Inside Kestrel: Building a C++ Trading Platform

A code-level tour of Kestrel, a C++20 backtesting, paper and live trading platform for NSE, BSE and MCX on the FYERS API. We animate the engine's deterministic event loop, the fill and Indian cost models, Black-Scholes and IV surfaces, backtest metrics, and the multi-process services that handle market data, orders and live-trading safety. Educational only, not financial advice.

Lessons: 26
Hours of video: 5.5
Minutes of reading: 258
Finished here: 0

Start lesson 1 Open on YouTube

#	Lesson	Video	Read
1	Kestrel in One Picture: One Engine, Three Modes	12:36	10 min
2	Kestrel Build System: CMake Modules and a Zero-Comment Rule	12:31	9 min
3	Kestrel Core Vocabulary: Ticks, IST Time and the Run Config	12:32	9 min
4	The History Store: Bar Files That Never Corrupt (Kestrel Ep. 4)	13:03	11 min
5	The Event Bus and K-Way Merge: Why Every Backtest Is Bit-Identical	12:45	10 min
6	Inside Kestrel: The Per-Bar Pipeline, Derived Bars and Expiry	12:07	10 min
7	Kestrel Alpha Framework: Interfaces, Gates and Target Positions	12:50	10 min
8	OMS and Risk: Normalise, Check, Then Send (Kestrel Code Walkthrough)	11:13	9 min
9	Positions and P&L in C++: Average Cost, Flips and Futures Variation Margin	11:45	10 min
10	The Simulated Venue: How Kestrel Fills Orders Without Lookahead	12:20	10 min
11	The Indian Cost Model: Brokerage, STT, GST and Every Fee Per Fill	13:12	10 min
12	Black-Scholes, Greeks and Implied Volatility by Bisection in C++	12:35	10 min
13	Building an IV Surface: Parity Forward, Black-76, 25-Delta Wings	12:38	9 min
14	Backtest Metrics: Welford Sharpe, Sortino and Drawdown in C++	13:16	11 min
15	Kestrel Backtest Jobs, Parameter Sweeps and Honest Walk-Forward	14:03	11 min
16	Golden Tests, Fakes and the Run Archive: Proving a Trading Engine Unchanged	14:07	11 min
17	Why Kestrel Runs as Many Processes: The Live Architecture	12:01	9 min
18	Wire Framing and Loopback Security: Inside Kestrel's Local Sockets	14:05	11 min
19	Kestrel: A Bounded HTTP Server, dlopen libcurl, and a Hand-Built WebSocket	12:56	10 min
20	Decoding the FYERS Binary Market-Data Protocol, Byte by Byte	12:55	10 min
21	One Connection, Many Traders: Inside Kestrel's Market-Data Service	12:04	9 min
22	Kestrel Broker Plumbing: Daily Login, Secret Redaction, Rate Limiters	11:11	9 min
23	Safe Order Placement: When the Broker Doesn't Answer	14:24	12 min
24	Kestrel Order Service: Sessions, Shadow Books, Crash Recovery	11:00	9 min
25	Ten Layers of Live-Trading Safety: Every Switch Before a Real Order	11:49	9 min
26	A Day in Paper Trading: Running a C++ Trading Stack, and 15 Lessons	12:33	10 min