https://blog.turboawesome.win/tags/trading/ Recent content in Trading on Bits, Trades & Systems Hugo en-us Wed, 19 Aug 2015 11:28:00 +0000 https://blog.turboawesome.win/2015/08/scala-akka-actors-for-trading-workflows-promises-and-pitfalls/ Wed, 19 Aug 2015 11:28:00 +0000 https://blog.turboawesome.win/2015/08/scala-akka-actors-for-trading-workflows-promises-and-pitfalls/ We evaluated Akka actors for a workflow orchestration layer in the trading system. The actor model's isolation and message-passing properties were genuinely useful — and its failure modes were genuinely painful. https://blog.turboawesome.win/2015/07/risk-aggregation-in-real-time-design-constraints-from-the-dealing-desk/ Wed, 08 Jul 2015 13:20:00 +0000 https://blog.turboawesome.win/2015/07/risk-aggregation-in-real-time-design-constraints-from-the-dealing-desk/ Aggregating live risk across thousands of positions in real time is a different problem than batch risk. The constraints from the dealing desk — sub-second freshness, continuous availability, correct arithmetic — shaped everything. https://blog.turboawesome.win/2015/03/building-a-trade-blotter-that-doesnt-lie-under-load/ Wed, 04 Mar 2015 10:12:00 +0000 https://blog.turboawesome.win/2015/03/building-a-trade-blotter-that-doesnt-lie-under-load/ A trade blotter shows traders their current positions and recent executions. When the system is under load, naive implementations show stale, inconsistent, or missing data. Here's the design that kept our blotter honest. https://blog.turboawesome.win/2014/06/slippage-spread-and-rejection-engineering-around-market-microstructure/ Wed, 25 Jun 2014 14:08:00 +0000 https://blog.turboawesome.win/2014/06/slippage-spread-and-rejection-engineering-around-market-microstructure/ The difference between a quoted price and the price you actually trade at is not a rounding error — it's a measurable, systematic cost with engineering-level causes and engineering-level mitigations. https://blog.turboawesome.win/2013/10/order-book-implementation-data-structures-for-price-level-aggregation/ Wed, 16 Oct 2013 14:22:00 +0000 https://blog.turboawesome.win/2013/10/order-book-implementation-data-structures-for-price-level-aggregation/ An order book aggregates bids and offers at each price level. The implementation choices — sorted structures, cache behaviour, update semantics — have significant performance implications at market data rates. https://blog.turboawesome.win/2012/08/fix-protocol-101-what-every-finance-engineer-must-know/ Tue, 07 Aug 2012 09:44:00 +0000 https://blog.turboawesome.win/2012/08/fix-protocol-101-what-every-finance-engineer-must-know/ FIX is ugly, verbose, and everywhere in electronic trading. Understanding its structure, quirks, and failure modes is unavoidable if you work in financial software. https://blog.turboawesome.win/2012/03/understanding-the-fx-spot-market-from-an-engineers-chair/ Wed, 21 Mar 2012 10:44:00 +0000 https://blog.turboawesome.win/2012/03/understanding-the-fx-spot-market-from-an-engineers-chair/ What actually happens when a currency is traded: the market structure, the participants, and the data flows that an engineer building FX systems needs to understand before writing a line of code.