The management of orders is at the heart of the Low-Frequency trading bot’s competency.
The process has some intricacies, as it involves handling orders at the exchange as well as producing a simulation. The system must be synchronized with what happens at the exchange so that the on-screen monitoring of the trading session, the accounts, and all trading information reflects reality.
The following pages feature a chronological description of the life of an order, from the moment in which the trading system definitions of orders are read, until the accounting is done.
Once an order is created, it is maintained on each execution of the trading bot. At this point, the bot handles two parallel jobs:
In the case of forward testing and live trading sessions, the maintenance of orders involves dealing with the exchange and live orders.
In the case of backtesting and paper trading sessions, the bot simulates those interactions, while dealing with simulated orders.