The Waverules API is designed specifically to interact with algorithmic trading strategies. There is no need to maintain ticket identifiers. Instead, each individual strategy, or “bot”, specifies its desired market exposure using a target book and submits that target book to the API. The API determines whether any of the working orders currently in inventory can be used to satisfy the target book or need to be canceled and whether any new orders need to be submitted to an exchange. The API preserves book position and allows each “bot” to simply focus on it’s theoretical pricing models and not have to deal with low level order management tasks.
The API is implemented by loading the Waverules DLL into the users customized application on startup. In the Simulation environment the exchange matching engines are emulated and the market data can originate from historical or live market data feeds. In the Production environment the DLL interacts with the exchange gateways on the same server or across a network.