Principles of Quantitative Development

6.5 SUMMARY

In this chapter, we have gone through the design considerations in building the architecture of a trading platform. We first discussed general software design principles like maintainability, scalability, security, etc., and saw how they meant a bit more in the context of financial software development.

We then went through various architectural components in a trading platform, including data representations, the need for robust audit trails, batch processing, etc. We saw that we needed to leverage on some of the existing computational workflow of the bank (for credit risk management and settlement, for instance) and explored possible strategies of achieving it.

In the latter part of the chapter, we put all the pieces together to come up with a full architecture that may actually be used to develop a working trading platform for exotics or structured products trading. Finally, we looked at a more advanced architecture as a complex group of fairly autonomous database applications working in tight collaboration to achieve the objectives of the trading platform.

An architectural design, however, is only a blueprint. In order to make it a reality, we need to flesh it out with material – bricks and mortar, as it were. We have already looked at the basic computational material we will need to use, in the last chapter, where we discussed the basics of programming languages. In the next chapter, we will expand on that theme and look at higher-level structures that will help ...