Strategy Server Overview

The Strategy Server is the runtime that hosts user-developed trading strategies. It loads the strategy JARs, manages the lifecycle of every strategy instance, distributes market data and order events to those instances, and enforces risk limits before any order leaves the process.

Responsibilities

Strategy execution

Instance management. Create, start, stop, and delete strategy instances.
Multi-threading. Distribute strategy instances across CPU cores for load balancing.

Market data distribution

MDA connections. Maintain connections to Market Data Adapters for every required instrument.
Subscription management. Subscribe to instruments on behalf of the strategies.
Event distribution. Route market-data events to the right strategy instance.

Order entry coordination

TA connections. Connect to Trading Adapters for every required account.
Order routing. Route order requests from strategies to the right adapter.
Response handling. Deliver order responses and events back to the originating strategy.

Risk management

Risk limits are configured per account and per trading instrument. The configurable limits cover order count, position size, counter-position size (for spot), and minimum order size, expressed in native units, USD, or both.

Order-count limits

maxOrderCount: maximum open orders per side (bid/ask).

Position limits

maxPosition: maximum position per side, in native units.
maxUsdPosition: maximum position per side, in USD.
maxNetPosition / maxUsdNetPosition: maximum net position for instruments with isolated positions.

Counter-position limits (spot)

maxCounterPosition / maxUsdCounterPosition: maximum quote-currency exposure, in native units or USD.

Order-size limits

minOrderSize: minimum size of an outgoing order.

Theoretical profit and loss

The Strategy Server calculates a Theoretical Profit and Loss (TPL) for every trade of every running strategy.