The case for Akka actors in a trading system sounds compelling: isolated mutable state (no shared memory, no locks), message-driven concurrency, built-in supervision hierarchies for fault tolerance, and location transparency for distributed deployments. We used Akka for the order lifecycle workflow layer — the component that orchestrated the state machine from order received to fill confirmed. Here’s what we learned. ...
Risk in a batch system is a solved problem: collect all positions, apply valuation models, sum the results, write a report. The dealing desk doesn’t want a report. They want a number that’s correct right now, updates in under a second when a trade comes in, and doesn’t go stale when a price moves. That’s a different problem. ...
The trade blotter is the dashboard every trader stares at during the day: live positions, recent fills, P&L, risk utilisation. It’s the interface between the trading system and the humans who run it. The blotter has an interesting engineering property: it’s not in the critical path (orders execute without waiting for the blotter to update), but it has to be consistently correct and fast-updating, because traders make decisions based on what it shows. A blotter that shows stale positions leads to over-trading; one that misses fills leads to missed hedges. ...
A trading system that quotes a price is not the same as a trading system that executes at that price. Between the quote and the execution lies a gap — measured in time, measured in pips, measured in rejected orders — that engineering choices directly affect. Understanding slippage and rejection from the systems perspective is not just finance knowledge. It shapes how you design price feeds, order routing, and latency measurement. ...
An order book is a data structure that maintains the set of outstanding buy and sell orders at each price level. For an FX market maker, maintaining a locally consistent view of the book at each LP (liquidity provider) is the foundation everything else sits on. At 100,000 book updates per second across 50 currency pairs, the implementation choices matter. ...
FIX (Financial Information eXchange) protocol was designed in 1992 and looks like it. Tag-value pairs delimited by the ASCII SOH character (0x01). Fields in a prescribed order that parsers nonetheless receive out of order. A specification document larger than most novels. And yet: FIX is the universal language of electronic trading. Every exchange, every prime broker, every ECN speaks it. You will encounter it. ...
When I joined the trading firm straight out of university, I could write Java, profile a JVM, and argue about data structures. I had no idea how currency markets worked. My tech lead gave me one piece of advice: “Read everything you can about how the market actually works before you write any code. It’ll save you from building the wrong thing twice.” This is what I wish someone had explained to me on day one. ...