Trading System Monitoring Through Logs, Diagnostics, and Reconciliation
Summary
This document describes operational checks for a systematic futures trading system. It compares monitoring displays to vehicle indicators: simple status lights, warnings, variable metrics, and interactive reports. The system logs timestamped messages by severity and source, routes them to suitable files, and can alert the operator to critical errors. Diagnostics and stored system data provide additional ways to inspect whether processes and trading activity are healthy.
The reporting approach combines scheduled text reports, manually run scripts, and interactive plots. A monitor report flags processes or data that have not updated within expected intervals. A reconciliation report checks intended positions against actual positions and broker records, compares fills, and surfaces roll status, missing forecasts, limits, manual stops, overrides, locks, and instrument trading states. The many scripts provide focused views of orders, positions, forecasts, prices, contracts, and execution diagnostics. The examples are practical design guidance, not a measured study: thresholds are tailored to the author's relatively low frequency system, and the document does not quantify how well these checks detect failures.
Key ideas
- Use logs with timestamps, severity levels, and process context to make failures easier to investigate.
- Monitor whether expected processes and data updates arrive on schedule.
- Reconcile internal positions and fills with broker records and intended positions.
- Surface trading limits, roll conditions, overrides, locks, and stopped processes in regular reports.
- Combine scheduled summaries, command line diagnostics, and interactive plots for different inspection needs.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.