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Architecture

How a market observation becomes a protected, attributed trade — and the loop cadence that keeps the state honest.

The trading pipeline

  1. Market data ingestion. Websocket and REST feeds bring in price, order book, funding, and open interest with explicit freshness.
  2. Feature extraction. Raw data becomes features — price action, volatility, volume, structure, microstructure — each carrying freshness and confidence.
  3. Strategy / book classification. The current market is classified into scenario books and regimes; each book is read-through and non-authoritative.
  4. Candidate generation. Books emit candidate setups. A candidate is not a trade — it must clear every downstream gate.
  5. Pre-trade risk controls. Bounded leverage, bounded concurrency, fractional Kelly sizing, minimum reward-to-risk, and minimum-notional floors are applied.
  6. EV and fee gate. The net-positive expected-value gate (after fees) enforces that a candidate is economically worth taking.
  7. Execution planning. The surviving candidate is turned into an order plan — size, order type, protection geometry.
  8. PostOnly order path. Entries are PostOnly-first (maker); a fill is confirmed before a position is considered opened.
  9. Protection attach. A guaranteed stop-loss and take-profit are attached; an unprotected position is blocked or flattened.
  10. Exchange / DB reconciliation. Exchange state and platform state are reconciled continuously so the two never silently diverge.
  11. Close classification. When a position closes, the close is classified — terminal vs deferred, clean vs dirty/ghost.
  12. Attribution. The closed trade is attributed to its book, regime, symbol, and session with realized net PnL.
  13. Evidence packet. Attributed closes accrue into the §18 evidence corpus that governs live promotion.
  14. Auto-demotion / operator review. Decaying edge is auto-demoted; live activation stays an evidence-gated, operator-owned decision.

Operating loop cadence

BiTi runs nested loops at different cadences so safety-critical state is checked continuously while heavier analysis runs less often.

  • 1-second — risk, protection, position state, exchange/DB reconciliation
  • 15-second — candidate scan, gate blockers, market freshness
  • 1-minute — Telegram digest, frontend truth, evidence progress
  • hourly — autopsy, no-trade diagnosis, calibration, blocker trends
  • daily — strategy scorecards, evidence readiness, operator packet
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