Fx interest rate arbitrage 002 --- execution robots

 

Aim

Once we spotted the opportunities, it is time to execute the strategy. This blog records some system design about how I implement the robot to automate the whole process.

System overview

 

Primary arbitrage gateway is the main interface between trader, brokers and all other secondary gateways. There could be multiple gateways connected to a single broker.

Trader can use the primary gateway through the UI to control the entire strategy, for example, time to start and stop arbitrage. The primary gateway also help trader to visualize live status ranged from P&L, position and lot size to connectivity status.

UI

Primary gateway

 

Upper part of the UI is a table showing the live status.

Trader can control the strategy when to start or stop through the button in the middle. At the bottom, there is a section for strategy inputs. Once the confirm button is click and there is data updated, the gateway will perform actions accordingly.

Secondary gateway

For secondary gateway, there is a list of live data showing the current strategy status.

 

Configuration

gateway	variable	type	description
primary	symbol_0	string
primary	symbol_1	string
primary	symbol_2	string
primary	side_0	enum
primary	side_1	enum
primary	side_2	enum
primary	lot_size	double
secondary	gateway_id	int

Sequence diagram

Registration & status updates

 

Arbitrage controls 001: start and stop

 

Arbitrage controls 002: emergency stop by secondary gateway

 

Gateway configuration and cache data

 

Message

Message type	Field name	Data type	Description
connection request	broker_name	string
	account_name	string
	id	int
connection reply	broker_name	string
	account_name	string
	success	int	0: fail, 1: success
interest arbitrage action	action	int	0: fail, 1: success
	symbol	string
	side	int	0: short, 1: success
interest arbitrage action reply	success	int	0: fail, 1: success
interest arbitrage data update	pnl	double
	lot_size	double