API reference
The complete reference for Trading Strategy Engine, version 5.0.0.0, ABI 6, published as indexable HTML — one page per chapter.
Disclaimer
The Trading Strategy Engine is provided “as is”, without warranty of any kind, express or implied, including but not limited to the warranties of merchantability, fitness for a particular purpose, and non-infringement.
1. What the engine does
The Trading Strategy Engine is a high-performance backtesting and trading engine.
2. How a robot works
The engine does not execute a program you write; it runs a graph you declare.
3. Risk management
Every robot in this engine trades against a constraint, and the first architectural decision you make about a strategy is where that constraint is evaluated.
4. Input
An input is the entry node of a robot: a named, duration-stamped cache of a processed time series, built over a set of contracts on one market-data adapter.
5. Pattern
A pattern is the decision node of a robot: it observes one or more inputs, referenced by their labels, and emits a trading signal whenever its condition holds.
6. Rule
A rule is the bridge between observation and action: it listens to one event source and, on each firing, emits one fully specified instruction — an order, an amend of an in-flight order, or a whole transaction group.
7. Robot
A robot is the execution node at the top of a robot graph.
8. Account
The account is the root object of every run: all other handles are created from it, and every result is read back through it.
9. The environment
Everything a robot runs inside of — the shared library itself, the process-wide initial parameters, the contracts and currencies the engine is monomorphized for, the duration grid, thread placement.
10. The order book
The engine ships three order-book implementations, one per market-data depth level, and the export layer mirrors them behind a single handle type.
11. Timeserie tools
tse_timeserie.h exports the engine's own CSV reader and writer as first-class handles, plus the timeserie utilities the engine uses internally.
12. Examples
The examples live in a dedicated repository: github.com/andreysolovyev381/tse.
13. Appendix
This appendix collects the reference tables that the preceding chapters rely on: the numeric values of every enumeration exported by tse_enums.h, tse_duration.h and tse_log.h.