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TMQR EXO Framework Roadmap

Data layer

###Status: We have 4 basic EXO algorithms Bullish/Bearish BW Collar and Put/Call spread. ####Problems:

• ZN EXO generation fails because it has inconsistent contract series (insufficient data), seems that is a problem of active contract series, for example we have Aug futures available, but it is illiquid and all trading activity takes place on Sep future contract. This could be reason of failire

####TODO:

• Add execution price calculation for EXO
• Add another EXO algorithms
• Add margin information and EXO structure information for correct costs and margin calculations in backtester

##Alpha layer ####Status: We have 7 alphas in production, with enhanced ranking algorithm using multi-metric ranking and correlation filtering. ####TODO:

• Add swarm statistics for each swarm (net profit, recent performance, sharpe, spread margin, costs, etc) Calibrate or improve ranking algorithm

##Trading layer ####Status: We have a server running and basic scripts to run batch EXO process and alpha generation, also we have RabbitMQ as base messaging layer

####Problems:

• We need to connect external datafeed to RabbitMQ to produce 'new quote' events and launch the chain of EXO calculation -> swarm calculation -> execution
• We need to integrate RabbitMQ 'new signal' messages produced by swarms to execution infrastructure
• We need to define requirements for new execution layer (campaigns management, portfolio management, execution, etc)