ergodicity, 基于Akka参与者的莫斯科证券交易所交易系统( http.zip

# Ergodicity ## What is Ergodicity Ergodicity is open source actor-based automated trading platform, providing tools for strategy-driven trading with the use of Level 1 and Level 2 market data. Ergodicity supports direct market-data connectivity to ["Russian Trading System" Stock Exchange](http://www.rts.ru/en/) using it's proprietary protocol [Plaza2](http://www.rts.ru/a22520/?nt=115) for real-time low-latency execution. Furthermore it provides tick-by-tick backtest engine for running the same strategies on historical data stored in [MarketDb](http://github.com/Ergodicity/marketdb) for performance analysis and optimization. Platfrom uses Scala as it's primary language and relies on Event-Driven architecture using [Akka](http://akka.io/) Actors for concurrency and scalability. ## Projects and Packages The [`MarketDb`](http://github.com/Ergodicity/marketdb) project is also a part of Ergodicity platfrom, and used for market data capture and strategies backtest * `backtest` - strategies backtesting framework * `capture` - market data capture using direct market connecitivty with RTS [CGate](http://ftp.rts.ru/pub/forts/) API * `cgate` - actor based abstraction over CGate * `core` - core components of platform: Order, OrderBook, Trade, Session etc... * `engine` - strategy execution engine * `schema` - shared project for `backtest` and `capture' with database schema ## Main Features Ergodicity is built using Event-Driven architecture. Each market data received from Stock Exchange (trade, add order, cancel order, session updates, etc.) considered as an event. Core components of a platform presented as Actors: Trading session, each stock assigned for session, each order, etc. Akka as a backbone for the platform allows to take advantage of this approach, and build platform with fault tolerance and high scalability in it's nature. ##### Example of Order Actor sealed trait OrderState object OrderState { case object Active extends OrderState case object Filled extends OrderState case object Cancelled extends OrderState } class OrderActor(val order: Order) extends Actor with FSM[OrderState, Trace] { import OrderState._ var subscribers = Set[ActorRef]() startWith(Active, Trace(order.amount, Create(order) :: Nil)) when(Active) { case Event(fill@Fill(amount, rest, _), Trace(restAmount, actions)) => dispatch(fill) if (restAmount - amount != rest) throw new IllegalOrderEvent("Rest amounts doesn't match", fill) if (restAmount - amount == 0) goto(Filled) using Trace(0, actions :+ fill) else stay() using Trace(restAmount - amount, actions :+ fill) } when(Filled) { case Event(e@Fill(_, _, _), _) => throw new IllegalOrderEvent("Order already Filled", e) } when(Cancelled) { case e => throw new IllegalOrderEvent("Order already Cancelled", e) } whenUnhandled { case Event(cancel@Cancel(cancelAmount), Trace(restAmount, actions)) => dispatch(cancel) goto(Cancelled) using Trace(restAmount - cancelAmount, actions :+ cancel) case Event(SubscribeOrderEvents(ref), trace) => trace.actions foreach (ref ! OrderEvent(order, _)) subscribers = subscribers + ref stay() } onTransition { case Active -> Filled => log.debug("Order filled") case Active -> Cancelled => log.debug("Order cancelled") } private def dispatch(action: Action) { subscribers foreach (_ ! OrderEvent(order, action)) } } ## CGate In order to compile Ergodicity projects it's required to install CGate library. Windows and linux version are available on [RTS server](http://ftp.rts.ru/pub/forts/test/CGate/). After installation you should add `$CGATE_HOME/p2bin` directory into `$Path` variable to provide access to code generation tool. Refer `project/SchemeTools.scala` for details.