Trading, clearing and settlement systems, where correctness is measured in audit trails and the constraints are latency, determinism and an immovable settlement calendar.
14 published across 7 topics.
Capital markets fundamentals59 short answers on one page, for revising rather than studying.Order types and validation, routing, matching by price-time priority, fills and execution reports.
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.
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.
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.
Novation, the clearing house, margin, T+1, and settlement failure.
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.
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.
Positions and holdings, corporate actions, and reconciling records against a custodian.
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.
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.
Keep the checks in-process over precomputed state so each is bounded arithmetic rather than a lookup, partition limit state by the key order flow already uses, and push anything needing a global view onto a drop-copy aggregator that grants budgets downwards. Add a kill switch that works when nothing else does.
Allocation, confirmation and affirmation, trade repair, and the middle-office workflow.
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.
The block is allocated across underlying accounts, enriched with settlement and fee detail, confirmed by the broker and affirmed by the client so both sides agree the economics, and anything that does not match is worked in a repair queue. The middle office exists because that agreement is a control, not a formality.
Execution algorithms, smart order routing, and transaction-cost analysis.
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.