Description
Architecture domain for Algorithmic Trading Platform. Contains system decomposition, layers, runtime flows, and design decisions.
Navigation
Component
- contains Audit Log Event History
- contains Authentication and Authorization Service
- contains Backtesting Engine
- contains Configuration Management
- contains Execution Simulator
- contains Market Data Feed Handler
- contains Monitoring and Reporting
- contains Order Management System
- contains Position Manager
- contains Risk Management Engine
- contains Strategy Engine
- contains User Interface Dashboard
Design
- contains EventBus
Documents
Architecture
Overview
The Architecture domain describes the structural decomposition of the Algorithmic Trading Platform — its components, their responsibilities, and how they interact.
Components
| Component | Responsibility |
|---|---|
| Market Data Feed Handler | Ingests market ticks via IMarketDataAdapter; publishes MarketTick events |
| Strategy Engine | Runs IStrategy implementations against ticks; publishes Signal events |
| Risk Management Engine | Runs IRiskCheck instances against signals; publishes RiskDecision + AuditEvent |
| Order Management System | Full order lifecycle: create, track, amend, cancel |
| Execution Simulator | Paper trading: fills orders at last market price; publishes Execution events |
| Position Manager | Tracks per-symbol positions and realized P&L; publishes Position events |
| Audit Log Event History | Captures all AuditEvent records for compliance and debugging |
| Backtesting Engine | Runs strategies against historical data offline |
| Configuration Management | Centralizes runtime configuration for all components |
| Monitoring and Reporting | Aggregates metrics; exposes REST API and WebSocket SSE |
| Authentication and Authorization Service | Secures API access with token-based auth and RBAC |
| User Interface Dashboard | Web-based monitoring and control interface |
Design Principles
- Event-driven: All components communicate via the EventBus (publish/subscribe)
- Pluggable interfaces: IStrategy, IRiskCheck, IMarketDataAdapter, IBrokerAdapter are all Protocols
- Paper trading first: Execution Simulator replaces live broker in Milestone 1
- Persistence-injectable: Repositories (IOrderRepository) default to in-memory; swappable for DB
flowchart LR
MDF[Market Data\nFeed Handler]
SE[Strategy\nEngine]
RE[Risk\nEngine]
OMS[Order\nManagement\nSystem]
ES[Execution\nSimulator]
PM[Position\nManager]
AL[Audit\nLog]
MDF -->|MarketTick| SE
SE -->|Signal| RE
RE -->|RiskDecision| OMS
RE -->|AuditEvent| AL
OMS -->|Order| ES
ES -->|Execution| OMS
ES -->|Execution| PM
OMS -->|AuditEvent| AL
flowchart LR
subgraph Components
MDF[Market Data Feed Handler]
SE[Strategy Engine]
RE[Risk Management Engine]
OMS[Order Management System]
PM[Position Manager]
BE[Backtesting Engine]
AL[Audit Log Event History]
CM[Configuration Management]
MR[Monitoring and Reporting]
AUTH[Auth and Authorization Service]
end
subgraph Functional Requirements
FR1[FR-MKTDATA-001\nReal-time market data]
FR2[FR-MKTDATA-002\nHistorical data for backtest]
FR3[FR-STRATEGY-001\nExecute strategies]
FR4[FR-RISK-001\nPre-trade risk checks]
FR5[FR-RISK-002\nPost-trade risk checks]
FR6[FR-OMS-001\nOrder lifecycle]
FR7[FR-POS-001\nPosition tracking]
FR8[FR-BACKTEST-001\nBacktesting]
FR9[FR-AUDIT-001\nAudit log]
FR10[FR-CONFIG-001\nConfiguration]
FR11[FR-MON-001\nMonitoring dashboard]
FR12[FR-RPT-001\nReports]
FR13[FR-AUTH-001\nUser auth and RBAC]
end
subgraph NFR and Constraints
NFR1[NFR-SEC-001\nAuthentication]
NFR2[NFR-SEC-002\nLeast privilege]
CR1[CR-COMPLIANCE-001\nRegulatory traceability]
end
MDF -->|satisfies| FR1
MDF -->|satisfies| FR2
SE -->|satisfies| FR3
RE -->|satisfies| FR4
RE -->|satisfies| FR5
OMS -->|satisfies| FR6
PM -->|satisfies| FR7
BE -->|satisfies| FR8
AL -->|satisfies| FR9
AL -->|satisfies| CR1
CM -->|satisfies| FR10
MR -->|satisfies| FR11
MR -->|satisfies| FR12
AUTH -->|satisfies| FR13
AUTH -->|satisfies| NFR1
AUTH -->|satisfies| NFR2