API Reference trading v#0.1.0

Modules

Trading Infrastructure - A high-performance trading library focused on order book dynamics.

Market microstructure analytics for analyzing order book dynamics.

Time series analytics for market data and order book dynamics.

Event-driven backtesting engine with realistic order book simulation.

Event structure for backtesting engine.

Portfolio management for backtesting.

Base behaviour for trading strategies.

Market data feed handler for processing real-time market data updates.

Parses market data from various feed formats.

Order matching engine that handles order execution with price-time priority.

Represents a trading order with various types and attributes.

Efficient limit order book implementation using ETS for O(log n) operations.

Represents a price level in the order book with efficient order management.

Example momentum trading strategy.