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Feature Pack: YU08-execution-algo-engine

linux/mac support windows support

Status: Implemented Track: architecture Lineage role: optional Previous state: YU07-historical-tick-store

This pack defines an execution algo engine; a new execution-algo-engine component that slices a parent order into TWAP (equal time-bucketed) or VWAP (volume-weighted) child orders and submits each through order-matcher's existing order-entry and risk-gateway path; on top of the YU07-historical-tick-store baseline.

Primary intent:

  • accept a parent order (account, security, side, quantity, algo type, duration) and slice it into child orders on a schedule, with zero change to order-matcher's admission path,
  • submit every child order through the same POST /orders endpoint the web front end already uses, so the risk gateway and BLP treat it identically to a manually entered order,
  • event-source the algo engine's own parent-order schedule and observed fills so a crash resumes from its own log instead of restarting the schedule.

Core artifacts:

  • spec.md
  • requirements/functional-delta.md
  • requirements/nonfunctional-delta.md
  • research.md
  • data-model.md
  • quickstart.md
  • contracts/contract-delta.md
  • system/architecture.model.json
  • system/architecture.md
  • system/runtime-topology.md
  • system/messaging-subject-map.md
  • system/adr-030-warm-path-algo-engine-with-jetstream-event-sourcing.md
  • system/adr-031-pluggable-volume-profile-source.md
  • generation/generation-hook.md
  • generation/implementation-status.md

Target runtime behavior:

  • execution-algo-engine (new component) runs a scheduler loop submitting due child-order buckets to order-matcher, and a NATS subscriber tracking their fills.
  • Everything else (deploy/runtime harness, observability stack, every existing service) is inherited unchanged from YU07-historical-tick-store.