Creating a large-scale trading engine requires careful architectural planning to ensure high performance, low latency, and scalability. Below is a high-level architecture design for your trading engine that leverages HTTP, WebSocket, and FIX protocol.

• **HTTP API**: For standard request-response interactions.

• **WebSocket API**: For real-time data delivery and bi-directional communication.

• **FIX API**: For institutional clients and high-frequency trading.

• **API Gateway**: Handles and routes HTTP and WebSocket requests. This layer ensures security (authentication and authorization), rate limiting, and request validation.

• **Load Balancer**: Distributes incoming connections from clients to multiple instances of trading servers to ensure even load distribution and high availability.

• **Trading Engine**: High-performance, low-latency engine that handles order matching, order book management, and execution.

• **Quote Aggregator**: Aggregates quotes from liquidity providers in real-time.

• **Order Router**: Routes orders to the appropriate liquidity provider based on the best available price and execution policies.

• **Market Data Feeds**: Consumes and processes real-time market data from multiple liquidity providers.

• **Normalization Layer**: Normalizes data from various formats to a unified format.

• **Market Data Distributor**: Distributes processed market data to clients via WebSocket or HTTP endpoints.

• **FIX Connectors**: Connects to liquidity providers using FIX protocol.

• **WebSocket/HTTP Connectors**: Connects to liquidity providers using WebSocket or HTTP APIs.

• **High-Performance Databases**: For storing order books, trade history, and market data.

• Use in-memory databases (e.g., Redis) for real-time data.

• Use relational databases (e.g., PostgreSQL) for transactional data.

• Use NoSQL databases (e.g., Cassandra) for scalable market data storage.

• **Monitoring Tools**: Tools like Prometheus and Grafana to monitor system health, performance metrics, and alerting.

• **Centralized Logging**: Utilizing ELK Stack (Elasticsearch, Logstash, Kibana) for log aggregation and analysis.

• **DDoS Protection**: To protect against distributed denial-of-service attacks.

• **WAF (Web Application Firewall)**: To filter and monitor HTTP/HTTPS requests.

• **Encryption**: SSL/TLS for data-in-transit and encryption for data-at-rest.

• **Clients**: Various clients such as web platforms, mobile apps, and institutional traders use the HTTP, WebSocket, and FIX APIs to interact with the trading engine.

• **API Gateway**: Manages all incoming API requests. Examples: Kong, NGINX, AWS API Gateway.

• **Authentication & Authorization**: JWT tokens, OAuth.

• **Rate Limiting**: To prevent abuse and ensure fair usage.

• **Load Balancer**: Examples: HAProxy, NGINX, AWS Elastic Load Balancing, Google Cloud Load Balancing.

• **Trading Engine**: Developed with languages known for high performance (e.g., C++, Java).

• **Order Matching Algorithm**: FIFO, Pro-Rata, etc.

• **Quote Aggregator**: Receives and aggregates quotes from liquidity providers continuously.

• **Order Router**: Implements smart order routing (SOR) to achieve optimal execution.

• **Market Data Feeds**: Interfaces with market data providers.

• **Normalization Layer**: Unifies data formats across different providers.

• **Market Data Distributor**: Distributes real-time data to subscribed clients.

• **FIX Connectors**: Handles connections to liquidity providers via the FIX protocol.

• **WebSocket/HTTP Connectors**: Manages connections using WebSocket or HTTP APIs.

• **In-memory Databases**: For high-speed data access (e.g., Redis).

• **Relational Databases**: For reliable transactional data storage (e.g., PostgreSQL).

• **NoSQL Databases**: Handles large volumes of market data (e.g., Cassandra).

• **Prometheus/Grafana**: Metric collection and visualization.

• **ELK Stack**: Centralized logging and log analysis.

• **DDoS Protection**: Services like Cloudflare.

• **WAF**: Protection against web attacks.

• **Encryption**: Ensuring secure data transfer and storage.

• **Horizontal Scalability**: Adding more servers to handle increased loads.

• **Microservices Architecture**: Decoupling services to independently scale and manage.

• **Auto-Scaling**: Leveraging cloud auto-scaling features to dynamically manage resources based on load.

• **Languages**: C++, Java, Node.js, Python.

• **APIs**: REST, GraphQL, FIX protocol.

• **Databases**: PostgreSQL, Redis, Cassandra.

• **Hosting**: AWS, Google Cloud, Azure.

Cadenza design note

Video Here: https://www.youtube.com/watch?v=VSceuiPBpxY

- You want first place, come play with me; you want second place, go somewhere else.

- Because when I retire, I don't want to say "I wish I would have done more"

You want first place, come play with me; you want second place, go somewhere else

," encapsulates a crucial aspect of his mindset. He knew that surrounding himself with greatness was non-negotiable.

Here is a powerful reminder that to reach the pinnacle of success, you must seek out those who challenge you, push you beyond your comfort zones, and inspire you to rise higher.

They are not the people who will always agree with you, you may not like them or understand their opinions, but if they make you better, make you think better, help you create a better attitude and help you get the results you want, then they are the right people.

Kobe's dedication to studying the game of basketball is a masterclass in the pursuit of excellence. He approached his craft with a growth mindset, an unquenchable thirst for knowledge that transcended his status as an NBA superstar.

Kobe's journey should show you and inspire you to understand that to achieve greatness, you must remain curious, open to learning, and constantly evolving. Every day is an opportunity to refine your skills, adapt, and grow.

This is the first principle of the Beginners Mindset.

Kobe's resilience in the face of challenges provides invaluable insight. He didn't let setbacks define him; instead, he used them as stepping stones on his path to greatness.

This mindset shift shows how adversity is a natural part of any journey, and it's how we respond to it that truly matters.

By viewing challenges as opportunities for growth, we can cultivate a mindset that propels us forward, regardless of the obstacles in our path.

Kobe's unwavering commitment to his career often came with sacrifices, including strain on personal relationships. This prompts reflection on the delicate balance between passion and personal connections.

While you should cherish your relationships, you can learn from Kobe's dedication to prioritising your dreams. It's a delicate dance that requires open communication, understanding, and the willingness to make sacrifices in pursuit of your goals.

The concept of obsession often carries a negative connotation, but Kobe's example flips the script. His obsession with basketball was a driving force behind his success.

He was fully committed, immersed in his craft, and willing to do whatever it took to excel.

Embracing your passions with complete dedication can fuel you to reach extraordinary heights in life and in your profession. Obsession with what you want from your life and your business and what you want to become, is not always a negative thing, particularly if it makes you a better person.

Kobe's decision to retire on his own terms, even after a career-threatening injury, is a testament to his determination and leadership. He chose to take control of his destiny and not let external factors define his path.

This is a powerful reminder that you have agency over your life and should strive to make choices that align with your aspirations.

Never allow other people's ideas of what you should do, whom you should become, and what path you should travel to define your journey. Own it and become you, do you, be you, live you.

THE MINDSET OF A WINNER | Kobe Bryant Champions Advice

Netflix refers to themselves as a professional sports team, not a family.

“We model ourselves on being a professional sports team, not a family.

A family is about unconditional love.

A dream team is about pushing yourself to be the best possible teammate, caring intensely about your team, and knowing that you may not be on the team forever.

Dream teams are about performance, not seniority or tenure.

It is up to the manager to ensure that every player is amazing at their position, plays effectively with others and is given new opportunities to develop.

That’s how we keep winning the championship (entertaining the world).

Unlike a sports team, as Netflix grows, the number of players also grows.

We work to foster players from the development leagues so they can become the stars of tomorrow.”

BOOM 🔥

Well said, Netflix.

A company is not a family.

Don’t get them mixed up.

Blog.

A company is not a family

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THE MINDSET OF A WINNER | Kobe Bryant Champions Advice