NDLI: System architecture for on-line optimization of automated trading strategies

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System architecture for on-line optimization of automated trading strategies

Content Provider	ACM Digital Library
Author	Freitas, Christian Daros De Souza, Alberto Ferreira Freitas, Fabio Daros
Abstract	This work proposes a new automated trading system (ATS) architecture that supports multiple strategies for multiple market conditions through hierarchical trading signals generation employing h-signals, which are trading signals that are generated using other trading signals. The central idea of the proposed system architecture is to decompose the trading problem into a set of tasks handled by distributed autonomous agents under a minimal central coordination. We implemented the proposed ATS using a software architecture that employed a publish/subscribe communication model. In the current stage of development, we are able to run our ATS in back-test mode with moving-average crossover strategies on minute-by-minute market databases. We achieved very satisfactory performance results, processing 306.791 database rows representing more than two years of data in only 47 seconds.
Starting Page	1
Ending Page	8
Page Count	8
File Format	PDF
ISBN	9781450325073
DOI	10.1145/2535557.2535563
Language	English
Publisher	Association for Computing Machinery (ACM)
Publisher Date	2013-11-18
Publisher Place	New York
Access Restriction	Subscribed
Subject Keyword	Algorithmic trading System and software architectures Automated trading systems (ats) Stock markets
Content Type	Text
Resource Type	Article

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