbol
quantity (+/-)
price
callback (bool -> void)

Action::KeepOrder

symbol
quantity (+/-)
price

Action::priority (int)

Execution priority if resource is insufficient

AdjustPosition

AAPL+1, [220, 225]

AdjustPosition

GOOG-1, [180, 190]

AdjustPosition

META+1, [660, 670]

AdjustPosition

AAPL+1, [215, 220]

canceled

generate_action

take_action

take_action

take_action

take_action

take_action

take_action

take_action

take_action

generate_action

try 216.66

...

OrderExecutor [AAPL]

try 220

Timeout

try 221.66

Timeout

try 215

Timeout

try 190

Timeout

try 186.66

Timeout

OrderExecutor [GOOG]

AdjustPosition

META+2, [670, 675]

try 660

Timeout

try 667.22

Timeout

try 663.33

Timeout

OrderExecutor [META]

try 669.81

Action::AdjustPosition

For each symbol:

One Adjustment at a time
No action = No adjustment

OrderExecutor strategy:

Limit orders with timeout
\(current = \frac{2}{3}current + \frac{1}{3}boundary\)

MakeLimitOrder

AAPL, +1, 220

generate_action

take_action

take_action

take_action

take_action

take_action

take_action

take_action

take_action

generate_action

Filled

callback(true)

Canceled/Rejected

callback(false)

MakeLimitOrder

AAPL, +1, 220

MakeLimitOrder

AAPL, +1, 220, <id>

CancelLimitOrder
<id>

canceled

Action::MakeLimitOrder

Life cycle

Creation: returned from strategy
Deletion: callback function executed or canceled by Action::CancelLimitOrder

Attach order id if it might be canceled in the future

KeepOrder

AAPL, +1, 220

generate_action

take_action

take_action

take_action

take_action

take_action

take_action

take_action

take_action

generate_action

Filled

KeepOrder

GOOG, +1, 220

KeepOrder

META, +1, 220

canceled

generate_action(current_orders)

KeepOrder

GOOG, +1, 220

KeepOrder

META, +1, 220

generate_action(current_orders)

KeepOrder

GOOG, +1, 220

Canceled/Rejected

generate_action(current_orders)

Action::KeepOrder

Re-execute generate_action once a limit order is concluded
Executor pass currently pending limit orders to generate_action
Those in current_orders but not in returned actions will be canceled

Executor & Strategy

Strategy

Resource Manager

money

positions

Actions

generate_actions

Order Executor

put_order

callback()

Executor

Order System

Notes

Market is asynchronous: canceled order might still be executed