Writing Strategies

Strategies in Flox are implemented by subclassing IStrategy, which provides a unified interface for receiving market data and submitting orders.

Strategy Interface

class IStrategy {
public:
  virtual ~IStrategy() = default;

  virtual void onStart();
  virtual void onStop();

  virtual void onCandle(SymbolId symbol, const Candle &candle);
  virtual void onTrade(const Trade &trade);
  virtual void onBookUpdate(const BookUpdate &bookUpdate);

  void setPositionManager(IPositionManager *manager);
  void setRiskManager(IRiskManager *manager);
  void setOrderExecutor(IOrderExecutor *executor);
  void setOrderValidator(IOrderValidator *validator);
};

Core Methods

• onStart() / onStop() — lifecycle hooks when engine starts or stops.
• onCandle(...) — receives completed candles.
• onTrade(...) — receives trade data.
• onBookUpdate(...) — receives order book updates.

These callbacks are called by the engine for each symbol the strategy is subscribed to.

Optional Components

The strategy can interact with other engine components using these setters:

• setOrderExecutor(...) — required to place orders.
• setRiskManager(...) — optional; if used, allow(order) will be checked before submission.
• setPositionManager(...) — optional; provides position tracking.
• setOrderValidator(...) — optional; if set, validate(order, reason) is called before submission.

Submitting Orders

If a strategy wants to submit an order:

if (_riskManager->allow(order) && _validator->validate(order, reason)) {
    _executor->submitOrder(order);
}

This ensures only valid and approved orders are sent to the market.

Best Practices

• Avoid heavy computations in market data callbacks.
• Keep internal state clean and minimal.
• Use position manager for stateful strategies only if needed.

Example

class MyStrategy : public IStrategy {
public:
  void onBookUpdate(const BookUpdate &update) override {
    // Trading logic
    Order o = {...};
    if (GetOrderValidator() && !GetOrderValidator()->validate(o, _reason)) return;
    if (GetRiskManager() && !GetRiskManager()->allow(o)) return;
    GetOrderExecutor()->submitOrder(o);
  }
};