Technology — ttTrader Trading Framework

Technology Stack

C++23 CMake 3.31+ Boost.JSON Eigen (ML) WebSocket REST APIs Lock-Free Queues Custom Decimal DLL Plugins Multi-Threaded MSVC / GCC / Clang Windows & Linux

System Architecture

ttTrader is built around a modular, event-driven architecture. Each component communicates through a central event dispatcher using lock-free queues — enabling true parallelism without synchronization overhead.

Exchange Manager

Market Data Mgr

Order ManagerLive / Sim

WebSocket ServerFrontend API

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⚡ Event Dispatcher Lock-Free · Multi-Producer · Multi-Consumer

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Algo #1DLL Plugin

Algo #2DLL Plugin

Algo #NDLL Plugin

Each algo compiles independently — hot-swappable without restarting other strategies

Market Data Pipeline

Every tick, every order book update, every trade — captured, normalized, and delivered to your strategy through a zero-copy, lock-free pipeline.

🔄

Trades (Tick Data)

Every trade: price, size, timestamp, and taker direction (buy/sell aggressor). Cumulative Volume Delta (CVD) is tracked on every tick for volume-pressure analysis. Circular buffer stores 16,384 most recent trades.

📖

Best Bid & Offer

Real-time BBO with price, size, spread tracking, and microsecond timestamps. 16,384-entry circular buffer for short-term microstructure analysis. Spread history maintained for real-time spread percentile calculations.

📚

Order Book (L2)

Full depth-of-book: up to 20 price levels per side in live trading, 5 levels during playback. Each level carries price + aggregated size. Book pressure and imbalance metrics computable at every update.

Algorithm Development

Strategies are implemented as independent DLL plugins. Derive from algoFramework_c, override the callbacks you need, and compile. No boilerplate, no ceremony.

Override What You Need

→

onMarketdataTick()

Every trade with price, size, CVD, taker direction

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onMarketdataBbo()

Best bid/ask with integrated spread tracking

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onMarketdataBook()

Full order book snapshot — 20 levels per side

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onMarketdataOhlcClose()

OHLC bar completion with configurable timeframes

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onOrderFill()

Execution confirmation with price, size, fee breakdown

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onTimer()

Periodic callbacks for heartbeat, polling, or scheduled logic

						// Your strategy — minimal boilerplate
						class MyAlgo : protected
						algoFramework_c {
						protected:
						void onMarketdataTick(
						instrumentInfo_s* instr,
						singleTradeInfo_s* trade
						) override {
						// CVD divergence check
						if (detectDivergence(instr)) {
						m_orderManager.orderCreateLimit(
						instr, EOID_BUY_OPEN_LONG,
						size, limit, userId, "CVD entry"
						);
						}
						}
						};
					

Order & Risk Management

📝

Order Types

Type	Description
Market	Execute immediately at best available price
Limit	Resting order at specified price level
Stop-Market	Trigger → market execution
Stop-Limit	Trigger → limit order placement

TIF: GTC, FOK, IOC, GTD — all supported.

🛡️

Risk Controls

Method	Usage
Fixed Risk	Absolute USD risk per trade
Percent / BPS	Risk as % of account or basis points
Min Size × Multiplier	Scaled to instrument liquidity
Stop-Loss Engine	OHLC-based, indicator-based, or ATR-multiplier stops

Pyramiding: Multiple concurrent positions per instrument with independent risk tracking.

Indicators & Machine Learning

Built-in technical indicators plus the ability to integrate custom ML models.

📐

Built-in Indicators

✓

SMA, EMA, WMA, HMA, ZLHMA

✓

MACD (with histogram)

✓

RSI (Relative Strength Index)

✓

Bollinger Bands (configurable σ)

✓

ATR — Average True Range

✓

Average Bar Range

✓

Trading Range (High/Low)

All indicators accept OHLC data from any timeframe. Add custom indicators by implementing the indicatorCore interface.

🧠

ML & Advanced Analytics

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Eigen Integration

Linear algebra, PCA, regression, Kalman filters for signal processing and regime detection — all header-only, zero runtime dependency.

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Online Learning

Strategies can use online gradient descent or recursive least squares to adapt parameters in real-time based on PnL feedback.

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Local LLM Integration

Connect to local LLM inference (llama.cpp) via IPC for regime classification and meta-decision making — no cloud dependency.

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Neural Networks

Implement simple feed-forward NNs using Eigen matrices for pattern recognition on market microstructure features.

Playback & Backtesting

Record live market data, then replay it through the exact same event pipeline your strategy uses in production. No separate backtesting framework — no discrepancies.

Binary Recording Format (.ttpb v2)

Compact, efficient binary format stores trades, BBO, and order book snapshots (up to 5 levels).

Replay at original speed, accelerated, or stepped — full control over the simulation timeline. The built-in simulation engine fills orders against recorded BBO with configurable fee models, matching each exchange's actual maker/taker fee schedule.

Live Market → [.ttpb Record] → Disk

Disk → [Playback Engine] → Same Event Pipeline
→ Your Algo (unchanged)
→ Sim Engine fills orders

Exchange Integration

Each exchange implements a standardized protocol interface. Adding a new exchange means implementing exchangeProtocol.h — the rest of the framework doesn't change.

Exchange	Data	Execution	Fee Note
Binance	Trades, BBO, Book	Market, Limit	Standard maker/taker
Bybit	Trades, BBO, Book	Market, Limit	Standard maker/taker
OKX	Trades, BBO, Book	Market, Limit	Standard maker/taker
Bitfinex	Trades, BBO, Book	Market, Limit	Standard maker/taker
Poloniex	Trades, BBO, Book	Market, Limit	Standard maker/taker
Kraken	Trades, BBO, Book	Market, Limit	Standard maker/taker
Bitstamp	Trades, BBO, Book	Market, Limit	Standard maker/taker
Bitget	Trades, BBO, Book	Market, Limit	Standard maker/taker
Hyperliquid	Trades, BBO, Book	Market, Limit	Standard maker/taker
Paradex	Trades, BBO, Book	Market, Limit	Standard maker/taker
Aster	Trades, BBO, Book	Market, Limit	Standard maker/taker
Lighter	Trades, BBO, Book	Market, Limit	Standard maker/taker
Phemex	Trades, BBO, Book	Market, Limit	Standard maker/taker
Interactive Brokers	Trades, BBO, Book	Market, Limit	Standard maker/taker

All exchanges provide futures/perpetual instruments. Spot, inverse, and vanilla futures supported where available.

Deployment Flexibility

🖥️

Local System

Run on your development machine or dedicated trading server. Full Windows and Linux support. Low barrier to entry for strategy development and testing.

☁️

AWS / Cloud

Deploy on EC2 instances in regions close to exchange data centers. Auto-scaling not needed — a single well-provisioned instance handles all strategies.

📍

Collocated

For latency-sensitive strategies: deploy on bare metal in exchange colocation facilities. The lock-free architecture ensures predictable, minimum latency.

Technology Deep Dive