Sub-millisecond RFQ processing, from request to fill
A multi-threaded, message-driven Java engine that runs the full order lifecycle for requests for quote across credit and muni instruments, at sub-millisecond latency per message.
- WhenRFQ arrives from a venue
- ThenValidated, queued and processed
- ThenQuote sent, fills handled
- ResultFull lifecycle, sub-millisecond
- Java
- FIX protocol
- Multi-threading
- Lock-free concurrency
- Linux
The problem
In electronic bond trading, every request for quote has to be received, processed, answered and tracked through to the fill, often across several venues at the same time. Slow or dropped messages mean missed trades.
What I built
- A Java RFQ processing engine that covers the full order lifecycle across credit and muni instruments
- A multi-threaded, message-driven design using lock-free concurrency and pre-allocated buffers to keep latency low and predictable
- Low-latency FIX connectivity to major venues such as Bloomberg, MarketAxess and Tradeweb, for RFQ, quoting and market data
Why it matters
Sub-millisecond per-message latency means quotes go out fast, and every order can be followed from the first request to the final fill.
Where it fits
- Order management systems
- Payments processing
- Real-time bidding
- High-throughput event pipelines