Fixed Income Trading System

TAF Co. has developed a fixed income trading system for one of the world’s largest investment banks. Our client’s bond traders used an array of complex software systems for bond pricing, portfolio monitoring, trade execution, and risk management. This web of legacy systems was impossible to scale up and automate with execution and trading strategies, thus limiting their competitiveness in the electronic trading marketplace. TAF Co. was approached to design and implement an electronic execution system that allows the dynamic allocation of orders onto multiple markets and supports the pricing, execution, and risk assessment of synthetic user-defined execution “strategies” (similar to exchange-supported ones). An important requirement was compliance with an in-house software framework and third-party exchange connectivity software. TAF Co. used its vast experience in real-time applications to devise a solution that affords scalable processing of live market data from a dozen exchanges with enough zest to afford on-the-fly routing decisions.

The system was designed and coded in C++, and used SOAP for communication with its GUIs for maximum flexibility in implementing end-users’ requests. The system’s internal inter-server communications used proprietary third-party protocols.

The advantages of this system could best be described in the words of a trader who was among its first users: “It does exactly what I expect”.

Options Order Routing System

TAF Co’s client for the Order Routing System was one of the world’s largest hedge funds. Our client manages a substantial flow of retail and institutional options orders and, prior to engaging TAF Co.’s technology, used a third-party proprietary system to make routing decisions. This third-party system did not answer to the client’s ever-expanding scalability requirements and had an isolated black-box design that was cumbersome to customize with new features.

Thus, this client was interested in overhauling their options routing infrastructure and approached TAF Co. with a proposal to build a FIX-based state-of-the-art fault-tolerant order router whose design emphasized "limitless" scalability.

TAF Co. utilized its Distributed Application Framework to create a set of easily scalable, distributed, and recoverable services for options order routing. In its current phase, this system routinely handles a daily volume of hundreds of thousands of customer orders automatically. It also offers the ability to manually intervene in any stage of the life cycle of individual orders or groups of orders, and this feature proved especially useful for gracefully handling relatively frequent exchange outages while protecting customers from the consequences of such outages. The system has been praised for its unhindered scalability and the ease with which its components recover from failures. A version of the C++-based Distributed Application Framework was offered to the hedge fund along with the source code license.

The end result for this hedge fund is greatly improved order flow, enhanced reliability, and increased trust, resulting in a substantial influx of new business and a multiplying customer base.