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.

In the fast-paced world of finance, understanding liquidity is paramount. We designed and developed a real-time matching engine to provide deeper insights into liquidity, enabling more accurate funding forecasts and ensuring compliance with regulatory requirements. This article explores the challenges and solutions involved in creating this critical component of our financial infrastructure.

The Role of a Matching Engine:

A matching engine sits at the heart of financial markets, facilitating the exchange of securities by matching buy and sell orders. It acts as a central hub, receiving orders from various participants and executing trades based on predefined rules. These rules typically consider factors like price, quantity, and order type. Once a suitable match is found, the engine notifies the involved parties, enabling the seamless completion of the trade.