I've written a bit about it on my own co's product blog in an attempt to demystify some core concepts [1], [2], [3].
Still on ledgering and expanding into less mathematical and more applied concepts, I can also recommend a book called "The Accounting Game: basic accounting fresh from the lemonade stand" [4].
[1]: https://www.formance.com/blog/engineering/how-not-to-build-a... [2]: https://www.formance.com/blog/engineering/debits-and-credits... [3]: https://www.formance.com/blog/engineering/ledgering-all-the-... [4]: https://books.google.com/books/about/The_Accounting_Game.htm...
## *Trading and Exchanges: Market Microstructure for Practitioners by Larry Harris*
- comprehensive overview written in an accessible way
## *The Microstructure of Financial Markets by Frank de Jong and Barbara Rindi*
- 1st 1/4 of the book is generally useful. Then the math starts. This math is not needed to get a basic overview.
These are two books I wish someone gave to me when I started my first capital markets software engineering job. I recommend them to all the people I place in financial system engineering roles.
This is my passion. Message me if you want to talk more about this — see HN profile for contact info.
Market data ingest, analysis and resulting order execution is chewing through way more data way faster than any banking transaction system. I have worked on both of them.
If you want more in the weeds but still high level I gave a talk on the main concepts and systems you need to know to code low latency for markets. https://docs.google.com/presentation/d/1HIPJb0XX3JDHEYSrZC8v...
They also have docs for the standard message flows you can expect during trading. I use it regularly.
Implementations varies, no one forces the third party to use message types 100% as intended.
Book recommendations for learning financial systems.
You may be thinking of high frequency trading. In that case, traders interact directly with an exchange - e.g. via direct market access[1] - so it’s a pre-established two-party interaction. There’s no particular technical difficulty with making that fast. Usually, slow transaction times are a consequence of the structure of the market, not a technical issue particularly.
[1] https://corporatefinanceinstitute.com/resources/career-map/s...
With today's technology and all the work in this space, it's not particularly technically difficult to get such times down into the seconds or milliseconds, depending on the constraints.
Yes, HFT has gone to extremes to get trade execution times down as low as microseconds. And sure, that involves technical challenges. But they're mostly sort of obvious ones - you mentioned some of the major categories - that yield to throwing engineering talent at. But I was referring to the Pareto 80% of gains here.
Depends on what you mean by "financial systems". There are plenty of financial systems that takes days or weeks to fully process transactions.
You're probably referring to stock trading systems (which by their nature have to be extremely low latency). The term to search for is "HFT" (high-frequency trading).
Here is a recent paper on the topic (focused on C++, though most things you find will tend to be): https://arxiv.org/abs/2309.04259
What in the financial space do you want to hear about? Networks, exchanges, settlement?
I suspect that the energy market is a bit different from markets where being ruthlessly fast might be a good long term behavior. So there might be good reasons for that way of doing business due to the specific nature of the energy market.
For example a limited number of counter parties might make stable B2B relationships more valuable. Or regulatory compliance might require extra steps. Or the messaging system might be noisy.
Or not. I wonder how executives at the trading companies would describe the delay.
https://www.amazon.com/Investment-Science-David-G-Luenberger...
I have personally founded, architected, and coded in entirety several acquired payment processing companies in the last 30 years of which were near 100% uptime as well as PCI Level 1 compliant among several other audit stipulations. Your mention of energy trading *immediately* caught my eye as I am now building an energy storage company that is founded in design on top of my decades evolved secure highly available API transaction engine that I am refactoring to support VPP to manage the energy storage array I am patenting.
My ying appears to align with your yang from my understanding of your words so if this is something of interest please feel free to engage from my outreach.
Stay Healthy!
I had come across his books when searching for ML books in C++. He has applied ML/Statistical/Deep Learning/etc. techniques to Market Trading Systems and other domains. Generally all his books contain implementations in C/C++.
The reviews of his books on Amazon gives you confidence that he really knows his stuff from a practical/industry pov.
May be worth getting a head start on these, I understand these are the tools that the HFTs and the quants use.
One of the posts turned up on HN front page a year ago[1]. Thats how I discovered it
