On your figure “Detailed architectural design of an entry level HFT system” the signal generation system is not linked to your order system. Is that an oversight (it is connected in your figure “Simplified diagram of an entry level HFT architecture”)?
How do you sort or filter your signals in to orders, particularly when the signals conflict? Where in this model are your actual positions stored an reconciled to the signals produced by your model?
Thanks for your questions.
A: “the signal generation system is not linked to your order system.”
R: I use a database table to register the signals
A: “How do you sort or filter your signals in to orders, particularly when the signals conflict?”
R: I’m only using a signal generation table per asset to avoid conflicts between signals
A: “Where in this model are your actual positions stored an reconciled to the signals produced by your model?”
R: The orders executed and opened come through the Websocket and are stored in tables on the database. The order execution service has the logic to reconcile it with the signals within a set of hardcoded boundaries
I’m going to conflate compliance and risk management. Compliance, for instance, is making sure you don’t put both a bid and an ask for the same equity at the same time (a so-called self-trade). Risk management, for instance, is making sure you don’t honor two buy signals that would expose you to more risk than you want (The buy signals are firing because of industry-wide news and the stock price changes are correlated).
Not every order is legal to put out to market, and not every signal is worth the risk you’re exposed to. Your order system, or your model, or another component need to do the work of making your signals risk-adjusted (consistent) and your orders (desired position) operationally possible.
On your figure “Detailed architectural design of an entry level HFT system” the signal generation system is not linked to your order system. Is that an oversight (it is connected in your figure “Simplified diagram of an entry level HFT architecture”)?
How do you sort or filter your signals in to orders, particularly when the signals conflict? Where in this model are your actual positions stored an reconciled to the signals produced by your model?
Thanks for your questions. A: “the signal generation system is not linked to your order system.” R: I use a database table to register the signals
A: “How do you sort or filter your signals in to orders, particularly when the signals conflict?” R: I’m only using a signal generation table per asset to avoid conflicts between signals
A: “Where in this model are your actual positions stored an reconciled to the signals produced by your model?” R: The orders executed and opened come through the Websocket and are stored in tables on the database. The order execution service has the logic to reconcile it with the signals within a set of hardcoded boundaries
I accept any tips, =)
I’m going to conflate compliance and risk management. Compliance, for instance, is making sure you don’t put both a bid and an ask for the same equity at the same time (a so-called self-trade). Risk management, for instance, is making sure you don’t honor two buy signals that would expose you to more risk than you want (The buy signals are firing because of industry-wide news and the stock price changes are correlated).
Not every order is legal to put out to market, and not every signal is worth the risk you’re exposed to. Your order system, or your model, or another component need to do the work of making your signals risk-adjusted (consistent) and your orders (desired position) operationally possible.
Thank you for writing this up, and good luck.
I have the situation of self trade figured out (i.e. system is not allowed to do it)
I do evaluate the consistency of the orders with regards to the signal. Although I think I can do a lot more on that area.
Thanks for your words