Algorithm Developer's Guide

This document describes how to develop, test, and deploy trading algorithms in Deltix Execution Server (Ember).

Table of Contents

Overview

Tutorial: Implementing a Simple TWAP Algorithm

• Algo Order
• Child Order
• Execution Algorithm
• Algorithm Factory
• Algorithm Deployment
• Custom Docker Image

Algorithm Lifecycle

• Algorithm States
• Shutdown Behavior
• Trading Halt

Event Handlers

• Inbound Orders
• OutBound Orders
• Market Data
• Security Master
• Timers
• Summary

Advanced Features

• Memory Allocation
• Eager Initialization
• Algorithm CPU Affinity
• Input Channels
• Output Channels
• Tracking Trading Connector Status
• Tracking TimeBase Connection Status
• TimeBase Type Loader

Order Slicing Algorithms

• Slicing Algo Order States

DMA Algorithms

Appendix

• Appendix A: Sample Implementing Order Timeout
  • Parse Custom Order Attribute
  • Schedule Order Expiration Timer
  • Order Cancellation Timer