Technical Documentation¶

System Architecture¶

Velocimex is built using a modular, event-driven architecture designed for high performance and low latency. Below is a detailed overview of the system components and their interactions:

System Architecture

Core Components¶

Market Data Sources¶

  • Direct connections to major exchanges

  • Real-time price feeds and order book updates

  • Support for multiple data formats and protocols

  • Automatic failover and redundancy

Feed Manager¶

  • Normalizes data from different sources

  • Handles connection management

  • Implements rate limiting and throttling

  • Provides unified data interface

Order Book Engine¶

  • Maintains full order book depth

  • Processes updates with nanosecond precision

  • Supports multiple order book representations

  • Provides fast lookup and updates

Strategy Engine¶

  • Plugin-based architecture for custom strategies

  • Real-time signal generation

  • Backtesting capabilities

  • Performance analytics

Order Manager¶

  • Smart order routing

  • Order lifecycle management

  • Execution algorithms

  • Position tracking

Risk Manager¶

  • Pre-trade risk checks

  • Position limits

  • Exposure monitoring

  • Circuit breakers

UI Server¶

  • Modern React-based interface

  • Real-time data visualization

  • Interactive strategy configuration

  • Performance dashboards

Performance Monitor¶

  • System metrics collection

  • Strategy performance tracking

  • Latency monitoring

  • Resource utilization

Technology Stack¶

Backend¶

  • Language: Go 1.19+

  • Framework: Custom event-driven framework

  • Database: Time-series optimized storage

  • Message Queue: High-performance message bus

Frontend¶

  • Framework: React with TypeScript

  • UI Components: ShadCN UI

  • State Management: Redux

  • Data Visualization: D3.js

Infrastructure¶

  • Containerization: Docker

  • Orchestration: Kubernetes

  • Monitoring: Prometheus + Grafana

  • Logging: ELK Stack

Performance Characteristics¶

Latency¶

  • Market data processing: < 1μs

  • Strategy execution: < 10μs

  • Order submission: < 100μs

Throughput¶

  • Market data messages: 1M+ per second

  • Order processing: 100K+ per second

  • Strategy evaluations: 50K+ per second

Scalability¶

  • Horizontal scaling for market data processing

  • Vertical scaling for order book management

  • Distributed strategy execution

Security Measures¶

Network Security¶

  • TLS 1.3 for all communications

  • API authentication with JWT

  • Rate limiting and DDoS protection

Data Security¶

  • End-to-end encryption for sensitive data

  • Secure key management

  • Regular security audits

Access Control¶

  • Role-based access control (RBAC)

  • Multi-factor authentication

  • Audit logging