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BlitzTrader Core Concept

Core Concepts

This section provides an overview of the fundamental concepts and terminology essential for understanding the workings of BlitzTrader.

Mastery of these core concepts lays the foundation for leveraging the BlitzTrader API to develop proprietary strategies, exchange adapters, and trading tools within its ecosystem.

By understanding these core concepts and utilizing the provided development tools, you will be well-equipped to build and deploy algorithmic trading strategies with BlitzTrader.

Strategy

Strategy is the core component of BlitzTrader. It represents an algorithmic trading program that defines a set of instructions or rules for entering and exiting trades.

These strategies aim to:

  • Identify alpha opportunities
  • Manage market impact
  • Optimize risk

Developers implement these rules based on their market knowledge and hypotheses. Once deployed, the strategy executes trades automatically in real-time.

The BlitzTrader Strategy Development API provides an environment for building rule-based strategies, enabling:

  • Monitoring real-time market prices
  • Submitting, modifying, and cancelling orders
  • Responding to market data events
  • Receiving order and execution updates
  • Accessing positions and trade statistics

The framework decouples core strategy logic from underlying system complexities such as order routing and execution processing. This separation allows developers to focus purely on trading logic and research.

Developers can use familiar tools such as:

  • Microsoft Visual Studio
  • C# (.NET Framework)

This allows usage of:

  • IntelliSense
  • Debugging tools
  • Breakpoints
  • Step execution

These features help refine strategies during simulation and testing.

Strategy Instance

Click to expand Strategy Instance details

A Strategy Instance is a programmable component configured within the BlitzTrader platform. It behaves similarly to an object instantiated from a class at runtime.

Its usability depends on system administrator permissions and role assignments provided to trading users.

Once enabled, trading users can:

  • Allocate tradable instruments
  • Configure strategy parameters
  • Build a portfolio of strategies

This process is known as Strategy Instance creation.

BlitzTrader retains each Strategy Instance and preserves its state, including:

  • Trade statistics
  • Positions
  • Execution data

The lifecycle of a Strategy Instance continues as long as associated instruments remain active or until it is explicitly deleted.

In intraday trading scenarios, traders typically create a new Strategy Instance each day to ensure:

  • Clean trade statistics
  • Improved performance tracking

Administrator

The administrator has the authority to:

  • Create trading users
  • Assign strategies
  • Configure exchange segments
  • Define risk constraints

Trading User

A trading user logs into the BlitzTrader dashboard to manage and control automated trading strategies.

Each running Strategy Instance is owned and operated by a trading user.