NautilusCSharp

This repo is now archived and unmaintained. It may serve as a C# reference for any future development.

Introduction

NautilusCSharp is a back-end infrastructure suite supporting algorithmic trading operations. Flexible deployment topologies facilitate running services both embedded/local on a single machine, or distributed across a Cloud/VPC. Architectural methodologies include domain driven design, event-sourcing and messaging.

Nautilus is written entirely in C# for .NET Core and has been open-sourced from working production code. Nautilus forms part of larger infrastructure designed and built to support the trading operations of professional quantitative traders and/or small hedge funds.

The platform exists to support the NautilusTrader algorithmic trading framework with distributed services to facilitate live trading. NautilusTrader heavily utilizes Cython to provide type safety and performance through C extension modules.

https://github.com/nautechsystems/nautilus_trader

This means the Python ecosystem can be fully leveraged to research, backtest and trade strategies developed through AI/ML techniques, with data ingest, order management and risk management being handled by the Nautilus platform services.

Each Nautilus service uses a common intra-service messaging library built on top of the Task Parallel Library (TPL) Dataflow, which allows the service sub-components to connect to central message buses to fully utilize every available thread.

https://docs.microsoft.com/en-us/dotnet/standard/parallel-programming/dataflow-task-parallel-library

An efficient inter-service messaging system implemented using MessagePack serialization, LZ4 compression, Curve25519 encryption and ZeroMQ transport - allows extremely fast communication, with the API allowing PUB/SUB and fully async REQ/REP patterns.

The Order Management System (OMS) includes an ExecutionEngine with underlying ExecutionDatabase built on top of Redis, which supports the ability to manage global risk across many trader machines.

The repository is grouped into the following solution folders;

• Framework provides the domain model and common components for implementing the services.
• Services provides generic data and execution services.
• Infrastructure provides technology specific implementations. At present utilizing Redis.
• Adapters provides broker specific implementations. At present supporting FIX4.4 with FXCM.
• TestSuite provides the unit and integration tests for the codebase.

There is currently a large effort to develop improved documentation.

Values

• Reliability
• Availability
• Testability
• Performance
• Modularity
• Maintainability
• Scalability

Support

Please direct all questions, comments or bug reports to [email protected]

Copyright (C) 2015-2020 Nautech Systems Pty Ltd. All rights reserved.

https://nautechsystems.io