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Quant System

Architecture Refactoring: Core Service Components & Live Front-Ends

Quant system architecture refactoring: market-data / trade-return RPC broadcast, two-tier algorithm & strategy services, five core data flows, plus the web and mobile front-end interfaces of the live trading system.

#Architecture#System Design#Live Trading System

Architecture refactoring notes for the live quant system: a PUB/SUB broadcast backbone for market data and trade returns, a two-tier service split (algorithm layer / strategy layer), five clearly-defined data flows, and the web & mobile front-ends used to monitor live trading.

Core Service Components

  1. Market Data RPC Server (PUB)
    • Function: broadcasts real-time market data.
    • Subscribers: all algorithm servers, strategy servers and Record servers.
  2. Trade Confirmation RPC Server (PUB)
    • Function: broadcasts trade confirmations and order statuses.
    • Subscribers: all algorithm servers and strategy servers.
  3. Record Server
    • Function: subscribes to market data, generates candlestick charts and stores them.
    • Output: candlestick data for various time frames.

Service Tier

Algorithm Service Layer (n+1)

  • SUB: subscribes to market data and trading returns.
  • PUB: publishes position data to the strategy layer.
  • REQ: receives order requests from strategies and forwards them to the trading gateway.

Strategy Service Layer (n)

  • SUB: subscribes to market data, trading returns and position data.
  • REQ: sends order requests to the algorithmic service.

Core service components of the refactored architecture

Data Flow Description

  1. Market data flow: Market Data Source → Market Data PUB → all SUB services.
  2. Trade return data flow: Trade Settlement → Return PUB → all SUB services.
  3. Position data flow: Algorithm Service → Strategy Service.
  4. Order request flow: Strategy Service → Algorithm Service → Trading Gateway.
  5. Data logging flow: Record Server subscribes to market data → generates candlestick charts → stores.

Live Front-End Interfaces

TiDou System — web front-end interface

TiDou System — mobile front-end interface

Disclaimer: This report is a research record for educational purposes only and does not constitute investment advice. Markets carry risk.