Architecture

RegimeFlow is layered to keep market data ingestion, strategy logic, execution modeling, and live integration decoupled. The core runtime is C++20 with optional Python bindings.

Layering

• Common: utilities, time, config, JSON/YAML helpers.
• Data: data sources, validation, normalization, and iterators.
• Regime: feature extraction and detectors.
• Strategy: strategy contract and built-in strategies.
• Execution: slippage, commission, impact, latency models.
• Risk: limits and stop-loss logic.
• Engine: orchestrates event loop and portfolio state.
• Live: broker adapters, event bus, live engine.
• Plugins: extension interfaces for data, regime, execution, strategy, risk, metrics.

Architecture Diagram

flowchart TB
  subgraph Common
    C1[Config + Result]
    C2[Time + Types]
  end

  subgraph Data
    D1[Data Sources]
    D2[Validation]
    D3[Iterators]
  end

  subgraph Regime
    R1[Feature Extractor]
    R2[Regime Detectors]
  end

  subgraph Engine
    E1[Event Loop]
    E2[Strategy Context]
    E3[Portfolio + Metrics]
  end

  subgraph Execution
    X1[Execution Pipeline]
    X2[Slippage/Commission/Impact]
  end

  subgraph Risk
    K1[Risk Manager]
    K2[Stop-Loss]
  end

  subgraph Live
    L1[Broker Adapters]
    L2[Event Bus]
  end

  Common --> Data
  Common --> Regime
  Data --> Engine
  Regime --> Engine
  Engine --> Execution
  Execution --> Engine
  Risk --> Engine
  Engine --> Live
  Live --> Engine

Module Map

• include/regimeflow/common/* foundational types and config.
• include/regimeflow/data/* data sources and validation.
• include/regimeflow/regime/* feature extraction and detectors.
• include/regimeflow/strategy/* strategy contract and factory.
• include/regimeflow/execution/* cost and execution models.
• include/regimeflow/risk/* risk limits and stop-loss.
• include/regimeflow/engine/* backtest engine and portfolio.
• include/regimeflow/live/* live engine and adapters.
• include/regimeflow/plugins/* plugin interfaces and registry.

Extension Points

Plugins can extend:

• Data sources (data_source)
• Regime detectors (regime_detector)
• Execution models (execution_model)
• Strategies (strategy)
• Risk managers (risk_manager)
• Metrics (metrics)

See reference/plugin-api.md and reference/plugins.md.