Execution Algo Engine
A new execution-algo-engine component slicing parent orders into TWAP/VWAP child orders submitted through order-matcher's existing order-entry path.
- Inherits architectural baseline from:
YU07-historical-tick-store - Generated from:
system/architecture.model.json - Canonical flows:
../001-baseline-uncontainerized-parity/system/end-to-end-flows.md
Architecture Diagram
Node Catalog
| Node | Kind | Label | Notes |
|---|---|---|---|
algo_client | actor | REST caller | Submits a parent order via POST /algo/orders and polls progress. |
execution_algo_engine | service | execution-algo-engine | Schedules TWAP/VWAP buckets, submits child orders, tracks fills, event-sources its own state. |
algo_event_stream | service | TRADERX_ALGO_ENGINE (JetStream) | Durable append log of parent-order lifecycle events; replayed on boot for crash recovery. |
price_publisher | service | Price Publisher | Existing last-price feed; queried per child order to derive a marketable limit price. |
order_matcher | service | order-matcher (BLP + risk gateway) | Existing order-entry endpoint; children are indistinguishable from manually entered orders. |
nats | service | NATS | Existing broker; execution-algo-engine adds a subscriber on /accounts/*/orders, publishes nothing to core NATS. |
tick_store_parquet | service | Tick Store (Parquet, GCS) | YU07's unified ticks store; queried by the DuckDB volume-profile source for VWAP. |