High Frequency Trading Service

Event-driven trading platform for market data ingestion, strategy execution, and order execution.

AI Assistance Notice

Most of the code in this repository was written with AI assistance.

System Architecture

Event flow

1. market-data-gateway consumes exchange kline data.
2. market-data-gateway publishes kline.data events.
3. market-data-worker consumes kline.data and stores records in market_data DB.
4. strategy consumes kline.data and decides: buy, sell, or no action.
5. If execution is required, strategy publishes order_engine.place_order.
6. order-engine-gateway consumes order events and executes to exchange.
7. order-engine-gateway stores initial order history in order_engine DB.
8. order-engine-worker polls tracked orders and fetches latest execution state from exchange.
9. order-engine-worker updates order_histories status in order_engine DB.

Diagram

flowchart TB
  EX[(Exchange)]
  NATS[(NATS JetStream)]
  MDG[market-data-gateway]
  MDW[market-data-worker]
  STRAT[strategy]
  OEG[order-engine-gateway]
  OEW[order-engine-worker]
  MDB[(market_data DB)]
  ODB[(order_engine DB)]

  EX -->|kline websocket| MDG
  MDG -->|publish kline.data| NATS
  NATS -->|consume kline.data| MDW
  NATS -->|consume kline.data| STRAT
  MDW -->|insert kline| MDB
  STRAT -->|publish order_engine.place_order| NATS
  NATS -->|consume place_order| OEG
  OEG -->|execute order| EX
  OEG -->|store order history| ODB
  ODB -->|load tracked orders| OEW
  OEW -->|fetch latest order status| EX
  OEW -->|update order_histories status| ODB

Loading

Services and Use Cases

market-data-gateway

• Connects to exchange websocket stream.
• Normalizes incoming kline payload.
• Publishes kline.data to JetStream.

market-data-worker

• Consumes kline.data events.
• Persists market kline records.
• Retries failed processing (bounded by config).

strategy

• Consumes closed kline events.
• Runs strategy logic (buy/sell/hold).
• Publishes order_engine.place_order when execution is needed.

Lazy Grid Strategy

• Grid levels are unlimited by default (no hard cap).
• Optional MaxLongLevels in the lazy-grid config caps concurrent long levels; 0 means unlimited.
• strategy.lazy_grid.reset_state_on_start clears persisted lazy-grid state on startup.

order-engine-gateway

• Consumes place-order events.
• Converts order payload to exchange API format.
• Sends order and stores order history.

order-engine-worker

• Syncs order_histories records with the latest execution state from exchange.
• Fetches latest order status from exchange for tracked orders.
• Updates local order history status to keep it consistent with exchange execution result.

migrate

• Runs DB migration for market_data and order_engine.

Supported Exchanges

• Tokocrypto (currently supported).

Quick Start (Local)

1) Prerequisites

• Go 1.25+
• Docker + Docker Compose

2) Configure app

Copy config template:

copy config.yml.example config.yml

Update required values in config.yml:

• exchanges.tokocrypto.api_key
• exchanges.tokocrypto.api_secret
• api_keys[*].key

Host mapping reminder:

• Run app locally (go run): use localhost hosts.
• Run app in Docker: use compose service names (postgresql, redis, nats).

3) Start infrastructure

docker compose -f compose-dev.yaml up -d postgresql redis nats

4) Create databases

Run in PostgreSQL:

CREATE DATABASE market_data;
CREATE DATABASE order_engine;

5) Run migrations

go run . migrate --databaseName=market_data
go run . migrate --databaseName=order_engine

6) Seed market_data

INSERT INTO kline_subscriptions
(id, exchange, symbol, "interval", payload, created_at, updated_at)
VALUES
('2675c22f-d94b-4ede-bb27-5b6c375a1089', 'tokocrypto', 'TKO_IDR', '1m', '{"id": 1, "method": "SUBSCRIBE", "params": ["tkoidr@kline_1m"]}'::jsonb, '2026-02-22 13:46:45.903', '2026-02-22 13:46:45.903');

INSERT INTO symbol_mappings
(id, exchange, symbol, kline_symbol, order_symbol, created_at, updated_at)
VALUES
('4494faed-468c-46b5-b7ca-389419ad63ad', 'tokocrypto', 'TKOIDR', 'tkoidr', 'TKO_IDR', '2026-02-22 14:36:22.978', '2026-02-22 14:36:22.978');

-- Example: create TKOIDR partition
-- SELECT create_symbol_partition('TKOIDR');
-- SELECT create_month_partition('TKOIDR', 2026, 2);

7) Run services (separate terminals)

go run . market-data-gateway

go run . market-data-worker

go run . order-engine-gateway

go run . order-engine-worker

go run . strategy

Test Order API

HTTP

curl --request POST \
  --url http://localhost:9801/order-engine/v1/orders \
  --header 'Content-Type: application/json' \
  --data '{
    "api_key": "REPLACE_WITH_SECURE_API_KEY_A",
    "request_id": "e1580b74-1af6-47e4-9b90-354875f1f19z",
    "user_id": "2cb989ec-5aea-422a-bb74-d735ae5d7230",
    "order_id": "1d421596-2ff1-4798-b1b5-5336ed39122z",
    "exchange": "tokocrypto",
    "symbol": "TKO_IDR",
    "type": "LIMIT",
    "side": "BUY",
    "price": "920",
    "quantity": "30",
    "source": "http-hit",
    "strategy_id": "d9b0ba9a-db44-4bb4-b862-a60d2e0299a6",
    "is_paper_trading": true
  }'

gRPC payload example

{
  "request_id": "e1580b74-1af6-47e4-9b90-354875f1f19e",
  "user_id": "2cb989ec-5aea-422a-bb74-d735ae5d7230",
  "order_id": "1d421596-2ff1-4798-b1b5-5336ed391227",
  "exchange": "tokocrypto",
  "symbol": "TKO_IDR",
  "type": "LIMIT",
  "side": "BUY",
  "price": "920",
  "quantity": "30",
  "source": "grpc-hit",
  "strategy_id": "d9b0ba9a-db44-4bb4-b862-a60d2e0299a6",
  "is_paper_trading": true
}

TODO

• Build analytic service that consumes market data.
• Support HA deployment for all services.
• Support multiple user credentials.
• Support multiple exchanges.

Contributing

Contributions are welcome and appreciated. I am open for contributions from the community.

If you want to contribute:

• Fork this repository.
• Create a feature/fix branch.
• Make focused changes with clear commit messages.
• Open a Pull Request with a short description of the problem and solution.