Lido

Summary

Scalable stock trading infrastructure designed for use by algos

Features

• Communication with multiple brokers, e.g. TdAmeritrade, Kraken
• Multiple connections to the same broker as needed
• Resources added as needed to handle increased load
• Brokers can change behind the scenes without impacting algos
• Designed with high availability in mind
• REST & WebSocket API

Definitions

• Broker – a broker such as tdameritrade or kraken
• Market – used to interact with exchanges without knowing which api is actually used behind the scenes
• Trader – a stock trading algo, a bot which automates stock trading algorithms
• BrokerManager – able to spin up & spin down brokers, provides status
• MarketManager – able to spin up & spin down markets, provides status
• TraderManager – able to spin up & spin down traders, provides status
• InfrastructureManager – overall status display & interaction with all Managers

Implementation

• Each service implemented with c# using combination of REST & WebSocket
• Distributed implementation
  • At each location where a duplicate implementation exists, there will be the three managers.
  • A location may have more than one implementation.
  • A new implementation may be spun up at any time as demand requires
  • An unused implementation may be flagged to no longer allow new connections and dropped afterhours
• Infrastructure Management
  • As managers are spun up they check-in with one or more InfrastructureManager(s) which provide an overall view of the whole infrastructure
  • Managers can be checked for status and monitored via WebSocket for status
• Customer
  • Once connected, a customer algo will have access to a MarketManager
  • Upon disconnection & reconnect, a customer algo will again have access to a MarketManager, but the actual servers may be different.
  • For interacting with traders a customer can manage their own traders, or use a TraderManager. TraderManager(s) can be spawned as needed, but a customer will need to be able to use the same TraderManger for each of his Traders to connect with.

Interprocess Communication

1. Traders, Markets, Brokers, upon being spawned, will checkin with their respective Manager via REST.
2. The respective Manager then will establish a WebSocket connection with the spawned service. This will be the pipe used for two-way communcation.
3. All dropped WebSocket connections are to be re-established by the party who originally created the WebSocket connection.

Active Development

Initial development phase