August 2010
Beginner
251 pages
7h 20m
English
Content preview from Principles of Quantitative Development
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6
Trading Platform Design
In the previous chapters, we went through the generalities of banking and computing. We explored the need for a trading platform and the choices open to us in implementing it. Our explorations took us through the structure of a typical bank engaged in exotics trading, the associated processes and the perspectives from which various business units view the trading activities. These processes and perspectives echo the requirements of our trading platform. Finally, we looked at the technical aspects of computing, including choices of languages. We went into some detail the guiding principles behind the design considerations (such as the need for grid computing), some of which may take us away from the traditional object-oriented programming. Now it is time to delve deep into specific implementation strategies. How do we translate the requirements into the features of our trading platform?
Although this chapter will discuss specific design choices, it will stay away from absolute prescriptions. It will, instead, present implementation strategies suitable for various features of the platform as guidelines. To drive the guiding principles home, we will describe the architecture in two steps. The first one will correspond to a full-fledged trading platform, albeit limited in its scope. We can roll out a design of this kind in a matter of months with a handful of developers. The second architecture that we present has a more ambitious scope, and will take several ...
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