FIX (Financial Information eXchange) protocol was designed in 1992 and looks like it. Tag-value pairs delimited by the ASCII SOH character (0x01). Fields in a prescribed order that parsers nonetheless receive out of order. A specification document larger than most novels. And yet: FIX is the universal language of electronic trading. Every exchange, every prime broker, every ECN speaks it. You will encounter it. ...
The service started in 3 seconds in development, but the first live trade after deployment took 800ms instead of the expected sub-10ms. The second trade was fine. We couldn’t reproduce it in load tests. The culprit was classloading. The trade execution path touched 47 classes that had never been loaded before. Loading them, verifying the bytecode, and running static initialisers took 800ms — once, at first use. Understanding exactly how that happens is worth the time. ...
Three months into the job, I was given my first substantial project: build a component that subscribes to price feeds from five external venues, aggregates them into a single best-bid-offer (BBO) view per currency pair, and distributes that view to internal consumers. The spec was one page. The first implementation took two weeks. The rewrite after I measured it took another two weeks and was 40× faster. ...
When I joined the trading firm straight out of university, I could write Java, profile a JVM, and argue about data structures. I had no idea how currency markets worked. My tech lead gave me one piece of advice: “Read everything you can about how the market actually works before you write any code. It’ll save you from building the wrong thing twice.” This is what I wish someone had explained to me on day one. ...
I joined the trading desk on a Monday. By Friday I had broken the USD/JPY price feed. Not catastrophically — it was a staging environment and the feed recovered in seconds — but the experience of watching a real-time market data stream go silent because of my code was unlike anything I’d encountered at university. It crystallised something immediately: in this environment, software failures have a price tag attached. ...