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Algorithmic trading modeling

Overview: What are the four high-level requirements of a trading platform?

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o Incremental deployability : A trading platform provides means by which the new quantitative models developed or implemented within the financial institution can be easily integrated and deployed into the revenue generating work streams of the organisation.

o Live data feeds : A trading platform communicate electronically with the external world to get market data (either as live feeds or as snapshots at regular intervals) and archive snapshots of market conditions for bulk processing. Market data feeds reach the trading platform from several data providers who use dissimilar, and very often incompatible, technologies and interfaces.

o Trade persistence : A trading platform present tools to save trade data into a database and manage all the associated inception and life-cycle events. The database layer has requirements regarding performance, record-keeping integrity and security. It handles all the inception events such as cancellation, cancel and amend, reissue, novation (changing the ownership) etc., consistent with the policies of the financial institution.

o Regular processing : A trading platform facilitates and mediates all aspects of regular downstream processing, such as risk management, trade transformation, settlements, etc.

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