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Overview

RegimeFlow is a C++ core with Python bindings for regime-aware backtesting and live execution. The system is built around a single event pipeline that produces consistent behavior across backtest and live modes.

What It Provides

  • Data ingestion, validation, and canonicalization.
  • Regime detection and regime-aware analytics.
  • Strategy execution with configurable costs and risk limits.
  • Live trading via broker adapters.
  • Plugin architecture for detectors, strategies, data sources, and execution models.

System Map

```mermaid flowchart LR subgraph Data A[CSV/Tick/OrderBook] --> B[Data Sources] B --> C[Validation + Normalization] C --> D[Bar Builder] end

subgraph Engine D --> E[Event Generator] E --> F[Event Loop] F --> G[Strategy Context] G --> H[Strategy] H --> I[Execution Pipeline] I --> J[Portfolio + Metrics] end

subgraph Regime D --> R1[Feature Extractor] R1 --> R2[Regime Detector] R2 --> H R2 --> J end

subgraph Live L1[Broker Adapter] --> F F --> L1 F --> L2[Message Bus] end ```

Core Guarantees

  • One strategy contract for both backtests and live trading.
  • One event pipeline for bars, ticks, and order books.
  • One configuration surface across C++ and Python formats.

Where To Go Next

  • explanation/architecture.md
  • explanation/data-flow.md
  • explanation/event-model.md