Designing Trading Systems Volume 2
Designing Trading Systems Volume 2
Market Data, Pricing & Risk Engines
About the Book
This book provides a clear, practical exploration of the core engines that power modern trading platforms. It distills complex financial-engineering concepts into a structured manual designed for front-office software engineers, quant developers, and project/product managers who work closely with trading desks.
From market data publishing to pricing, and from risk calculations to PnL attribution, the book walks through how these systems work, how they interact, and how engineers can navigate the technical and business constraints behind them. Real-world case studies illustrate the ripple effects of even small changes—giving readers the context needed to reason about system design, trading workflows, and downstream impact.
Whether you are building new features, integrating new products, or simply trying to understand the architecture behind a trading business, this book serves as a hands-on guide to the foundational components of front-office technology.
About the Author
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Table of Contents
- Introduction
- Market Data Publisher
- The Role of Market Data
- Market Data Model
- Sample Market Data in JSON Format
- Designing Market Data Publishers
- Common Features
- Design Considerations
- Pricing Engine
- The Role of Quant Library
- General Architecture
- Common Features
- Design Considerations
- Risk & PnL Engines
- System Architecture Overview
- Common Features of a Risk Engine Workflow
- Design Considerations
- Case Studies
- Case 1 - Yield Curve Change
- Case 2 - A New Product (Pricing)
- Case 3 - A New Product (Risk & PnL)
- Conclusion
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