The purpose of the order manager is to gather the orders from all the trading strategies and to communicate this order with the market. It will check the validity of the orders and can also keep track of the overall positions and PnL. It can be a safeguard against mistakes introduced in trading strategies.
This component is the interface between the trading strategies and the market. It will be the only component using two inputs and two outputs. The constructor of this class will take four arguments representing these channels:
class OrderManager: def __init__(self,ts_2_om = None, om_2_ts = None, om_2_gw=None,gw_2_om=None): self.orders=[] self.order_id=0 self.ts_2_om = ts_2_om self.om_2_gw = om_2_gw self.gw_2_om = gw_2_om ...
