SYSTEM SPECIFICATION
Event-Sourced Multi-Currency Execution & Edge-Stacking Engine
(Canonical Design Doc for AI Implementation)

PURPOSE & PHILOSOPHY
Purpose
Build a survivable, scalable trading and execution system that:
- makes money primarily from efficiency, restraint, and structure
- avoids prediction dependence
- remains correct under delayed settlement, partial fills, and multi-currency drift
- can be extended into higher-risk layers without breaking the core

Core Philosophy
The system does not try to be right often.
It tries to never be wrong expensively.

GLOBAL NON-NEGOTIABLES
1. Single Source of Truth
All balances, PnL, and allocations derive from an event-sourced ledger.
No module may directly mutate balances.

2. EV Gating
No action is taken unless:
expected_value > (spread + fees + slippage + safety_buffer)

3. Risk Before Return
Capital survival is prioritized over profit.
All profit estimates are meaningless if ledger integrity fails.

4. Low State Complexity
Add edges only if they do not multiply simultaneous exposure,
do not complicate settlement logic,
and do not introduce hidden leverage.

SYSTEM ARCHITECTURE OVERVIEW
External Reality (Broker / Exchange APIs)
→ Reconciliation Engine
→ Event-Sourced Ledger (Canonical Truth)
→ Projections Layer
→ Decision Engine
→ Execution Engine
→ Orders / Conversions

EVENT-SOURCED LEDGER
Purpose
Prevent balance drift, phantom profits, and hidden losses under:
- partial fills
- delayed settlement
- multi-currency activity
- multiple venues

Rule
Balances are projections.
Events are truth.

Event Schema
event_id (unique)
timestamp
venue
currency
delta_available
delta_reserved
delta_pending
reference_id
event_type
notes

Event Types
DEPOSIT
WITHDRAWAL
ORDER_PLACED
ORDER_CANCELLED
FILL_PARTIAL
FILL_COMPLETE
FEE
FX_CONVERSION
TRANSFER_INTERNAL
SETTLEMENT_ADJUSTMENT
RECONCILIATION_CORRECTION

Balance Buckets
available
reserved
pending

RECONCILIATION ENGINE
Runs on cadence.
Pulls broker balances, orders, positions.
Differences resolved via adjustment events or halt.

PROJECTIONS LAYER
Derived only from ledger.
Provides balances, exposure, equity, PnL, risk.

NETTING ENGINE
Avoid unnecessary conversions.
Net opposing deltas internally.

FX ROUTER
Currency graph.
Edge cost = spread + fees + slippage buffer.
Choose cheapest path.
Not arbitrage chasing.

EXECUTION SLICER
Split lump sums.
Execute only under favorable spreads and volatility.

DECISION ENGINE
Unison Mode:
- Max 1 position
- Best EV only

Currency Strength:
Filter only.
Never a standalone signal.

Time Filters:
Trade only in liquid windows.

Volatility Regimes:
Only one active per session.

Loss Avoidance:
Stop on loss clusters or anomalies.

EV GATING
expected_edge - all costs > 0

PROFIT VELOCITY
Recycle realized profits only.
Wins only.
Session capped.

RISK GOVERNORS
Max risk per trade
Max daily loss
Max currency exposure
Max correlation
Max positions

PARAMETER OPTIMIZATION
Grid search allowed only on stable parameters.
Walk-forward only.

PERFORMANCE EXPECTATIONS
Base system:
3–7% monthly sustainable.
8–10% exceptional.
10–20% requires explicit added risk.

FAILURE MODES
API outages
Partial fills
Settlement delay
Balance mismatch
Spread explosions
Correct response often: do nothing.

FINAL SYSTEM TRUTH
This system makes money not by being clever,
but by being correct longer than others survive.