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Features

Framework (The Kernel)
  • Fully Event Driven and Multi-Threaded
  • Activation framework with isolation capabilities allowing to adjust SecurityLevel/LatencyCost ratio to a particular situation/need
    • All in one in default AppDomain
    • Split within separate AppDomains,
    • Split within separate local Processes (IPC communications)
    • Split using remote Processes (TCP communications)
    • Split using a mix of all previous techniques
    • Applications are designed using an UI, the way you distribute or not components is not decided in the code but at design time
  • Extensible (Application, Service and Plugins are easy to write or extend)
  • Everything is held in database (Application graphs, Code Assemblies, Configurations, ... )
  • Local installation is just 1 executable, 1 dll and 1 config file, anything else is loaded on the fly from database (easy to start on another machine in no time)
  • Everything can be controlled using the same executable, command line support for several functions (deployment of assemblies in base, launching an application, executing a batch file, etc ...)
  • Some base UIs (Virtual Grid with blinking cells, Root form with auto generated windows list and tray icon, etc ...)

Framework.Forge (Connectivity and Business components)
  • Full featured Feed pipeline. With pluggable protocols/systems. Simple interfaces to be extensible.
    • Supports European like markets updates (book events oriented)
    • Supports American like markets updates (level II quote events oriented), with a transparent Book Builder taking in charge the emission of book events
    • Supports maket fields (vwap, open, close, etc ... )
  • Full featured Order pipeline. With pluggable protocols/systems. Simple interfaces to be extensible.
    • Send, Cancel, Modify supported
    • Enriched instrumentation for exposures, order tracking, fees tracking
    • Normalized cimematic mappings
  • Full featured Dictionary service to store (typed) Instruments. Each Instrument can have different Virtual/Test/Production Wirings (Feed and Order)
    • Typed financial instruments support (a option has a strike and maturity, an equity has a sector, etc ... No misleading fields inside your instrument)
    • Wiring of financial instruments to any feed plugin and order plugin. 3 separates wirings (Production/Test/Virtual) possible for the same instrument code
  • Full featured Strategy Engine with easy to write strategy plugins. Simple interfaces to be extensible.
    • Supports simples strategies (example: trading an asset against another, that is, old times pair trading)
    • Supports clustered strategies (example: a model made of several pair trading strategies, with the capacity to control and act on the aggregate as a whole and/or using sub components events)
    • Some illustrative strategies are given for the sake of demonstration (don't expect to make money with them though, you'll have to work a bit for that !)
  • A set of UIs to control strategies, manual trading, dictionary, etc ...

Framework.Forge.Plugins
  • A set of FIX plugins for Feed and Order, using QuickFIX C# wrappers. Certified with Ullink UL Bridge and UL Flow. Makes Open Trader ready to shoot more than 260 destinations
  • A set of MBT Feed plugins to connect to their platform (both Quote API and Navigator SDK). The MBT FIX plugin is on the way
  • A Virtual Execution plugin with slipage and hit ratio simulator. Particularly accurate to reproduce real market behavior. Useful for stat arb and algorithms working on small sizes at best limit

Last edited Aug 7, 2009 at 6:31 PM by daviddenis, version 4

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