Fixed Income Trading Platform Architecture

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  • 1. Fixed Income Trading Platform Architecture Khader Shaik
  • 2. Architecture 2
  • 3. Gen Reqs of Trading Platform • Reliability/Stability • Performance • Scalability • Security • Fault Tolerance • Open Architecture – Open APIs – Easy Integration 3
  • 4. Front End • Users • Technologies – Traders – Excel + Vendor Libraries – Risk Management – C++ Group – Java – Operations – C# (latest – Support development) • Applications • Platforms – Trade Capture – Windows – Unix (X-Windows) – Quote Entry – Risk Analytics – Operations etc. 4
  • 5. Application Servers • Application Servers – Pricing Engine, Risk/Analytics Engine, Market Data Server etc • Technologies – Simple High Performance Architecture – Java (Core Java) – C++/C# – Communication Software (TIBCO EMS, SOAP etc) – Vendor APIs in case vendor products, etc 5
  • 6. Database • Database – Sybase, Oracle, MS SQL Server etc – MS Access for simple Excel based single user applications 6
  • 7. Multi-tier Architecture • Communication Protocols – Synchronous – TCP/IP etc – Asynchronous • Messaging • Messaging – Publish/Subscribe – Point-to-point – MQ, Tibco etc • Java – JMS, RMI, Sockets, WebServices etc • .Net – Remoting, WebServices etc 7
  • 8. Design Considerations • Scalable and Powerful platform • Processor Power – complex calculations – Pricing – Analytics – Risk Measures 8
  • 9. Backoffice • Usually different from Trading Systems • Settlement • Accounting & Finance • Regulations/Compliance – Usually External Service Providers • Custodian Houses • Many vendor softwares available 9
  • 10. Vendor Trading Platforms • Popular FI Trading Systems – Bloomberg Professional – Full Service – Reuters Trading for Fixed Income – Full Service – Winfits (just software) etc • Differences – Provide most of the basic features – Connectivity with Liquidity Sources – Algorithms of Analytics – Risk Measures – Support of complex products – STP (Straight Through processing) 10
  • 11. Bloomberg/Reuters Trading Systems • Full Service Trading Platforms – Trade Entry – Market Data – Analytics • Connect to – Liquidation Sources (ECNs etc) – Other Broker/Dealers – Large Clients etc 11
  • 12. Technology Team • Front-end Developers – GUI developers with reasonable understanding of the products, fundamentals of Fixed Income mathematics • Pricing Engine – Back-end developers – Core language expertise (VBA, Java, C++, multi- threading, data structures, performance etc) – In-depth knowledge of Product Evaluation methods – Mathematics educational background – Ph.D, MS in math and finance, or some certifications in finance etc 12
  • 13. Technology Team cont.. • Risk Engine – Complex APIs and Application Server – Advanced Math Degree – Advanced Finance Education, Ph.D, CFA etc – Usually available in the form of APIs or Vendor product • Other Technical Skill – Platform skill – Unix scripting, architecture, performance etc 13
  • 14. Technology Team cont.. • QA / Testing – Good understanding of Markets and Products – Excel (VBA) – Good understanding of Trading – Knowledge of Risk Measures etc – Potential growth to move into Business/Support • Support Team – Provide day to day system support – Troubleshooting – Platform Knowledge (Unix scripting, excel, VBA etc) – Good business knowledge – Good Communication Skills etc. 14
  • 15. Quants • Quantitative Analysts – Financial Engineers • Role – Developing Pricing Models, Risk Models, Trading Strategies, etc – Assisting Traders in Trading Strategy development and testing – Build and Perform Regression tests, Stress tests etc 15
  • 16. Thank You Khader Vali Shaik khaderv@yahoo.com khader@orbitra.com http://www.ksvali.com 16