I developed an eTrading platform routing client FIX flow to the firm’s Algorithmic Trading platform.

The platform was used by traders send orders to the market based on a particular strategy (e.g VWAP).

VWAP stands for Volume-Weighted Average Price. It is a technical analysis indicator that is used to measure the average price of a security over a given period of time, taking into account the volume of trades.

The VWAP is calculated by adding up the dollar value of all trades for a security and then dividing by the total volume of trades. The VWAP is typically calculated over a period of one day, but it can also be calculated over shorter or longer periods of time.

The VWAP is a useful tool for traders because it can help them to identify trends and to determine whether a security is overbought or oversold. The VWAP can also be used to set stop-losses and profit targets.

Here is an example of how the VWAP can be used to set a stop-loss:

  • Let’s say that the VWAP for a security is $100 and that the current price is $105.
  • If a trader wants to set a stop-loss at the VWAP, they would place a stop-loss order at $100.
  • If the price of the security falls below $100, the stop-loss order will be triggered and the trader’s position will be closed.

The VWAP is a versatile tool that can be used by traders of all levels of experience. It is a good idea to use the VWAP in conjunction with other technical analysis indicators to get a more complete picture of the market.

Here are some of the benefits of using VWAP:

  • It can help you to identify trends.
  • It can help you to determine whether a security is overbought or oversold.
  • It can be used to set stop-losses and profit targets.
  • It is a versatile tool that can be used by traders of all levels of experience.

Here are some of the limitations of using VWAP:

  • It is a lagging indicator, which means that it does not reflect the current price of the security.
  • It can be affected by market volatility.
  • It is not a perfect indicator, and it should be used in conjunction with other technical analysis indicators.

Overall, the VWAP is a useful tool that can help traders to make more informed trading decisions. However, it is important to remember that it is not a perfect indicator and should be used in conjunction with other technical analysis indicators.

Critical to the success of any strategy is the ability to capture data reliably. I used profiling/debugging tools to resolve critical issues around data capture, synchronization and reliability.

In computer science, a state of the world message (SoW) is a message that describes the current state of a system. SoWs are used in distributed systems to keep track of the state of the system and to ensure that all components of the system have a consistent view of the state.

SoWs can be used for a variety of purposes, including:

  • Synchronization: SoWs can be used to synchronize the state of different components of a distributed system. This is important to ensure that all components of the system have a consistent view of the state and that no data is lost.
  • Recovery: SoWs can be used to recover from failures in a distributed system. If a component of the system fails, the other components can use the SoW to restore the state of the system to the point before the failure.
  • Auditing: SoWs can be used to audit the state of a distributed system. This can be helpful for debugging problems or for tracking changes to the state of the system.

SoWs can be implemented in a variety of ways. One common approach is to use a message queue to store SoWs. When a component of the system changes its state, it sends a SoW to the message queue. Other components of the system can then poll the message queue to get the latest SoW.

Another approach to implementing SoWs is to use a database. The state of the system can be stored in the database, and SoWs can be used to update the state of the database. This approach is more complex than using a message queue, but it can provide more flexibility and scalability.

SoWs are a valuable tool for managing the state of algo trading systems. They can be used to synchronize the state of different components of the system, to recover from failures, and to audit the state of the system.