[erlang-questions] Lets build a stock exchange!

Anthony Kong <>
Mon Nov 12 00:23:14 CET 2007


Just to share some thought...
 
I think there is no book that can teach one to build a functional stock
exchange because of the nature of the problem. It is like those
university courses that teaching search technology. When the professors
of those courses left the ivory tower and joined Google, they soon
realised that everything they taught have been considered/implemented by
Google, and Google has a lot more cool thing going on... Reason: Google
is the search engine that's being *actively* used, and googlers have to
deal with real user requirements/system constraints. These are tactile
knowlegde.
 
I am more familiar with Hong Kong Stock exchange. Here is an overview
of their system (AMS/3): http://www.hkex.com.hk/infra/ams3/AMS3_OV.pdf 
 
It is a pretty simple and easy to read document, and basically cover
the basic stuff people wants from an exchange.  (more info here
http://www.hkex.com.hk/infra/ams3/ams3.htm)
 
A few points I can highlight are:
 
* OG (open gateway): It is a must-have feature because it allows
program trading.
 
* Modeling/Design issue: HKSE offers different order type ( such as
Limit Order, At action order...) and producs (Equity, ETF, Options,
Futures...) etc. It may well be an interesting design exercise. Normally
in OO language we can use inheritance to implements these various
order/product types. What is the best way to do it in functional
language like erlang?
 
* Order Automatching/Auction (Performance issue): some exchanges had
been overwhelmed by spike of trade volumes in the past ('Black Friday'
for example). It will be very interesting to see how it can be addressed
by erlang+EC2 
 
Another interesting info is the "Technical Infrastructure" section:
 
* "AMS/3 is built on Tandem NonStop systems/NotStop kernel.". 
 
Erlang can beat Tandem, right? :-)
 
But I think people here may want to model NYSE. After all more people
are familiar with NYSE's operations, and the final implementation will
be more attractive to general public out there.  On the other hand, NYSE
is more complex and we have to cover a lot more in term of requirements.
(e.g. OTC products)
 
 
So, I am all for such undertaking. I guess a question back to Joel: how
do you manage the scope? It is really no easy task. Once you have a
relatively stable scope, the programming part will be 'easy'.
 
Cheers, Anthony
 
 
 
 
 
 
 
 
 
 


>>> "Christian S" <> 12/11/2007 7:43 am >>>
Anyone know a book on technical requirements that brokers put on stock
exchanges? Order matching procedures, what information do tax offices
want, typical features as in stop-loss rules...

Oh, and yes. A stock exchange is cooler than poker.
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