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Trading, clearing and settlement systems, where correctness is measured in audit trails and the constraints are latency, determinism and an immovable settlement calendar.
21 published across 7 topics.
Order types and validation, routing, matching by price-time priority, fills and execution reports.
An equity order is validated and risk-checked at the broker, routed to a venue, matched by price-time priority into one or more fills reported back as execution reports, allocated to end accounts, novated to a clearing house that becomes the counterparty, and finally settled against cash at the custodian on T+1.
Book the fill. The venue decides what happened, so a fill against a cancelled order means your state was wrong, and the position, risk headroom and client record all have to be corrected from the venue's version. The design fix is to make cancelled a state only the venue can grant.
The gateway owns state you cannot drain, namely resting orders at the venue and sequenced sessions, so a rolling deployment leaves a mixed fleet holding live obligations. Verification has to be a position reconciliation rather than a health check, rollback does not undo executions, and dead code must be deleted rather than disabled.
Feed handling at volume, sequencing and gap recovery, order-book reconstruction, and replay.
Keep a book per venue and recompute the composite top on each update, because independent feeds have no global ordering. Unequal latency will show crossed prices that never existed at one instant, so each venue's contribution needs a liveness clock and the composite needs a degraded state.
An order book is price levels in price order, each holding a time-ordered queue of orders, plus an ID index so a cancel is O(1); the hard parts are that cancels dominate the flow, the feed must be gap-checked and recoverable, and replay must be deterministic and allocation-free. It also connects matching engine to the point an interviewer is testing.
Establish that both are talking about the same instrument, then about the same series. Adjusted histories are rewritten by every subsequent corporate action, tickers get reused, official closing prices are not last trades, and the currency conversion is a second series with all the same problems.
Novation, the clearing house, margin, T+1, and settlement failure.
Nothing settles, because delivery versus payment moves both legs or neither, and the trade stays open and is re-attempted rather than cancelled. You then choose between partial delivery, borrowing to cover and being bought in, while entitlements arising during the fail belong to the buyer through a market claim.
Novation tears up the bilateral contract and replaces it with two contracts facing the clearing house, which then guarantees performance and charges for that guarantee in initial and variation margin. A missed margin call is a default; a seller who cannot deliver leaves the obligation open.
Because shortening the cycle removes the window that netting depends on. Settle each trade on its own and gross obligations replace net ones, so cash and stock must be in place trade by trade, sequencing starts to matter, and settlement risk is traded for intraday liquidity risk.
Positions and holdings, corporate actions, and reconciling records against a custodian.
Lending transfers legal title, so the lender receives a manufactured payment from the borrower and cannot vote the lent stock. Whether a pledge does the same depends on whether it is a title transfer or a security interest. The client still needs one economic position, with the legal breakdown reported underneath it.
By storing when something became true separately from when you learned it, so the old report stays reproducible while the corrected position takes effect from the event date. The engineering work is in the fan-out to everything already derived from the wrong quantity, not in the entitlement posting itself.
A position is what you have traded, a holding is what the custodian says you own, and they legitimately differ by unsettled trades and pending entitlements. Reconciliation compares both against the custodian's statements, and corporate actions break it when an election deadline is missed. Use this custody answer to show the decision, trade-off, and evidence rather than a memorised definition.
Pre-trade limits, real-time exposure, margin calculation, and the kill switch.
Reconcile the positions before questioning the model, because most differences are in the population and not the model. Then attribute the remainder in layers, prices, parameters, netting scope and add-ons, and treat margin as a contractual number you must reproduce rather than a risk number you can dispute.
Pre-trade risk checks must stay on the order path without adding unacceptable latency. Keep static checks in-process, maintain bounded counters for local exposure and grant budgets for global limits, with a kill switch that fails safe. It also connects market access to the point an interviewer is testing.
Evaluate architectural trade-offs in Risk & Margin between consistency, throughput, operational complexity, and data durability at scale.
Allocation, confirmation and affirmation, trade repair, and the middle-office workflow.
The control has to sit before the irreversible boundary, and the strongest one is that the payment is derived from a recorded obligation rather than typed and approved. Four eyes on the same screen is not a second opinion, and an out-of-pattern check that runs in the morning reconciliation is running after the money has gone.
Work out which irreversible boundaries the trade has already crossed, because each one changes the remedy from an amendment to a cancel and rebook to a real market transaction. Then correct by reversal and rebooking with the original trade date, never by editing the record in place. Use this trade amendment answer to show the decision, trade-off, and evidence rather than a memorised definition.
Middle office post-trade processing turns an executed block trade into allocatable, confirmed and affirmed trades ready for clearing and settlement. Allocation, enrichment, confirmation, affirmation and repair queues are controls, not paperwork.
Execution algorithms, smart order routing, and transaction-cost analysis.
Establish first whether the book is genuinely empty or your market data has gone stale, then stop making the problem worse: your own prints are feeding the volume measure you throttle against. The correct behaviour is to pause against a price constraint and escalate, because leaving a residual unfilled is a decision the trader owns.
Queue position stops being worth anything and displayed size becomes the thing that earns fills, so you quote larger than your true intention, reprice freely because there is no queue to lose, and cap total displayed size against real risk appetite because a single large aggressor can fill all of it.
An execution algorithm trades off market impact against timing risk while working an order towards a stated benchmark, so it is optimising cost relative to that benchmark rather than price. Transaction-cost analysis judges it by decomposing slippage from the benchmark and comparing like flow with like.