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15 notebooks · 7 simulators · 1 course

📚 Notes

Engineering notes: write-ups on the good stuff of system design, software architecture and distributed systems — distilled from classic books and articles.

Simulators

Solution Architect

System design from requirements to architecture: patterns, APIs, data, microservices, plus a trading-system case study.

Algorithm Simulator

Feed in your own data and watch 14 algorithms run step by step, the matching Go and TypeScript line lit up.

Order Book & Matching

Drop an order into a live order book and watch the exchange match it, from continuous trading to ATO/ATC.

FIX Session

Simulations of the FIX session layer: Logon, heartbeats, resends after a sequence gap, and reconnecting after a drop.

T+2 & Buying Power

Simulations of the T+2 cycle: when cash and shares arrive, how buying power is computed, multilateral netting.

Isolation Levels & MVCC

Two interleaved transactions at each isolation level: dirty reads, phantoms, write skew, races on a balance.

Locks & Deadlock

Locks and deadlocks: two transactions waiting on each other, the wait-for graph, and ways to avoid the cycle.

Rate Limiting

Pour one stream of requests into four rate-limiting algorithms and see what each one lets through.

The trading-system spine

01

FIX Protocol

FIX 4.2/4.4 for brokers: tag=value messages, session sequence numbers, the order lifecycle, recovery after a disconnect.

 02

OMS

The broker side order management system: the order state machine, pre-trade risk checks, recovery mid-session.

 03

Money & Idempotency

Handling money in software: why not to use floats, double-entry, idempotency keys and reconciliation.

 04

Settlement & SWIFT MT

Post-trade: the life cycle from trade date to settlement, MT 540–548 messages and reconciliation with VSDC.

 05

Market Data

Market data from feed to screen: closing sequence gaps, building the order book, flagging stale prices.

 06

Margin & Collateral

Margin lending from collateral to margin calls and forced sales, built on invariants rather than formulas.

 07

PnL & ROI

Profit and performance: cost basis, realized and unrealized P&L, the effect of deposits and withdrawals, TWR and MWR.

Deeper business domains

Custody & back-office

Custody and back office: why a client holding 1,000 shares can sell only 600, and which ledger wins when they disagree.

Corporate actions

Dividends, bonus shares, splits, rights: how the system computes entitlements and updates client holdings.

Derivatives

Index futures: margin is a deposit rather than a loan, and profit and loss is settled every day.

Cross-cutting controls

Security for Financial Systems

Brokerage security: authentication, acting on behalf of clients, four eyes, audit and secrets management.

Market surveillance

Trade surveillance at a broker: manipulation patterns, the data worth keeping, and why the system only raises flags.

KYC/AML & onboarding

KYC/AML: onboarding, customer risk scoring, sanctions screening and monitoring for suspicious trades.

Operational risk & IT compliance

Operational risk: disaster recovery, RTO/RPO, change management and control evidence for audits.

Self-study

Python from Zero

Python for 13–14-year-olds learning on their own: code runs on the page, a turtle draws, each stage ends in a game you write.