Design

Main loop

Typical to most trading frameworks flumine uses an event driven design with the main thread handling these events through a FIFO queue.

• handles all events in order one by one
• runs in main

UML Diagrams

Packages

Classes

Events:

• MARKET_CATALOGUE Betfair MarketCatalogue object
• MARKET_BOOK Betfair MarketBook object
• RAW_DATA Raw streaming data
• CURRENT_ORDERS Betfair CurrentOrders object
• CLEARED_MARKETS Betfair ClearedMarkets object
• CLEARED_ORDERS Betfair ClearedOrders object

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• CLOSE_MARKET flumine Close Market update
• STRATEGY_RESET flumine Strategy Reset update
• CUSTOM_EVENT flumine Custom event update
• TERMINATOR flumine End instance update

The above events are handled in the flumine class

MarketBook Cycle

Simulation

Simulation is achieved by monkeypatching the datetime function utcnow(), this allows strategies to be simulated as if they were being executed in real time. Functions such as market.seconds_to_start and fillKill.seconds work as per a live execution.

Streams

• Single stream (market)
• As above but 'data' (flumine listener)
• Order stream
• Future work:
  • Custom stream

Strategy

• Class based
• Subscribe to streams
• Single strategy subscribes to a single market stream

Handles

• Stream reconnect
• Trading client login/logout
• Trading client keep alive
• Future work:
  • Execution
    • place/cancel/replace/update
    • controls
    • fillKill
  • Market Catalogue
  • Polling (scores/raceCard etc)
  • CurrentOrders / ClearedOrders
  • database connection/logging

notes

• market middleware (analytics/logging)
• order middleware (controls)
• paper trading
• simulation