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Quantitative Coding & Broker APIs

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Lesson 2/12/Quant & Broker APIs/Strategy DSL & Scripting/Vectorized Signal Pipelines12 min

Edge-Triggered Events (`crossover`) vs. Level-Triggered States (`>`)

Quant & Broker APIs

Combining state filters (`close > ema200`) with edge triggers (`crossover(rsi, 40)`) to prevent duplicate entries.

Key Topics & Tags
crossovercrossunderedge triggerstate filterdsl expressions

Core Architecture & Intuition

Combining state filters (`close > ema200`) with edge triggers (`crossover(rsi, 40)`) to prevent duplicate entries. Within the Quant & Broker APIs curriculum (Strategy DSL & Scripting → Vectorized Signal Pipelines), this topic establishes the concrete quantitative rules and execution mechanics required for live market deployment.

Professional desks never rely on ambiguous visual guesses for crossover. Instead, every entry, invalidation level, and risk parameter is defined mathematically before a single order reaches the exchange gateway.

Hover over key terms below for instant definitions: Crossover, Crossunder, and Edge Trigger. For the complete mathematical derivation and edge-case analysis, open .

1. Tick / Bar FeedWebSocket / OHLCV2. Signal EngineDSL / Vector Math3. Risk GatekeeperMargin & Kill-Switch4. Broker RouterIdempotent REST APIDeterministic Execution Pipeline: Bar-Close Evaluation → Pre-Trade Risk Validation → Broker Order Tagging
Visual architecture for Edge-Triggered Events (`crossover`) vs. Level-Triggered States (`>`) (Quant & Broker APIs / Strategy DSL & Scripting / Vectorized Signal Pipelines).
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Pro tip:Always validate crossover on closed bars and include realistic round-trip slippage + statutory taxes before deploying live capital.

Interactive Concept Breakdown

  • Crossover — Core structural driver governing edge-triggered events (`crossover`) vs. level-triggered states (`>`).
  • Crossunder — Prevents premature entries and enforces mechanical discipline across Vectorized Signal Pipelines.
  • Edge Trigger — Ensures worst-case scenario losses stay strictly within predetermined R-multiple budgets.

Step-by-Step Execution Protocol: Vectorized Signal Pipelines

  1. 1
    1. Pre-Session Calibration & Regime Check
    Measure baseline volatility and liquidity parameters for crossover prior to market open.
  2. 2
    2. Mechanical Signal Confirmation
    Wait for a completed bar close confirming the crossunder threshold—never pre-empt mid-candle.
  3. 3
    3. Risk-Normalized Sizing & Order Placement
    Compute exact lot quantity from the invalidation distance and dispatch via a Marketable Limit order.
  4. 4
    4. Post-Trade Telemetry & Audit
    Log arrival price, fill slippage, and MAE/MFE metrics against the Vectorized Signal Pipelines benchmark.

Parameters, Rules & Reference Matrix

Parameter / RuleTypeDefaultDescription
primaryThreshold*floatCalibrated per ATRCore quantitative trigger governing Edge-Triggered Events (`crossover`) vs. Level-Triggered States (`>`).
confirmationWindowbars1 closed barRequires full bar closure to eliminate intrabar repainting.
maxRiskAllocation% equity0.5% - 1.0%Maximum capital at risk if invalidation level is hit.

Implementation & Quantitative Model

crossover-operator.ts
export function crossover(currA: number, prevA: number, currB: number, prevB: number): boolean {  return prevA <= prevB && currA > currB;}

Desk Verification Checklist

Confirm before deploying live capital

  • Confirm Vectorized Signal Pipelines regime alignment before enabling entries.
  • Verify candle closure beyond the trigger threshold (no intra-bar guessing).
  • Size position strictly from the distance to the structural invalidation point.

Cross-reference standard risk definitions such as drawdown, slippage, and when auditing your logs.

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