57. Real-Time Trade Log Streaming and Analytics System¶
Overview¶
The Real-Time Trade Log Streaming and Analytics System provides comprehensive real-time collection, processing, and analysis of all trading-related events including order submissions, trade executions, cancellations, failures, and anomalies. The system implements stream processing capabilities for data cleaning, enrichment, anomaly marking, and real-time analytics to monitor execution quality and trading performance across all strategies and venues.
Core Capabilities¶
- Real-Time Event Collection: Continuous streaming of all trading events and logs
- Stream Processing Pipeline: Real-time data cleaning, enrichment, and anomaly detection
- Execution Quality Analytics: Latency distribution, fill rates, slippage analysis, price deviation tracking
- Anomaly Detection: Automatic marking of unusual trading patterns and performance issues
- Stream Storage: High-throughput, low-latency storage using Kafka/NATS and TimescaleDB
- Real-Time Monitoring: Live dashboards for execution quality and trading performance
- Integration Capabilities: Seamless integration with monitoring systems and risk management
System Architecture¶
Microservice: trade-log-stream-center¶
services/trade-log-stream-center/
├── src/
│ ├── main.py
│ ├── collector/
│ │ ├── event_collector.py
│ │ ├── trade_event_collector.py
│ │ └── order_event_collector.py
│ ├── processor/
│ │ ├── event_cleaner.py
│ │ ├── event_enricher.py
│ │ ├── anomaly_marker.py
│ │ └── stream_processor.py
│ ├── storage/
│ │ ├── log_storage.py
│ │ ├── kafka_producer.py
│ │ └── timescaledb_writer.py
│ ├── analyzer/
│ │ ├── real_time_analyzer.py
│ │ ├── quality_metrics.py
│ │ ├── latency_analyzer.py
│ │ └── slippage_analyzer.py
│ ├── api/
│ │ ├── log_stream_api.py
│ ├── config.py
│ └── requirements.txt
├── Dockerfile
└── tests/
Core Components¶
1. Event Collector¶
Real-time collection of trading events:
class EventCollector:
def __init__(self, trade_event_collector, order_event_collector):
self.trade_event_collector = trade_event_collector
self.order_event_collector = order_event_collector
self.event_stream = []
self.collection_stats = {
"total_events": 0,
"trade_events": 0,
"order_events": 0,
"last_collection": None
}
async def start_collection(self):
"""Start collecting all trading events"""
# Start trade event collection
await self.start_trade_collection()
# Start order event collection
await self.start_order_collection()
# Start system event collection
await self.start_system_collection()
async def start_trade_collection(self):
"""Start collecting trade execution events"""
trade_collector = TradeEventCollector()
await trade_collector.start_monitoring()
async for trade_event in trade_collector.get_trade_events():
await self.process_trade_event(trade_event)
async def start_order_collection(self):
"""Start collecting order lifecycle events"""
order_collector = OrderEventCollector()
await order_collector.start_monitoring()
async for order_event in order_collector.get_order_events():
await self.process_order_event(order_event)
async def start_system_collection(self):
"""Start collecting system-level events"""
system_collector = SystemEventCollector()
await system_collector.start_monitoring()
async for system_event in system_collector.get_system_events():
await self.process_system_event(system_event)
async def process_trade_event(self, trade_event):
"""Process a trade execution event"""
event_record = {
"timestamp": datetime.now().isoformat(),
"event_type": "trade_execution",
"event_id": trade_event.get("trade_id"),
"order_id": trade_event.get("order_id"),
"symbol": trade_event.get("symbol"),
"side": trade_event.get("side"),
"quantity": trade_event.get("quantity"),
"price": trade_event.get("price"),
"amount": trade_event.get("amount"),
"account_id": trade_event.get("account_id"),
"strategy_id": trade_event.get("strategy_id"),
"venue": trade_event.get("venue"),
"counterparty": trade_event.get("counterparty"),
"execution_time": trade_event.get("execution_time"),
"raw_data": trade_event
}
# Add to event stream
await self.add_to_event_stream(event_record)
# Update statistics
self.collection_stats["trade_events"] += 1
self.collection_stats["total_events"] += 1
async def process_order_event(self, order_event):
"""Process an order lifecycle event"""
event_record = {
"timestamp": datetime.now().isoformat(),
"event_type": "order_lifecycle",
"event_id": order_event.get("event_id"),
"order_id": order_event.get("order_id"),
"symbol": order_event.get("symbol"),
"side": order_event.get("side"),
"order_type": order_event.get("order_type"),
"quantity": order_event.get("quantity"),
"price": order_event.get("price"),
"status": order_event.get("status"),
"action": order_event.get("action"), # new, modify, cancel, fill
"account_id": order_event.get("account_id"),
"strategy_id": order_event.get("strategy_id"),
"venue": order_event.get("venue"),
"raw_data": order_event
}
# Add to event stream
await self.add_to_event_stream(event_record)
# Update statistics
self.collection_stats["order_events"] += 1
self.collection_stats["total_events"] += 1
async def process_system_event(self, system_event):
"""Process a system-level event"""
event_record = {
"timestamp": datetime.now().isoformat(),
"event_type": "system_event",
"event_id": system_event.get("event_id"),
"event_category": system_event.get("category"),
"severity": system_event.get("severity"),
"message": system_event.get("message"),
"component": system_event.get("component"),
"raw_data": system_event
}
# Add to event stream
await self.add_to_event_stream(event_record)
async def add_to_event_stream(self, event_record):
"""Add event to processing stream"""
# Add to in-memory stream
self.event_stream.append(event_record)
# Keep stream manageable
if len(self.event_stream) > 10000:
self.event_stream = self.event_stream[-10000:]
# Update last collection time
self.collection_stats["last_collection"] = datetime.now().isoformat()
# Trigger stream processing
await self.trigger_stream_processing(event_record)
async def trigger_stream_processing(self, event_record):
"""Trigger stream processing pipeline"""
# Send to stream processor
await self.stream_processor.process_event(event_record)
async def get_recent_events(self, minutes: int = 60) -> List[Dict]:
"""Get recent events from stream"""
cutoff_time = datetime.now() - timedelta(minutes=minutes)
recent_events = [
event for event in self.event_stream
if datetime.fromisoformat(event["timestamp"]) > cutoff_time
]
return recent_events
async def get_collection_statistics(self) -> Dict:
"""Get collection statistics"""
return {
**self.collection_stats,
"stream_size": len(self.event_stream),
"collection_active": True
}
2. Event Cleaner¶
Data cleaning and standardization:
class EventCleaner:
def __init__(self):
self.cleaning_rules = self.load_cleaning_rules()
self.field_mappings = self.load_field_mappings()
async def clean_event(self, raw_event: Dict) -> Dict:
"""Clean and standardize event data"""
# Extract basic fields
cleaned_event = {
"timestamp": self.standardize_timestamp(raw_event["timestamp"]),
"event_type": self.standardize_event_type(raw_event["event_type"]),
"event_id": self.clean_event_id(raw_event.get("event_id")),
"order_id": self.clean_order_id(raw_event.get("order_id")),
"symbol": self.standardize_symbol(raw_event.get("symbol")),
"side": self.standardize_side(raw_event.get("side")),
"quantity": self.clean_numeric_field(raw_event.get("quantity")),
"price": self.clean_numeric_field(raw_event.get("price")),
"amount": self.clean_numeric_field(raw_event.get("amount")),
"account_id": self.clean_account_id(raw_event.get("account_id")),
"strategy_id": self.clean_strategy_id(raw_event.get("strategy_id")),
"venue": self.standardize_venue(raw_event.get("venue")),
"status": self.standardize_status(raw_event.get("status")),
"action": self.standardize_action(raw_event.get("action")),
"order_type": self.standardize_order_type(raw_event.get("order_type")),
"cleaned_at": datetime.now().isoformat()
}
# Apply cleaning rules
cleaned_event = await self.apply_cleaning_rules(cleaned_event)
# Validate cleaned event
if await self.validate_cleaned_event(cleaned_event):
return cleaned_event
else:
# Mark as invalid
cleaned_event["valid"] = False
cleaned_event["validation_errors"] = self.get_validation_errors(cleaned_event)
return cleaned_event
def standardize_timestamp(self, timestamp) -> str:
"""Standardize timestamp format"""
if isinstance(timestamp, str):
try:
# Parse and standardize
dt = datetime.fromisoformat(timestamp.replace('Z', '+00:00'))
return dt.isoformat()
except:
return datetime.now().isoformat()
else:
return datetime.now().isoformat()
def standardize_event_type(self, event_type: str) -> str:
"""Standardize event type"""
event_type_mapping = {
"trade": "trade_execution",
"execution": "trade_execution",
"fill": "trade_execution",
"order": "order_lifecycle",
"order_event": "order_lifecycle",
"system": "system_event",
"error": "system_event"
}
return event_type_mapping.get(event_type.lower(), event_type.lower())
def clean_numeric_field(self, value) -> float:
"""Clean numeric fields"""
if value is None:
return 0.0
try:
return float(value)
except (ValueError, TypeError):
return 0.0
def standardize_symbol(self, symbol: str) -> str:
"""Standardize symbol format"""
if symbol:
return symbol.upper().strip()
else:
return ""
def standardize_side(self, side: str) -> str:
"""Standardize side field"""
if side:
side_lower = side.lower()
if side_lower in ["buy", "b", "long"]:
return "buy"
elif side_lower in ["sell", "s", "short"]:
return "sell"
return ""
async def apply_cleaning_rules(self, cleaned_event: Dict) -> Dict:
"""Apply specific cleaning rules"""
# Remove negative quantities
if cleaned_event["quantity"] < 0:
cleaned_event["quantity"] = abs(cleaned_event["quantity"])
# Remove negative prices
if cleaned_event["price"] < 0:
cleaned_event["price"] = 0.0
# Ensure amount is calculated if missing
if cleaned_event["amount"] == 0 and cleaned_event["quantity"] > 0 and cleaned_event["price"] > 0:
cleaned_event["amount"] = cleaned_event["quantity"] * cleaned_event["price"]
return cleaned_event
async def validate_cleaned_event(self, cleaned_event: Dict) -> bool:
"""Validate cleaned event"""
# Check required fields
required_fields = ["timestamp", "event_type", "event_id"]
for field in required_fields:
if not cleaned_event.get(field):
return False
# Check numeric fields
numeric_fields = ["quantity", "price", "amount"]
for field in numeric_fields:
if cleaned_event.get(field) is not None and cleaned_event[field] < 0:
return False
return True
def get_validation_errors(self, cleaned_event: Dict) -> List[str]:
"""Get validation errors"""
errors = []
if not cleaned_event.get("timestamp"):
errors.append("Missing timestamp")
if not cleaned_event.get("event_type"):
errors.append("Missing event type")
if cleaned_event.get("quantity", 0) < 0:
errors.append("Negative quantity")
if cleaned_event.get("price", 0) < 0:
errors.append("Negative price")
return errors
def load_cleaning_rules(self) -> Dict:
"""Load cleaning rules"""
return {
"remove_negative_values": True,
"standardize_timestamps": True,
"validate_required_fields": True,
"auto_calculate_amount": True
}
def load_field_mappings(self) -> Dict:
"""Load field mappings"""
return {
"event_types": {
"trade": "trade_execution",
"execution": "trade_execution",
"order": "order_lifecycle"
},
"sides": {
"b": "buy",
"s": "sell",
"long": "buy",
"short": "sell"
}
}
3. Event Enricher¶
Data enrichment with derived metrics:
class EventEnricher:
def __init__(self, latency_calculator, slippage_calculator):
self.latency_calculator = latency_calculator
self.slippage_calculator = slippage_calculator
self.enrichment_cache = {}
async def enrich_event(self, cleaned_event: Dict) -> Dict:
"""Enrich event with derived metrics"""
enriched_event = cleaned_event.copy()
# Calculate latency for trade executions
if enriched_event["event_type"] == "trade_execution":
latency = await self.calculate_execution_latency(enriched_event)
enriched_event["execution_latency_ms"] = latency
# Calculate slippage for trade executions
if enriched_event["event_type"] == "trade_execution":
slippage = await self.calculate_slippage(enriched_event)
enriched_event["slippage_bps"] = slippage
# Calculate fill rate for orders
if enriched_event["event_type"] == "order_lifecycle":
fill_rate = await self.calculate_fill_rate(enriched_event)
enriched_event["fill_rate"] = fill_rate
# Add market context
market_context = await self.get_market_context(enriched_event)
enriched_event["market_context"] = market_context
# Add strategy context
strategy_context = await self.get_strategy_context(enriched_event)
enriched_event["strategy_context"] = strategy_context
# Add venue context
venue_context = await self.get_venue_context(enriched_event)
enriched_event["venue_context"] = venue_context
# Add enrichment timestamp
enriched_event["enriched_at"] = datetime.now().isoformat()
return enriched_event
async def calculate_execution_latency(self, event: Dict) -> float:
"""Calculate execution latency in milliseconds"""
order_id = event.get("order_id")
if not order_id:
return 0.0
# Get order submission time
order_submission_time = await self.get_order_submission_time(order_id)
if not order_submission_time:
return 0.0
# Calculate latency
execution_time = datetime.fromisoformat(event["timestamp"])
submission_time = datetime.fromisoformat(order_submission_time)
latency_ms = (execution_time - submission_time).total_seconds() * 1000
return max(0.0, latency_ms)
async def calculate_slippage(self, event: Dict) -> float:
"""Calculate slippage in basis points"""
symbol = event.get("symbol")
execution_price = event.get("price")
if not symbol or not execution_price:
return 0.0
# Get expected price (mid price at order time)
expected_price = await self.get_expected_price(symbol, event.get("order_id"))
if not expected_price or expected_price == 0:
return 0.0
# Calculate slippage in basis points
slippage_bps = ((execution_price - expected_price) / expected_price) * 10000
return slippage_bps
async def calculate_fill_rate(self, event: Dict) -> float:
"""Calculate fill rate for order"""
order_id = event.get("order_id")
if not order_id:
return 0.0
# Get order details
order_details = await self.get_order_details(order_id)
if not order_details:
return 0.0
original_quantity = order_details.get("original_quantity", 0)
filled_quantity = order_details.get("filled_quantity", 0)
if original_quantity == 0:
return 0.0
fill_rate = filled_quantity / original_quantity
return min(1.0, max(0.0, fill_rate))
async def get_market_context(self, event: Dict) -> Dict:
"""Get market context for event"""
symbol = event.get("symbol")
timestamp = event.get("timestamp")
if not symbol or not timestamp:
return {}
# Get market data at event time
market_data = await self.get_market_data_at_time(symbol, timestamp)
return {
"bid": market_data.get("bid", 0),
"ask": market_data.get("ask", 0),
"spread": market_data.get("spread", 0),
"volume": market_data.get("volume", 0),
"volatility": market_data.get("volatility", 0)
}
async def get_strategy_context(self, event: Dict) -> Dict:
"""Get strategy context for event"""
strategy_id = event.get("strategy_id")
if not strategy_id:
return {}
# Get strategy information
strategy_info = await self.get_strategy_info(strategy_id)
return {
"strategy_name": strategy_info.get("name", ""),
"strategy_type": strategy_info.get("type", ""),
"risk_level": strategy_info.get("risk_level", ""),
"target_latency": strategy_info.get("target_latency", 0)
}
async def get_venue_context(self, event: Dict) -> Dict:
"""Get venue context for event"""
venue = event.get("venue")
if not venue:
return {}
# Get venue information
venue_info = await self.get_venue_info(venue)
return {
"venue_name": venue_info.get("name", ""),
"venue_type": venue_info.get("type", ""),
"average_latency": venue_info.get("average_latency", 0),
"reliability": venue_info.get("reliability", 0)
}
async def get_order_submission_time(self, order_id: str) -> Optional[str]:
"""Get order submission time"""
# This would query order database
# For now, return placeholder
return None
async def get_expected_price(self, symbol: str, order_id: str) -> Optional[float]:
"""Get expected price at order time"""
# This would query market data at order time
# For now, return placeholder
return None
async def get_order_details(self, order_id: str) -> Optional[Dict]:
"""Get order details"""
# This would query order database
# For now, return placeholder
return None
4. Anomaly Marker¶
Automatic anomaly detection and marking:
class AnomalyMarker:
def __init__(self):
self.anomaly_rules = self.load_anomaly_rules()
self.anomaly_history = []
async def mark_anomalies(self, enriched_event: Dict) -> Dict:
"""Mark anomalies in enriched event"""
marked_event = enriched_event.copy()
anomalies = []
# Check latency anomalies
latency_anomaly = await self.check_latency_anomaly(marked_event)
if latency_anomaly:
anomalies.append(latency_anomaly)
# Check slippage anomalies
slippage_anomaly = await self.check_slippage_anomaly(marked_event)
if slippage_anomaly:
anomalies.append(slippage_anomaly)
# Check size anomalies
size_anomaly = await self.check_size_anomaly(marked_event)
if size_anomaly:
anomalies.append(size_anomaly)
# Check price anomalies
price_anomaly = await self.check_price_anomaly(marked_event)
if price_anomaly:
anomalies.append(price_anomaly)
# Check timing anomalies
timing_anomaly = await self.check_timing_anomaly(marked_event)
if timing_anomaly:
anomalies.append(timing_anomaly)
# Add anomaly information to event
if anomalies:
marked_event["anomalies"] = anomalies
marked_event["has_anomalies"] = True
marked_event["anomaly_count"] = len(anomalies)
marked_event["anomaly_severity"] = self.calculate_anomaly_severity(anomalies)
else:
marked_event["has_anomalies"] = False
marked_event["anomaly_count"] = 0
marked_event["anomaly_severity"] = "none"
# Add marking timestamp
marked_event["anomaly_marked_at"] = datetime.now().isoformat()
return marked_event
async def check_latency_anomaly(self, event: Dict) -> Optional[Dict]:
"""Check for latency anomalies"""
latency = event.get("execution_latency_ms", 0)
threshold = self.anomaly_rules["latency_threshold_ms"]
if latency > threshold:
return {
"type": "high_latency",
"severity": "medium",
"description": f"Execution latency {latency}ms exceeds threshold {threshold}ms",
"value": latency,
"threshold": threshold
}
return None
async def check_slippage_anomaly(self, event: Dict) -> Optional[Dict]:
"""Check for slippage anomalies"""
slippage = abs(event.get("slippage_bps", 0))
threshold = self.anomaly_rules["slippage_threshold_bps"]
if slippage > threshold:
return {
"type": "high_slippage",
"severity": "high",
"description": f"Slippage {slippage}bps exceeds threshold {threshold}bps",
"value": slippage,
"threshold": threshold
}
return None
async def check_size_anomaly(self, event: Dict) -> Optional[Dict]:
"""Check for size anomalies"""
quantity = event.get("quantity", 0)
symbol = event.get("symbol", "")
if symbol:
avg_size = await self.get_average_trade_size(symbol)
threshold = self.anomaly_rules["size_threshold_multiplier"]
if avg_size > 0 and quantity > avg_size * threshold:
return {
"type": "large_size",
"severity": "medium",
"description": f"Trade size {quantity} exceeds {threshold}x average ({avg_size})",
"value": quantity,
"threshold": avg_size * threshold
}
return None
async def check_price_anomaly(self, event: Dict) -> Optional[Dict]:
"""Check for price anomalies"""
price = event.get("price", 0)
symbol = event.get("symbol", "")
if symbol and price > 0:
market_context = event.get("market_context", {})
bid = market_context.get("bid", 0)
ask = market_context.get("ask", 0)
if bid > 0 and ask > 0:
spread = ask - bid
mid_price = (bid + ask) / 2
threshold = self.anomaly_rules["price_deviation_threshold"]
price_deviation = abs(price - mid_price) / mid_price
if price_deviation > threshold:
return {
"type": "price_deviation",
"severity": "high",
"description": f"Price deviation {price_deviation:.2%} exceeds threshold {threshold:.2%}",
"value": price_deviation,
"threshold": threshold
}
return None
async def check_timing_anomaly(self, event: Dict) -> Optional[Dict]:
"""Check for timing anomalies"""
timestamp = datetime.fromisoformat(event["timestamp"])
# Check for after-hours trading
if self.is_after_hours(timestamp):
return {
"type": "after_hours_trading",
"severity": "low",
"description": "Trading activity detected outside normal hours",
"value": timestamp.strftime("%H:%M"),
"threshold": "09:00-17:00"
}
# Check for weekend trading
if self.is_weekend(timestamp):
return {
"type": "weekend_trading",
"severity": "low",
"description": "Trading activity detected on weekend",
"value": timestamp.strftime("%A"),
"threshold": "Monday-Friday"
}
return None
def calculate_anomaly_severity(self, anomalies: List[Dict]) -> str:
"""Calculate overall anomaly severity"""
if not anomalies:
return "none"
severities = [anomaly["severity"] for anomaly in anomalies]
if "high" in severities:
return "high"
elif "medium" in severities:
return "medium"
else:
return "low"
def is_after_hours(self, timestamp: datetime) -> bool:
"""Check if timestamp is after hours"""
hour = timestamp.hour
return hour < 9 or hour > 17
def is_weekend(self, timestamp: datetime) -> bool:
"""Check if timestamp is on weekend"""
return timestamp.weekday() >= 5
async def get_average_trade_size(self, symbol: str) -> float:
"""Get average trade size for symbol"""
# This would query historical data
# For now, return placeholder
return 1000.0
def load_anomaly_rules(self) -> Dict:
"""Load anomaly detection rules"""
return {
"latency_threshold_ms": 1000, # 1 second
"slippage_threshold_bps": 50, # 50 basis points
"size_threshold_multiplier": 10, # 10x average
"price_deviation_threshold": 0.01, # 1%
"after_hours_start": "17:00",
"after_hours_end": "09:00"
}
API Design¶
Log Stream API¶
@router.get("/log_stream/recent")
async def get_recent_logs(minutes: int = 60):
"""Get recent log entries"""
logs = await event_collector.get_recent_events(minutes)
return {
"logs": logs,
"total_count": len(logs),
"time_period_minutes": minutes,
"timestamp": datetime.now().isoformat()
}
@router.get("/log_stream/statistics")
async def get_log_statistics():
"""Get log stream statistics"""
stats = await event_collector.get_collection_statistics()
return {
"collection_stats": stats,
"processing_stats": await stream_processor.get_processing_stats(),
"storage_stats": await log_storage.get_storage_stats()
}
@router.get("/log_stream/quality_metrics")
async def get_quality_metrics(hours: int = 24):
"""Get execution quality metrics"""
metrics = await real_time_analyzer.get_quality_metrics(hours)
return {
"time_period_hours": hours,
"metrics": metrics,
"timestamp": datetime.now().isoformat()
}
@router.get("/log_stream/anomalies")
async def get_anomalies(hours: int = 24):
"""Get recent anomalies"""
anomalies = await anomaly_marker.get_recent_anomalies(hours)
return {
"anomalies": anomalies,
"total_count": len(anomalies),
"severity_breakdown": {
"high": len([a for a in anomalies if a["severity"] == "high"]),
"medium": len([a for a in anomalies if a["severity"] == "medium"]),
"low": len([a for a in anomalies if a["severity"] == "low"])
},
"time_period_hours": hours
}
@router.get("/log_stream/latency_analysis")
async def get_latency_analysis(hours: int = 24):
"""Get latency analysis"""
analysis = await real_time_analyzer.get_latency_analysis(hours)
return {
"time_period_hours": hours,
"analysis": analysis,
"histogram": await real_time_analyzer.get_latency_histogram(hours)
}
@router.get("/log_stream/slippage_analysis")
async def get_slippage_analysis(hours: int = 24):
"""Get slippage analysis"""
analysis = await real_time_analyzer.get_slippage_analysis(hours)
return {
"time_period_hours": hours,
"analysis": analysis,
"distribution": await real_time_analyzer.get_slippage_distribution(hours)
}
Frontend Integration¶
Trade Log Stream Dashboard¶
const TradeLogStreamView: React.FC = () => {
const [recentLogs, setRecentLogs] = useState<LogEntry[]>([]);
const [qualityMetrics, setQualityMetrics] = useState<QualityMetrics | null>(null);
const [anomalies, setAnomalies] = useState<Anomaly[]>([]);
const [latencyAnalysis, setLatencyAnalysis] = useState<LatencyAnalysis | null>(null);
return (
<div className="trade-log-stream-dashboard">
{/* Real-time Log Stream */}
<LogStreamPanel
logs={recentLogs}
onLogSelect={handleLogSelect}
/>
{/* Quality Metrics */}
<QualityMetricsPanel
metrics={qualityMetrics}
/>
{/* Latency Analysis */}
<LatencyAnalysisPanel
analysis={latencyAnalysis}
/>
{/* Slippage Analysis */}
<SlippageAnalysisPanel
analysis={qualityMetrics?.slippage}
/>
{/* Anomaly Detection */}
<AnomalyDetectionPanel
anomalies={anomalies}
onAnomalySelect={handleAnomalySelect}
/>
{/* Execution Quality Trends */}
<ExecutionQualityTrendsPanel
metrics={qualityMetrics}
/>
{/* Stream Statistics */}
<StreamStatisticsPanel
logs={recentLogs}
/>
{/* Performance Monitoring */}
<PerformanceMonitoringPanel
metrics={qualityMetrics}
/>
</div>
);
};
Implementation Roadmap¶
Phase 1: Core Collection (Weeks 1-2)¶
- Implement event collectors
- Set up stream processing pipeline
- Create basic data cleaning
Phase 2: Enrichment & Analysis (Weeks 3-4)¶
- Develop data enrichment capabilities
- Implement anomaly detection
- Build real-time analytics
Phase 3: Storage & Integration (Weeks 5-6)¶
- Set up Kafka/NATS streaming
- Implement TimescaleDB storage
- Create monitoring integrations
Phase 4: Optimization & Scaling (Weeks 7-8)¶
- Performance optimization
- Scalability improvements
- Advanced analytics features
Business Value¶
Strategic Benefits¶
- Execution Quality Monitoring: Real-time visibility into trading performance
- Anomaly Detection: Early identification of trading issues and market manipulation
- Performance Optimization: Data-driven insights for system improvements
- Regulatory Compliance: Comprehensive audit trail for regulatory requirements
Operational Benefits¶
- Real-Time Monitoring: Live tracking of all trading activities
- Automated Analysis: Continuous quality assessment and anomaly detection
- Stream Processing: High-throughput, low-latency data processing
- Comprehensive Logging: Complete record of all trading events and analysis
Technical Specifications¶
Performance Requirements¶
- Event Processing: < 10ms for event processing
- Stream Latency: < 100ms end-to-end latency
- Storage Throughput: > 100,000 events/second
- Query Performance: < 1s for historical queries
Analytics Capabilities¶
- Latency Analysis: Distribution, percentiles, trends
- Slippage Analysis: Average, distribution, venue comparison
- Fill Rate Analysis: Success rates, partial fills, cancellations
- Anomaly Detection: Multi-dimensional anomaly identification
Integration Requirements¶
- Kafka/NATS: High-throughput message streaming
- TimescaleDB: Time-series optimized storage
- Prometheus/Grafana: Monitoring and visualization
- Risk Management: Real-time risk trigger integration
This Real-Time Trade Log Streaming and Analytics System provides institutional-grade trade event processing and analysis, enabling comprehensive execution quality monitoring and real-time performance optimization, similar to the systems used by top-tier exchanges and market makers like Citadel Securities and Jump Trading.