2. The model

The engine owns the books, positions, orders and your strategy, and runs on one thread. Network threads decode venue messages and pass them to it through lock-free rings. Hooks are never called concurrently.

Hooks are plain member functions. The engine calls on_book after a book update, on_fill after one of your orders trades and on_timer when a timer fires. Every hook is optional. A hook with a wrong signature fails the build (page 3).

You describe quotes; the engine sends orders. A hook calls ctx.set_quotes(id, quotes) with the bids and asks it wants. The engine's quote manager compares them with your resting orders and sends the new orders, cancels and replaces that make up the difference; it keeps an order whose price is within [engine] min_requote_ticks of the desired one. Every order passes pre-trade risk checks first. For anything else there are direct orders (ctx.send).

Prices, quantities, amounts and ratios are 64-bit integers with 8 decimals (Price, Qty, Notional, Ratio). 100.25_px and 5_bps are compile-time literals. Parameters are parsed without double.

A session journals each event the engine consumed and the clock at which it did. Replaying the journal through the same strategy must send the same orders, byte for byte; pages 7 and 8 check this.

venue ─► network thread ─► ring ─► engine ─► ring ─► network thread ─► venue

engine: journal ─► book ─► on_book ─► set_quotes ─► quote manager ─► risk ─► OMS

Two rules follow for hook code:

• Do not block and do not allocate. noexcept is recommended.
• Only the engine's inputs may drive decisions. Use ctx.now() for time and ctx.rng() for randomness, never the system clock or std::random_device, or replays stop matching.

Further reading: Event flow, Determinism and ADR-0009.

Next: 3. Write the strategy