Algorithmic Trading 2007
A few years ago (pre- CEP/ESP buzz) I was a consultant at a US investment banks working on a team that built an automated trading system that traded on the Boston Option Exchange. At the time Coral8/StreamBase/etc weren’t available, so the team build its own event engine that consumed various internal and external data feeds, handled PIP/RFQ’s and offered the traders the ability to dynamic change the pricing model. Apart from the challenges of latency, messages per second etc there’s also the challenge of providing the traders with a view as to what is happening in a fast paced market.
Reflector 5 released