StreamInsight: Market Strategy Engine + WPF
Having spend some time getting my Strategy Execution Engine working, I’ve now moved to adding to user interfaces. Having downloaded the CompositeApplicationGuidance-Feb2009.exe from here and set about creating a Visual Studio solution and modules. Ideally I want to break the market and StreamInsight logic into separate modules as this would be the case in the real world. It still seem to me that it is much too time consuming to create a skeleton Prism application.
One of the biggest problem with StreamInsight today is the fact the IObservable exists in System and Microsoft.ComplexEventProcessing.Adapters.Observable coupled with the fact that due to the fact the both .NET 4.0 and StreamInsight are not released yesterday, it’s impossible to build a .NET 4.0 StreamInsight application.
There are four areas that can now be improved in my Market Strategy Engine:
- Market Depth – Currently I use static data out of a CSV file. I ideally I need to move to a market depth generator
- Market – Currently I have an input and output adapter connected to my simple market that allows me to fill or cancel incoming orders. Ideally I need to add the concept of agents, who have a defined resource usage (cash etc). Modelling the different investor persona’s would also be one ideas; institutional, small investor etc. These agents could be based on some random distribution jumping in and out of the market. Orders in my current model are filled immediately, obviously this is wrong when compared to the real world. I suppose I could even added an AI element to the agents so there trading improves over time. The duration of time between orders probably needs to be a Poisson process
- Strategy Engine – Improvements in order throttling and order management (OMS)
- User Interface – As per above, I’m already adding a WPF front-end
Sidebar: Fermat’s Last Theorem
