Automated trading system development for a proprietary trading firm operating on EUREX and EURONEXT. The work was firmly in the low-latency space — where microseconds matter and every architectural decision has a measurable performance cost.
What was built
Low-Latency Trading Components C++ trading components interfacing directly with EUREX and EURONEXT exchange APIs. Order entry, modification, and cancellation logic designed for minimal latency. Careful attention to memory allocation, threading, and network I/O to keep the critical path as tight as possible.
Order-Routing Logic Smart order routing handling instrument selection, order sizing, and exchange connectivity. Logic for managing open orders, handling partial fills, and responding to market events within tight time constraints.
Real-Time Monitoring Dashboard WPF-based monitoring application giving operations staff real-time visibility into system state, order flow, position, and P&L. Designed to surface problems immediately — in an automated trading context, slow detection of anomalies is expensive.
Technical highlights
- C++ throughout for performance-critical components
- EUREX API and EURONEXT API for exchange connectivity
- Multithreaded architecture with careful lock management
- WPF for the monitoring dashboard
- Low-latency design principles applied throughout