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ashioyajotham committed Jan 11, 2025
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### Architecture Components

#### 1. Data Layer
The foundation of our system, responsible for gathering and preprocessing all necessary data:

- **Market Data Stream [MD]**
- Real-time cryptocurrency price feeds
- Order book depth data
- Trade execution data
- Volume profiles

- **News Feed [NF]**
- Cryptocurrency news articles
- Social media sentiment
- On-chain metrics
- Market announcements

- **Order Book [OB]**
- Level 2 market data
- Bid-ask spreads
- Liquidity depth analysis
- Order flow imbalance

- **Cross-Exchange Data [XE]**
- Price disparities
- Liquidity differences
- Arbitrage opportunities
- Exchange-specific features

#### 2. Analysis Layer
Processes raw data into actionable insights:

- **Technical Analysis [TA]**
- Price pattern recognition
- Trend analysis
- Volume profiling
- Momentum indicators

- **Sentiment Analysis [SA]**
- News sentiment scoring
- Social media sentiment
- Market sentiment indicators
- Trend sentiment correlation

- **Microstructure Analysis [MA]**
- Order flow analysis
- Market impact estimation
- Liquidity analysis
- Tick data analysis

- **LLM Module**
- Natural language processing
- Context-aware analysis
- Multi-source integration
- Adaptive learning

#### 3. Inefficiency Detection
Identifies trading opportunities through:

- **Signal Generation**
- Sentiment-price divergence
- Order flow imbalance
- Microstructure patterns
- Cross-exchange arbitrage

- **Opportunity Scoring**
- Confidence metrics
- Execution probability
- Risk-adjusted returns
- Transaction costs

#### 4. Robo Advisory
Manages portfolio optimization and client requirements:

- **Risk Assessment [RA]**
- Client risk profiling
- Market risk analysis
- Portfolio risk metrics
- Drawdown management

- **Portfolio Analysis [PA]**
- Asset allocation
- Portfolio optimization
- Performance attribution
- Rebalancing needs

- **Tax & ESG**
- Tax-loss harvesting
- ESG scoring
- Impact investing
- Compliance monitoring

#### 5. Execution Layer
Handles trade execution and position management:

- **Position Sizing [PS]**
- Kelly criterion optimization
- Risk-based sizing
- Portfolio constraints
- Liquidity considerations

- **Risk Management [RM]**
- Position limits
- Stop-loss management
- Exposure monitoring
- VaR calculations

- **Order Execution [OE]**
- Smart order routing
- Transaction cost analysis
- Execution algorithms
- Post-trade analysis

#### 6. Monitoring
Tracks system performance and risk:

- **Performance Tracking [PT]**
- Return metrics
- Risk metrics
- Attribution analysis
- Benchmark comparison

- **Risk Analysis [RA]**
- Real-time risk monitoring
- Stress testing
- Scenario analysis
- Limit monitoring

- **Compliance [TC/EC]**
- Tax efficiency monitoring
- ESG compliance
- Regulatory requirements
- Trading restrictions

### Data Flow
1. Raw data enters through the Data Layer
2. Analysis Layer processes and enriches data
3. Inefficiency Detection identifies opportunities
4. Robo Advisory manages portfolio requirements
5. Execution Layer implements trading decisions
6. Monitoring Layer tracks performance and risk

## Project Structure
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fingpt_trader/
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