Principles of Quantitative Development

6.2 ARCHITECTURE COMPONENTS

The technical requirements described above all have special significance in the context of an in-house trading platform project. In addition to these special requirements, we have all the standard requirements of any large-scale software project that also apply to a trading platform. We touched upon these generalities in our introductory chapter. Armed with the knowledge of the requirements of a trading platform, both technical and business-driven, we can begin to design a trading system ourselves. Design is the process of aligning the features of the trading platform with the business requirements, while choosing and planning around the best technology solutions to handle the technical requirements.

First, let us look at the high-level components that make up the overall architecture. They are:

1. Trade representation
2. Market representation
3. Static data management
4. Quant library
5. Trade transformations and operations
6. Settlement triggers or pathways
7. Batch processing and grid computing
8. Credit replication
9. Security and audit model
10. Documentation and support model.

While all of these components are important, the first few are more important than the rest from a design point of view because they form the foundation on which the whole trading platform stands. We will therefore look at them, and the choices open to us in implementing them, more closely.

Our eventual implementation choice is always a compromise because each option comes with its own advantages and ...