Order and position management in (semi-)automated trading system
Order and position management in (semi-)automated trading system
Loading saved threads...
Konsta · External communityPost link
External question — Quantitative Finance Stack Exchange
Author: Konsta
Original post: https://quant.stackexchange.com/questions/4344
License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/
Adaptation: HTML converted to plain text; contact email addresses removed.
A simple and lazy approach to implementing an order and position management (OPM) component in a (semi-)automated trading system: leave most OPM to counter party (broker/exchange). Even then funds and positions need to be checked once orders are supposed to be dispatched. Else it is unkown whether one has funds or already the intended position in a symbol.
Certainly such requests/responses do not fit ultra high frequency trading (uhft), or are optimistic approaches with respect to order execution used? If not,
what is the uhft OPM [software] design approach?
Is the lazy approach good enough for lower frequency trading? Or are
other [software] design patterns favorable? Which and why?
Although the title
What approaches are there to order handling in automated trading?
is promising, answers were geared towards a specific difficulty.
The references for developing an automated trading system
do not discuss OPM in detail.
A refined OPM component should reflect almost all account details (funds, transmitted orders, fills) reliably. I believe software design patterns of banking/exchange platforms should apply.
References for reliable messaging/databases accessible to the non-expert developer would be nice.
Quote
Report
Post Reply
Checking account access…