Trading Engine

Trading Engine is a deterministic OCaml engine for replaying trading strategies.

It accepts a strict scenario, runs strategy decisions through risk, order management, execution, financing, settlement, and accounting, then writes a hash-bound JSON Lines audit journal. The same reducer supports scheduled intents and supervised external strategy processes.

Highlights

• Exact fixed-point prices, quantities, money, weights, and FX rates
• Completed-bar, conservative-bar, quote/trade, and order-book execution models
• Market, limit, stop, stop-limit, IOC, GTC, GTD, DAY, and FOK orders
• Instrument and portfolio risk, margin, short locates, recalls, and liquidation
• Multi-currency accounting, financing, settlement, fees, and corporate actions
• Deterministic event IDs, causal references, transcripts, and durable artifact publication
• Strict v1 JSON Schemas for scenarios, journals, strategy messages, diagnostics, and CLI results

Quick start

The repository uses a local opam switch.

make bootstrap
make check

Validate the canonical scenario:

opam exec -- dune exec trading-engine -- \
  --input contracts/v1/fixtures/demo.scenario.json \
  --validate-only

Replay it to a journal:

opam exec -- dune exec trading-engine -- \
  --input contracts/v1/fixtures/demo.scenario.json \
  --journal demo.journal.jsonl

Use --input-format jsonl for bounded-memory stream input. Use --capabilities for the machine-readable runtime surface and --output-format json for structured success and failure output.

External strategies

External strategies exchange one synchronous JSON Lines message at a time:

opam exec -- dune exec trading-engine -- \
  --input contracts/strategy/v1/fixtures/external.scenario.json \
  --journal external.journal.jsonl \
  --strategy-executable ./my-strategy \
  --strategy-transcript external.strategy.jsonl

The child process is supervised but not sandboxed. Protocol output belongs on standard output; strategy logs belong on standard error.

Documentation

• Architecture
• Execution model
• Scenario and journal
• Replay contract v1
• Strategy protocol v1
• Diagnostics
• Persistra integration
• Contributing
• Security

The complete documentation site is published at fallblu.github.io/trading-engine.