350 rub
Journal Highly available systems №1 for 2016 г.
Article in number:
Test management of a risk control system in high-load exchange and broker platforms
Keywords: risk control system risk management HFT (high frequency trading) trading systems brokerage systems DMA (Direct Market Access) testing
Authors:
A.Y. Bulda - QA Project Manager, «EXACTPRO» LCC (Kostroma). E-mail: alyona.bulda@exactprosystems.com M.P. Rudovsky - Chief Technology Officer, «EXACTPRO» LCC (Kostroma). E-mail: maxim.rudovsky@exactprosystems.com A.V. Zverev - General Director of «EXACTPRO» LCC (Moscow). E-mail: alexey.zverev@exactprosystems.com
Abstract:
The purpose of modern high load trading and brokerage systems is to provide customers the possibility to execute financial transactions in high-frequency and algorithmic trading environments. The financial and technological stability of such systems depends on the effectiveness and timeliness of pertinent risk controls. The article presents technical and architectural characteristics of real-time risk control solutions in high-frequency and algorithmic trading systems, as well as systems performance and algorithms used in risk calculations. The architecture of a risk control system is described, and the analysis of the main characteristics of its quality and effi-ciency is provided. The article shows that the architecture can be used for developing a set of methods for testing and measuring the main functional and technical parameters of risk control systems. A reference test library of can be built on its basis.
Pages: 3-13
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