Iceberg and VWAP Trading Strategies

  • 11/1/2015
  • One-minute read

Delivered an e-trading gateway that routed institutional client flow (FIX) to the bank’s algorithmic execution stack. The focus was on supporting iceberg and VWAP strategies without introducing latency regressions.

Responsibilities

  • Hardened the order-routing service with high-availability failover and deterministic recovery.
  • Profiled message handling with YourKit to eliminate GC pauses that dropped FIX sessions.
  • Simplified trader workflows by building an internal Swing dashboard for at-a-glance session health.

Technology Stack

  • Languages & Frameworks: Java, Spring, Swing UI components
  • Messaging: FIX 4.2, Tibco EMS for internal pub/sub distribution
  • Tooling: YourKit and custom log correlation scripts for latency tracing

Outcome

  • Reduced lost-trade incidents by instrumenting sequence gap detection and automated resends.
  • Achieved sub-millisecond hop latency across the smart-order router under peak London session load.
  • Documented operational run-books for desk support and weekend change windows.

Compliance Reminder

Execution tooling is subject to rigorous regulatory standards (MiFID II, SEC Reg SCI, FCA SYSC). Engage compliance and legal teams before rolling changes into production and retain detailed audit logs for surveillance.

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