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OK. I think I (and possibly some others such as propseeker) misunderstood your earlier comments. I interpreted your previous posts as implying that you do not store order state locally at all and instead rely on making frequent data replay calls to the broker's API to request order state...

Don't know of anyone using FIX anymore. As Rosy says, it's verbose and slow. I would advise that you use your broker's API. It's likely to be optimised for the particulars of their setup and operation.

You're shitting me right? You see this everyday? Which exchanges are you trading on? The electronic version of Cheggers' SwapShop? If exchanges went down with that kind of regularity they'd soon see all their listings disappear elsewhere.

A few things occur to me... 1. If you rely on a stateful API the problem of maintaining state is just pushed one rung further up the ladder to the API technology provider. If they lose their connection to the exchange then they are going to slip out of synch just as you would if you were...

Anytime you are not flipping a coin to make a decision you are by definition going to have to make a choice about the data on which you base your decision. This in itself, whether you realise it or not, is either an explicit or implicit optimisation. In the earlier example close > open the...

It's in beta. Email them.

Thanks for the heads up. I looked at Retlang a while back. Out of curiousity, at what level do you see the performance/productivity tradeoff between C++ and C# tipping in favour of C++. As far as I have seen, unless you are operating in the space where >100ms delays severely impact your app then...

I don't need the performance of C++ so am using C#, simply because the toolset available is so much richer. The various elements of my market data analysis functionality are running on separate threads. Order management obviously runs on its own thread. Haven't done any profiling yet but with a...

OK, I can see now why you are prepared to accept the tight coupling and the maintenance overhead that this design approach brings. As you said earlier, it all depends on the required speed of execution and my needs are obviously not as great as yours. I have adopted a decoupled approach...

I'm a bit lost here. So are you saying that if your internal app logic needs to know the state of an order you put a request into the API and wait for a callback each time?

It is, but I don't want to shut any doors in the future.

Interesting. Do you use an arbitrary number for N? In running some of the wilder variety of market data through my app I've seen occasions (unscheduled news releases etc) when I could be legitimately flipping a position multiple times per second.

Thanks very much for the offer but I'm not looking for my design or code to be peer reviewed. Just looking to have a broad discussion at the conceptual level. I'd never post any proprietary materials on a public forum anyway. Just for starters it makes anything relating to intellectual property...

Totally agree. The potential for screw ups of cluster fuck magnitude are enormous when operating in this field. This is what gives me the fear as I lay awake in bed at night. Seriously. As a result I have massively simplified the orders I am using in my strategy. It may hurt my profits...

Agreed. This is essential. Until you receive a confirmation report for a particular action you must assume it has not been carried out. E.g. Any open order for which a cancellation has been generated is still working until the cancellation confirmation/rejection is received. This one of...

Yep, this is essential. I have a set of monitoring algos running in a separate process which execute an emergency shutdown of the strategy should it breach any of the operational rules. Even more essential in my mind is that any algos are monitored by a human at all times they are in...

That's what I found when I evaluated the retail software packages and is one of the reasons I decided to build my own application from scratch. The default approach that seems to be taken by these packages is that if any order placement/modification/cancellation is rejected then an exception...

Thanks Lee. Indeed, this is the module that interfaces with the FCM's trading platform and internally manages order state. It both sends and receives all messages relating to those orders. Life becomes very complex when you try to handle those situations that can arise when your...

I'm routing direct to the exchange once the order has been through the risk management module of my FCM. Doesn't really matter anyway since no broker will handle any of the order management logic for you. For instance, if an order modification request gets rejected by the exchange then they will...

Thanks Eric. I spent a few days looking at both the TradeLink and Marketcetera codebases before Christmas. To be honest, I really wasn't impressed with the quality of what I saw in the TradeLink codebase. The structure of some of the code is messy to say the least, the design approach...