Market data
Equity, index and options data, captured and normalized in real time.
Platform
Software we write and run ourselves
Market data capture, the historical archive, backtesting, execution and reconciliation are all written in-house. Each decision is logged with its timestamped inputs and the rule that fired.
01Components
The main pieces
- Market data
- Archive
- Strategy definitions
- Backtesting
- Replay ladder
- Execution
- Reconciliation
Archive
Market history, including option quotes, as it was known at the time.
Strategy definitions
Each strategy is defined once and runs unchanged in research, paper and live.
Backtesting
Full option chains, replayed in parallel across machines.
Execution and reconciliation
Order placement and lifecycle, with fills reconciled against the broker.
Monitoring
Services log to a central event journal, run continuous health checks and can be stopped by hand.
02Replay ladder
Six test modes before live
Each mode swaps a research stand-in for production code. When a backtest and live results disagree, the first mode where the gap appears points to the layer at fault.
Each mode adds one production layerReplay ladder
- Mode 1 DiscoveryFast, broad evaluation over point-in-time history
- Mode 2 ScreeningFull strategy rules, fast enough for broad research
- Mode 3 IntegrationProduction code replaces research stand-ins
- Mode 4 ReplayProduction order handling, fills modeled from archived quotes
- Mode 5 SystemThe full production stack, run on history
- Mode 6 SimulationReal-time pace, monitored the same way as live
- Live ProductionThe live market and the broker