Lab — Trading infrastructure

The unglamorous half of a trading system

Auryon is a private multi-broker trading platform. The work focuses on the part nobody shows: order lifecycle, broker-side protective stops, position reconciliation, netting mirror, dead feed alerts, kill switches. The part where being right matters more than being fast.

Scope

• Live multi-broker execution engine: USDT-M perpetuals on Binance Futures and FX on OANDA
• Event-driven backtester validated tick by tick against the live feed
• Risk engine: exposure caps, circuit breakers, perpetual funding settlement
• ML gate in shadow production, operational tooling via Telegram / Discord

The number we're most proud of went down

An audit of the backtester uncovered two biases — both favorable to the displayed results. A trailing take-profit executed at a price the live path cannot reach, which inflated results by 37%. And a look-ahead bias in a circuit breaker, which masked three quarters of the maximum drawdown. The advertised return dropped from 18%/year to 11.1%/year. The feature the bug was flattering turned out to be costly once measured causally: it was disabled in production. Causality tests were added and every conclusion that depended on them was replayed.

Open source

Latest publication: a perpetual funding settlement module for NautilusTrader. The engine does deliver `FundingRateUpdate` as a first-class data type, but the simulated exchange never applied the cash flow — over twelve months, BTCUSDT funding averaged 3.36% annualized. The module settles each funding boundary against real Binance events, and the parity test closes to the cent.