Design an Automated Trading System

Functional Requirements:

• Market Data Ingestion:
  • Real-time data feed from multiple financial markets.
  • Historical data retrieval for backtesting.
• Trading Strategy Implementation:
  • Support for various trading strategies (e.g., momentum, mean reversion).
  • Ability to backtest strategies using historical data.
• Order Execution:
  • Real-time order placement and execution.
  • Support for different order types (e.g., market, limit, stop-loss).
• Risk Management:
  • Implement risk management rules (e.g., stop-loss, position sizing).
  • Monitor and manage portfolio risk in real-time.
• Performance Monitoring:
  • Track and report on trading performance metrics.
  • Generate alerts for significant events or anomalies.
• User Interface:
  • Dashboard for monitoring system status and performance.
  • Interface for configuring and deploying trading strategies.

Non-Functional Requirements:

• Scalability:
  • Handle increasing volumes of market data and trades.
  • Support for multiple concurrent users and strategies.
• Reliability:
  • Ensure high availability and fault tolerance.
  • Implement failover mechanisms for critical components.
• Latency:
  • Minimize latency in data processing and order execution.
  • Ensure real-time responsiveness for market data updates.
• Security:
  • Secure data transmission and storage.
  • Implement authentication and authorization for user access.
• Compliance:
  • Adhere to financial regulations and reporting requirements.
  • Maintain audit logs for all trading activities.
• Maintainability:
  • Modular design for ease of updates and maintenance.
  • Comprehensive logging and monitoring for troubleshooting.

Constraints:

• Budget:
  • Limited budget for infrastructure and operational costs.
• Time:
  • Tight deadlines for initial deployment and feature rollouts.
• Regulatory:
  • Compliance with financial regulations and data privacy laws.
• Technology:
  • Constraints on technology stack based on existing infrastructure.