MidasTrader

MidasTrader is a robust trading system designed for seamless transitions between backtesting and live trading without requiring changes to user code.

Note

These documentation pages are under active development and will be updated frequently as the project evolves. Some information may change often until the system reaches a stable state.

Key Components

  1. Core Engine:

    • Central to the system, the Core Engine includes:

      • Order Book: Tracks market depth and price movements.

      • Portfolio Server: Manages and tracks portfolio allocations and positions.

      • Performance Tracking: Calculates and monitors key trading metrics.

      • Order Management System: Handles order placement, modifications, and cancellations.

      • Base Strategy: A foundation for user-defined strategies.

  2. Data Engine:

    • Connects to user-defined data sources:

      • Midas Server: Access historical data via the Midas ecosystem.

      • Binary Data Files: Handles local files encoded with the Midas Binary Encoding Library.

      • External Sources: Currently supports Databento, with more integrations planned.

  3. Execution Engine:

    • Facilitates live trading by connecting to brokers:

      • Currently supports Interactive Brokers.

      • Users can configure broker details in the config.toml file.

Resources