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Fixed Income Trading System Architecture

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Understand the components of Trading System for Wall Street Technology Professionals

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Fixed Income Trading System Architecture

  1. 1. Fixed Income Trading Platform Architecture Khader Vali Shaik Note: Design of hypothetical system for educational purpose
  2. 2. Architecture Diagram 2
  3. 3. Technical Requirements of Trading Platform • Performance • Scalability • Fault Tolerance • Reliability/Stability • Security • Modular (options to use selected components) • Open Architecture (support for extensions) – Open APIs – Easy Integration 3
  4. 4. Functional Requirements of Trading System • Trade Capture • Market Access (D2D, D2C, Market Data) • Pricing • Risk & Portfolio Analytics • Position Management (Blotter) • Easy Integration with middle and backoffice systems 4
  5. 5. Popular FI Products • Government Bonds • Strips • Corporate Bonds • Floaters • Inflation Linked Bonds • Multi-step bonds • Futures • Bond Options • Futures Options • Swaptions • Caps and Floors • Emerging Markets etc 5
  6. 6. Front End • Users • Technologies – Traders – Excel + Vendor – Risk Management Libraries Group – C++ – Java – Operations – C# (latest – Support development) • Applications • Platforms – Trade Capture – Windows – Quote Entry – Unix (X-Windows) – Risk Analytics – Operations etc. 6
  7. 7. Application Servers • Application Servers – Pricing Engine, Risk/Analytics Engine, Position Management, Market Data Server etc • Technologies – High Performance Architecture – Java (Core Java) – C++/C# – Communication Software (TIBCO EMS, SOAP etc) – Vendor APIs (if any vendor products used) 7
  8. 8. Database • Popular Database Servers – Sybase – Oracle – MS SQL Server etc 8
  9. 9. Multi-tier Architecture • Communication Protocols – Synchronous – TCP/IP etc – Asynchronous • Messaging • Messaging – Publish/Subscribe – Point-to-point – MQ, Tibco and vendor products • Java – JMS, RMI, Sockets, WebServices etc • .Net – Remoting, WebServices etc 9
  10. 10. Design Considerations • Scalable and Powerful platform • Processing Power – complex calculations – Pricing – Analytics – Risk Calculations – P&L Calculations etc 10
  11. 11. Backoffice • Usually different from Trading Systems • Settlement • Accounting & Finance • Regulations/Compliance – Usually External Service Providers • Custodian Houses • Many vendor software products available 11
  12. 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 – Financial Mathematics/Mathematics educational background – Ph.D, MS in Math and Finance, or some certifications in finance etc. 12
  13. 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. 14. Technology Team cont.. • QA / Testing – Good understanding of Markets and Products – Excel/VBA – Good understanding of Trading – Knowledge of Risk Measures etc • 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. 15. Quant • 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. 16. Vendor Trading Platforms • Popular FI Trading Systems – Bloomberg Professional – Reuters Trading for Fixed Income – Thomson TradeWeb and many more • Key Features – Provide most of the basic features – Connectivity with Liquidity Sources – Algorithms of Analytics – Risk Measures – Support of complex products – STP (Straight Through processing) support etc 16
  17. 17. Bloomberg/Reuters Trading Systems • Full Service Trading Platforms – Trade Entry – Market Data – Risk and Portfolio Analytics etc • Connectivity – Liquidation Sources (ECNs etc) – Other Broker/Dealers (Dealer-to-Dealer D2D) – Large Clients (Dealer-to-Client D2C) 17
  18. 18. Thank You Khader Vali Shaik khaderv@yahoo.com http://www.ksvali.com 18

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