Engineering a trading system
A trading strategy is only the idea; a trading system is the software that runs it safely, day after day. These pages break a system into its engineering components — the layers that ingest data, generate signals, size positions, enforce risk, route orders and keep everything observable and recoverable — so you can design something robust, not just clever.
System Architecture: A trading system architecture is the set of software components that turn a strategy into safe, automated execution: a data layer (market and reference data), signal generation (the strategy logic), position sizing, a risk engine (pre- and post-trade limits), an execution engine and order-management system (routing orders to the broker), a portfolio engine (tracking state), plus cross-cutting concerns — logging, monitoring, error handling, failover and a kill switch. Robustness, observability and fail-safety matter more than raw speed for most retail systems.
The Data Layer
ComponentThe data layer is the component that ingests, normalises, stores and serves market and reference data so every other part of the system reads one con…
Signal Generation
ComponentSignal generation is the module that reads the current market state and produces a target intention (long, short, flat or a target position) as a pur…
Position Sizing (Engine)
ComponentThe position-sizing engine is the module that converts a signal and a risk budget into a concrete order quantity, respecting lot sizes, capital and p…
The Risk Engine
ComponentThe risk engine is the independent safety component that vets every order before it is sent (pre-trade) and monitors positions and P&L after (post-tr…
The Execution Engine
ComponentThe execution engine is the component that turns approved target orders into actual broker orders, decides how to work them (order type, slicing, tim…
The Portfolio Engine
ComponentThe portfolio engine is the component that maintains the authoritative internal record of positions, cash and P&L, updating on every fill and continu…
Order Management System (OMS)
ComponentThe order management system is the component that owns each order's lifecycle as an explicit state machine, guaranteeing idempotent submission, dedup…
Logging
ComponentLogging is the cross-cutting component that records a structured, append-only, timestamped account of every decision, order and event so the system's…
Monitoring
ComponentMonitoring is the cross-cutting component that continuously observes the system's health through metrics, heartbeats and health checks, raises alerts…
Kill Switch
ComponentThe kill switch is the safety component that halts trading immediately, on automatic triggers or a manual command, typically cancelling open orders a…
Failover & Redundancy
ComponentFailover and redundancy are the design properties that let a trading system survive the failure of a component, machine or connection, by having back…
Error Handling
ComponentError handling is the cross-cutting discipline of anticipating failures, distinguishing transient from permanent errors, retrying the recoverable one…