Financial infrastructure

Per-symbol store of resting orders as FIFO queues per price level; array-indexed ticks plus intrusive lists give O(1) add, cancel and best-price lookup.

Single-threaded, deterministic loop that journals sequenced orders, matches them by price-time priority against a limit order book and emits trades.

Constant-time gate in front of order entry that rejects fat-finger, over-limit and runaway orders using worst-case exposure counted over open orders.

Exchange order-by-order data as fixed binary messages in sequenced UDP multicast packets; receivers dedupe A/B lines, detect gaps by sequence number and recover.

Tag=value order-entry protocol over TCP with per-direction sequence numbers, heartbeats and resend so sessions survive disconnects without losing or duplicating orders.

Store money as integer minor units with an explicit currency exponent, compute in wider integers, and round once with a named rounding mode.

Append-only journal of transactions whose postings sum to zero per currency; balances are derived, so money can only move, never appear or vanish.

Persist state changes as an append-only stream of immutable events per entity; current state is a fold over them, guarded by expected-version appends.

Keep raw bars plus a tiny table of cumulative backward factors, built by one reverse scan over events and applied at read time, versioned by as-of date.

Client-chosen unique key per logical operation, stored with a request fingerprint and the final response, so retries replay the first result instead of acting twice.

Persisted state machine for a payment lifecycle (authorize, capture, void, refund) that treats timeouts as unknown, retries with the same key and applies webhooks idempotently.

Match internal ledger records against bank and processor statements by reference, then amount and date window; every unmatched or mismatched item becomes an exception.

Rules for microsecond trading paths: one pinned busy-polling thread per stage, no allocation, syscalls, locks or page faults after startup, kernel-bypass I/O, and measured tails.

Closed-form European option price and Greeks from spot, strike, time, rates and volatility; Newton inversion gives implied volatility. About 30 ns each.

Recombining price tree with risk-neutral probabilities and backward induction; the cheapest way to price early-exercise claims, O(N²) time and O(N) memory.

Turn quoted deposits, futures and swaps into a discount curve by solving one new maturity per instrument so that every quote reprices exactly.

A loss threshold exceeded with probability 1−α over h days, plus the mean loss beyond it; three estimators trade speed for realism.

Rank bidders by bid × quality, give them the k positions in order, and charge each the minimum bid that would keep their rank (GSP); VCG is the truthful reference.