### Phase 3: Trading & Execution Platform

[drzo]

Phase 3: Trading & Execution Platform (Months 7-9)

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Feature Issue #7: High-Frequency Trading Engine

Priority: High
Estimated Effort: 10-12 weeks
Dependencies: Hardware acceleration, market data, risk management

Description: Build ultra-low latency trading engine capable of handling high-frequency trading strategies with microsecond-level execution times.

Actionable Tasks:

• Task 7.1: Order Management System (OMS)

  • Implement order lifecycle management with state machine
  • Add order validation and risk checks
  • Create order routing to multiple venues
  • Implement parent-child order relationships
  • Deliverable: OMS supporting 1M+ orders/second
  • Testing: Order processing accuracy and state consistency
  • Validation: Process complex orders with <50μs latency

• Task 7.2: Execution Management System (EMS)

  • Implement smart order routing algorithms
  • Add execution quality measurement and reporting
  • Create market impact optimization
  • Implement direct market access (DMA) connectivity
  • Deliverable: EMS with multi-venue connectivity
  • Testing: Execution quality benchmarking
  • Validation: Achieve top-quartile execution performance

• Task 7.3: Market Making Engine

  • Implement two-sided quote management
  • Add inventory risk management
  • Create dynamic spread and sizing algorithms
  • Implement hedging and risk transfer strategies
  • Deliverable: Market making platform
  • Testing: P&L attribution and risk measurement
  • Validation: Maintain profitable market making with <1ms quote updates

• Task 7.4: Latency Optimization

  • Implement kernel bypass networking (DPDK)
  • Add CPU isolation and thread affinity optimization
  • Create hardware timestamping integration
  • Implement lock-free data structures and algorithms
  • Deliverable: Sub-100μs end-to-end latency
  • Testing: Latency measurement and jitter analysis
  • Validation: Consistent latency percentiles in production environment

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Feature Issue #8: Cross-Asset Trading Support

Priority: Medium
Estimated Effort: 6-8 weeks
Dependencies: Trading engine, risk management

Description: Extend trading capabilities to support multiple asset classes including equities, fixed income, derivatives, FX, and cryptocurrencies.

Actionable Tasks:

• Task 8.1: Multi-Asset Connectivity

  • Implement FIX connectivity for equity markets
  • Add FpML support for derivatives trading
  • Create cryptocurrency exchange integrations
  • Implement FX ECN and bank connectivity
  • Deliverable: Unified trading interface for all asset classes
  • Testing: Connectivity stability and failover
  • Validation: Trade across 10+ venues simultaneously

• Task 8.2: Cross-Asset Risk Management

  • Implement unified risk model across asset classes
  • Add correlation and basis risk modeling
  • Create cross-asset portfolio optimization
  • Implement dynamic hedging strategies
  • Deliverable: Cross-asset risk platform
  • Testing: Risk model validation and backtesting
  • Validation: Manage complex multi-asset portfolios with real-time risk

• Task 8.3: Settlement & Clearing Integration

  • Implement trade settlement workflows
  • Add central clearing house connectivity
  • Create trade matching and confirmation
  • Implement corporate actions processing
  • Deliverable: End-to-end trade lifecycle management
  • Testing: Settlement accuracy and timing
  • Validation: 99.9% settlement success rate

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Feature Issue #9: Algorithmic Strategy Framework

Priority: Medium
Estimated Effort: 8-10 weeks
Dependencies: Trading engine, ML integration

Description: Create comprehensive framework for developing, testing, and deploying algorithmic trading strategies with real-time risk management.

Actionable Tasks:

• Task 9.1: Strategy Development SDK

  • Create C++ SDK for strategy development
  • Add Python bindings for rapid prototyping
  • Implement strategy simulation and backtesting
  • Create performance attribution and analysis tools
  • Deliverable: Strategy development framework
  • Testing: SDK functionality and performance testing
  • Validation: Develop and deploy 10+ sample strategies

• Task 9.2: Real-time Strategy Execution

  • Implement strategy orchestration engine
  • Add dynamic parameter adjustment
  • Create strategy monitoring and alerting
  • Implement automatic strategy shutdown on risk breaches
  • Deliverable: Production strategy execution platform
  • Testing: Strategy performance and risk validation
  • Validation: Run 100+ strategies simultaneously

• Task 9.3: Portfolio Construction Strategies

  • Implement factor-based investment strategies
  • Add ESG integration for sustainable investing
  • Create alternative data integration
  • Implement dynamic rebalancing algorithms
  • Deliverable: Portfolio construction framework
  • Testing: Strategy performance validation
  • Validation: Manage $1B+ in assets under algorithmic management