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Recovering Trading Positions from Execution Logs After Downtime

Article Quant Q&A · Author: Igoy
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Summary

The document describes an operational problem in automated trading: restoring the live position state after an unplanned software outage during the trading day. The team can reconstruct bought and sold quantities from its execution log, but is unsure how to determine the outstanding positions. It also records acknowledgments, which may provide another source for reconciling order state.

No recovery procedure or proposed solution is included, so the text offers a problem statement rather than a tested method. It highlights that execution records alone may not settle current state if orders were acknowledged but not fully executed, or if events occurred around the outage. A robust recovery process would need to reconcile executions, order acknowledgments, and a broker or venue position snapshot, while accounting for duplicate or delayed messages. The document does not specify its trading system, event handling, or available external records, so those details limit what can be concluded.

Key ideas

  • The problem is restoring positions after an intraday software outage.
  • Execution logs can recover bought and sold quantities, but the author finds outstanding positions harder to establish.
  • Acknowledgments are tracked and may help reconstruct order state.
  • The document asks for suggestions but provides no recovery procedure or evidence of a solution.

Tags

ExecutionRisk managementMarket microstructure
Full text
# Recreate Positions after downtime. Suggestions requested


# Recreate Positions after downtime. Suggestions requested












We are trying to be able to get back to the Position state when our software goes down unplanned during the day. So far it seems we can get all our bought and sold quantity based on execution log we keep. However to find the outstanding positions it seems a bit tricky. Any suggestions would be appreciated. We do keep track of acknowledgments.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.