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Roadmap

  • Structure
    • Daemon, able to emulate execution venues
      • PyInstaller executable
      • Windows/Mac/Linux
    • UI executable, able to manage the daemon
      • PyInstaller executable
      • Windows/Mac/Linux
      • PyQt5?
    • Python API module, able to manage the daemon
      • PyPI wheel
    • Communicate via JSON over TCP
  • Entities
    • Venue
      • A venue trades a collection of Instruments
      • Offers one or more Endpoints
      • Defines a collection of features:
        • Order types
        • TIFs
        • etc
    • Instrument
      • A tradable thing.
      • Has only one asset class
      • Has one or more symbols
      • Has only one associated Book
    • Book
      • Maintains a collection of orders for an instrument
      • Matches orders to generate trades
      • Can generate market data
      • Can generate drop copies
      • Associated with only one Instrument
    • Bot
      • Performs automated trading activity
      • Associated with a Book
      • Can be implemented by a plugin
    • Endpoint
      • A network endpoint
      • The thing that a client will connect to
      • Hosts zero or more Sessions
      • Associated with only one Venue
    • Session
      • A configured connection from a client to a venue
      • Defines FIX CompIDs, username, password, etc
      • A session instance is the actual socket connection
  • Add ability to define instruments
    • Different asset classes
      • Basic equity-style stuff
      • Options
      • Futures
      • FX spot
      • NDFs?
      • Crypto
    • Order types
      • Market
      • Limit
      • Pegs
      • Stops
      • Stop Limits
    • TIFs * DAY * IOC * FOK * GTD * GTC
    • Workflows
      • Taker
      • Maker
      • IOIs
      • RFQ/RFS
  • Persist config
    • File?
    • Sqlite?
  • Minimise work for v1.0

M1

  • Basic FIX 4.x protocol module
    • Single orders only
    • Drop copy
    • Market data
  • Basic simulation matching engine
    • Price-time matching
    • Taker workflow
    • Orders only (no quoting, etc)
    • Bots
      • Auto-fill
      • Auto-partial
      • Auto-reject
      • Auto-cancel
      • Partial-then-cancel
    • Activity levels
      • None (client application trading only)
      • Slow
      • Fast
  • Read configuration from file
    • Basically a script of the same operations as possible via the (future) management protocol

M2

  • Management protocol
    • REST? WSS?
    • Logon authentication
    • Read and queue data for collection
    • Timeouts
    • Heartbeats
  • Client-side API for Python
    • Use requests module?
      • Completely synchronous RPC-style.
    • Optionally, spawn simulator process in background
  • Examples using unittest & pytest

Backlog

  • Support acquiring instruments and pricing data from an external source.
    • Stream FIX (?) market data
    • Figure out how best to allow trading against those quotes/orders.
  • Add ITCH/OUCH (with SOUP TCP) support to ensure the abstraction isn't too FIX-specific
  • Add support for an RFQ workflow / matching engine.