taj

(iteration 0 "the mvp"):

• quotes to persistent storage

• simple options valuation based on quantlib

• trading strategy: long under-priced assets

• output trades to FIX

• portfolio management (accounting of positions & orders)

• simple web view of current portfolio

  done:

• quote stream integration (mbtrading)

• quote parsing

(iteration 1 "speed & power")

• watching multiple symbols

• portfolio optimization, including transaction costs

• second trading strategy: pairs trading

• benchmarking: message turnaround time < 1 ms