I work mainly in energy market communications and systems that facilitate energy trading, balancing and such. Currently most parties there take minutes to process messages and I think there could be a lot to learn from financial systems engineering. Any good resources you can recommend?
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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.
https://docs.tigerbeetle.com/single-page/#concepts
Book recommendations for learning financial systems.
¹ https://www.goodreads.com/book/show/56863052
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.