Friday, October 20, 2006

Financial Systems Books

I just got the new Third Edition of the classic After the Trade is Made. At a first glance, it looks like they have fattened up the book a bunch, and added a chapter on trading systems. I will report later on the quality of this chapter if I can get a block of free time to read it.

A decent companion to this book is Practical .Net for Financial Markets. I ordered this book after reading my colleague Ted's glowing review of the book on Amazon. I have to admit that, for me, the book was a bit on the disappointing side. The book has a little bit of everything ... a simple crossing engine, some messaging (designed to illustrate how STP works), some encryption, some good example of networking, etc.

However, what seems to be missing from the marketplace is a great book that deals with the entire spectrum of financial instruments from a developer's point of view. Something that will not only discuss the business domain and underlying technology, but will also point to real products that implement the various systems. A deep dive for the developer to become completly immersed in Wall Street systems.

For example, let's take Equities. From a systems standpoint, I want to know what goes on from the time that a trade is entered until someone receives confirmation through snailmail. I want to know what an order entry system does, how trades are routed to the exchanges, how FIX messaging is used, how crossing engines and auto-execution engines work, how stat arb and algorithmic trading factors in, how market-making functions, how settlment is done, how positions are maintained and how P&L are calculated, how market data gets into a system, how risk is calculated, etc. I want to know how systems and vendors like Bloomberg, Fidessa, Reuters, Wombat, Vhayu, etc fit into this space.

In addition, I would like to see topics that are tangental in nature, but geared towards the financial systems developer. How to develop low-latency systems. How to write UI's with fast-updating grids of market data. How to use complex event processing to implement stat arb trading. How to do order routing efficiently using rules engines.

I want a complete end-to-end picture. I want FinancialSystemsPedia.

My former colleague Matt was thinking about writing this kind of book several years ago. I think that there is a real need for this kind of knowledge to be put on paper.

©2006 Marc Adler - All Rights Reserved

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