domain-fintech:trading-systems

Trading Systems

When to use

• Designing or reviewing an order matching engine (price-time vs pro-rata)
• Implementing FIX protocol sessions or WebSocket market data feeds
• Adding advanced order types (iceberg, FOK, IOC, trailing stop)
• Building real-time position tracking and P&L calculation (realized/unrealized)
• Implementing pre-trade risk checks with <1ms latency budget
• Optimizing for low-latency with lock-free design or kernel bypass networking

Core principles

1. Matching engine is single-threaded — deterministic, no locking, nanosecond timestamps; concurrency buys nothing here
2. Pre-trade checks are the last line of defense — all checks under 1ms or you're adding slippage for your users
3. Kill switch is non-negotiable — cancel all orders and flatten positions in one operation; no exceptions
4. Journal lines are P&L truth — running MTM is a cache; reconcile against fills at end of day
5. Binary protocols over JSON at co-location — SBE/Cap'n Proto at microsecond latency; JSON is for dashboards

Reference Files

• references/order-matching-market-data.md — price-time and pro-rata matching algorithms, order book data structure, matching engine requirements, WebSocket Level 1/2 feeds, FIX protocol sessions, market data architecture
• references/orders-positions-pnl.md — basic and advanced order types, order validation rules, real-time position tracking, position limits, realized P&L (FIFO/LIFO/weighted avg), unrealized MTM, P&L attribution
• references/risk-latency-microstructure.md — pre-trade risk checks, real-time VaR and stress testing, kill switch, in-memory processing, lock-free design (Disruptor), kernel bypass networking, market microstructure concepts