Advice on the implementation of a real-time trading system [closed]

He is not a broker, you can't really interact with any exchange directly. He needs to use some bank (which will already do 99% of what he is implementing).

Without knowing exactly how the market systems work, this is a toy, he should have talked to someone BEFORE writing any code. Things are way more complex and simpler than it looks. It's extremely simple to use bank services to do that for you and close to impossible for a developer to just jumpt into writing trading software without a bank backing it.

The backtester is designed to also be a trading engine. You feed zipline data in "events" where each event is a point in time. Zipline doesn't care if the events are live or replayed from a database - it processes the data and executes any trades in the order book.

The tricky part here is that zipline is more aimed at implementing trading algorithms. You'd have to write a simple algorithm to implement the buy/sell orders coming in.

https://github.com/quantopian/zipline

https://groups.google.com/d/topic/celluloid-ruby/9RHPmYkxGtU...

https://groups.google.com/d/topic/rubysur/ZJoZxDVcRYU/discus...

I know little about stock markets but I quite like the idea of spawning workers to monitor orders after being placed. These could then update a page live to the customer.

* Actually the previous statement could be wrong: You might also want to do this on a per order basis, although they are on some sense functions of each other.

I would suggest the following:

For any market which you have a position in, subscribe to that market's price feed. I'd use zeromq for this, but there are plently of pub/sub libraries and products. The previous point implies that you are republishing your market data feed into specific channels. How they are mapped depends on many factors, but basically you want to de-multiplex the market data so that you are able to pick out one market's price data as a stream of updates from the whole.

Once you have a feed of the market with a position you can use it to transform the stream of market data to multiple streams of values. You might have new steam of PnL values for each order you have on the market, or a stream of price differences or whatever, you then re-publish those streams. Depending on how many of these derivative streams you have and the rate of data, you might want to do some downsampling too.

What I've described above is pretty similar to the market data architecture in hedge funds that I've worked at. Have a look at the ideas behind function reactive programming http://en.wikipedia.org/wiki/Functional_reactive_programming for more info on stream processing.

For the front end, you'll bridge the particular stream of data to a WebSocket (probably translating it to json or a binary data format that javascript can understand at the same time). I don't know how you do that in RoR, I'd use gevent or eventlet in the python world. You'll then need to route this data in some way to a representation of the order/position in the front end. I'd suggest looking at knockout.js, ember.js, angular or something similar as those declarative style libraries will massively reduce the complexity of your client side coding.

Last bit is visualization and there's really only one sane choice for this imho: D3 and libraries built on top of it. Look out for http://square.github.com/cubism/ and http://square.github.com/crossfilter/ and http://code.shutterstock.com/rickshaw/ for those bits.

Bit of a whirlwind here, hope it helps!

Edit: Here is a small tutorial: http://bjorngylling.com/2011-04-13/postgres-listen-notify-wi...

Of course everybody is free to act on his own karma (in a few countries) - but you will have a much better life by doing some more useful work that will benefit all human beeings, not only a few criminals that build weapons of mass murder just for the mentally poor reason of making more and more money.

Programmers haz powers to push human evolution, don´t waste your life on golden lies, that will turn into deadly dust in the end!