CitClo

A dumb down trading system inspired by the book "Developing High-Frequency Trading Systems"

🏙 System Overview

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🧱 Components

1. Data Source

Provides live market data (price, volume, etc.) to the system.

2. InGateway

Acts as an entry point for the incoming market data. It:

• Receives raw market data
• Pushes data onto the data bus

3. DataBus

A message bus responsible for transporting market data to:

• Data Storage for archiving
• Signal Processors for analysis

4. DataStorage

Archives all historical market data for backtesting and analytics.

5. SignalGenerator

These compute trading signals based on various algorithms like:

• Linear Regression
• Moving Average
• Others (e.g., momentum, RSI)

Processed signals are pushed onto the signal bus.

6. Signal Bus

Carries trading signals to the Order Management System (OMS).

7. OMS (Order Management System)

Central brain that:

• Makes trade decisions
• Pushes orders onto the order bus
• Tracks acknowledgements from the venues/exchanges.

8. Order Bus

Transports trading orders to OUT Gateways.

9. ACK Bus

Handles acknowledgements from exchanges and notifies OMS for order state updates.

10. OutGateways

Responsible for sending orders to multiple EXCHANGES and receiving acknowledgements.

11. Exchanges

External markets where trades are executed.

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🔄 Data Flow Summary

1. Market Data Ingestion:
   DATA SOURCE → IN Gateway → data bus

2. Processing and Storage:
   data bus → Data Storage & Signal Processors → signal bus

3. Order Flow:
   signal bus → OMS → order bus → OUT Gateway → EXCHANGE

4. Acknowledgement Handling:
   EXCHANGE → OUT Gateway → ack bus → OMS

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Debug

mkdir build
cd build
cmake -DCMAKE_BUILD_TYPE=Debug ..
make -j