From raw data to executed trades: 7 layers of institutional-grade automation
Our pipeline processes market data through 486 ML models and 380 strategy configurations, protected by Kelly Criterion sizing, VaR monitoring, and automatic circuit breakers. Every decision is cryptographically signed and auditable.
7-Layer Pipeline: Data to Execution
Every trade flows through a rigorous pipeline. Each layer is observable, each decision is signed, and every control must pass before capital is deployed.
Data Layer
CCXT integration with 100+ exchanges via WebSocket streaming. Tick-by-tick order book data, trade flow, and funding rates. Alternative data from NewsAPI, FRED economic indicators, and LunarCrush social sentiment.
- Real-time WebSocket streams from 100+ exchanges
- Order book depth (L2/L3 data)
- Funding rates, open interest, liquidation data
- NewsAPI, FRED, LunarCrush integrations
Analysis Layer
Feature engineering pipeline with 40+ technical indicators: MACD, RSI, Bollinger Bands, ATR, OBV, ADX, and more. VPIN calculations for toxic flow detection and microprice modeling for true value estimation.
- 40+ technical indicators (MACD, RSI, BB, ATR, OBV, ADX)
- VPIN toxic flow detection
- Microprice calculations
- Order flow imbalance analysis
Strategy Layer
Strategy Expander generates 380 configurations from 63 core templates. Categories: Technical (15), ML-driven (2), Arbitrage (3), Event-driven (1), Grid bots (5), Hedge fund replication (22), Microstructure (6), Advanced (7).
- 63 core templates → 380 configurations
- Mean reversion, momentum, arbitrage, microstructure
- Hedge fund strategy replication (22 templates)
- Performance-based auto-selection
ML Layer
Model Factory generates 486 unique configurations from 25+ base architectures: LSTM, GRU, Transformers, TCN, BiLSTM, Random Forest, XGBoost, LightGBM. Each expanded across 5 lookback windows and 8 feature sets.
- 25+ architectures: LSTM, Transformers, TCN, XGBoost
- 5 lookback windows × 8 feature sets
- Automatic hyperparameter optimization
- Ensemble methods and model stacking
Risk Layer
Kelly Criterion position sizing (0.25-0.5 fractional), dynamic leverage caps (3x crypto, 2x stocks), VaR monitoring, drawdown throttling, correlation limits, and automatic circuit breakers.
- Kelly Criterion (0.25-0.5 fractional sizing)
- VaR monitoring with dynamic leverage
- Drawdown throttling and circuit breakers
- Correlation limits across positions
Execution Layer
Adaptive smart order routing splits flow across venues. Real-time slippage estimation, market impact modeling, and order splitting algorithms. Latency-optimized execution with microsecond precision.
- Multi-venue smart order routing
- Slippage estimation and market impact modeling
- TWAP, VWAP, POV execution algorithms
- Latency optimization < 5ms
Monitoring Layer
Signed telemetry for every decision. Cryptographic audit trails, real-time P&L tracking, latency monitoring, and automated alerting. Full post-trade analysis with replayable execution logs.
- Cryptographically signed audit trails
- Real-time P&L and latency monitoring
- Automated alerting and incident response
- Replayable execution logs
486 ML Configurations
Our Model Factory generates 486 unique model configurations by expanding 25+ base architectures across multiple time horizons and feature sets.
Deep Learning
Ensemble Methods
380 Strategy Configurations
Our Strategy Expander generates 380 unique configurations from 63 core templates across multiple categories.
Technical Strategies
15ML-Driven Strategies
2Arbitrage Strategies
3Microstructure Strategies
6Hedge Fund Replication
22Grid & Advanced
12Top 10-15 auto-activated based on Sharpe ratio, win rate, and drawdown
Institutional-Grade Safety
Multiple layers of risk controls protect your capital before profits are pursued.
Kelly Criterion Position Sizing
Fractional Kelly (0.25-0.5) with volatility scaling and confidence adjustments. Mathematically optimal bet sizing prevents overexposure while maximizing long-term geometric growth.
f* = (bp - q) / bWhere f* is optimal fraction, b is odds, p is win probability, q is loss probability
Value at Risk (VaR) Monitoring
Real-time VaR calculations at 95% and 99% confidence intervals. Dynamic position adjustment when portfolio risk exceeds thresholds. Monte Carlo simulation for tail risk estimation.
VaR = μ - σ × z(α)95% VaR: maximum expected loss with 95% confidence
Drawdown Throttling
Automatic position reduction at 10%, 15%, and 20% drawdown levels. Complete trading halt at 24% max drawdown. Recovery protocols ensure measured re-entry after drawdown events.
Circuit Breakers
Multi-level circuit breakers for flash crash protection. Automatic pause on unusual volatility, liquidity gaps, or execution anomalies. Manual override requires dual-key authorization.
No Fake Backtests
Our backtesting methodology is designed to produce realistic, reproducible results.
All backtests include maker/taker fees, funding rates, and borrowing costs. No fantasy assumptions about zero-fee execution.
Order size-dependent slippage estimation based on historical order book depth and volume profiles. Larger orders get more slippage.
Walk-forward optimization with out-of-sample testing. Parameters are never fitted on data that would be unavailable at trade time.
Impact = σ × √(Volume/ADV). Larger trades move the market against you. We account for this in all simulations.
Validated Performance Ranges
*Performance metrics based on comprehensive backtesting with realistic transaction costs (0.1-0.5%). Past performance does not guarantee future results.
Ready to See It In Action?
Experience our 7-layer pipeline with a live demo. See real-time data, ML predictions, and risk controls in action.