Quality Money Management : Process Engineering and Best Practices for Systematic Trading and Investment

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ensured its correctness and the product team should have fully documented the architec-

ture of these components for review by the development team and inclusion in the Stage

2 deliverable documents.

The development team should append the data dictionary started in Stage 2, creat-

ing an entry for each class, including attributes, methods, and scope. We recommend

creating object models quickly and analyzing the life cycle of each class. Further, pro-

grammers should consider which use cases lead to an instance of each class and which

cause changes or destruction. The programmers should also update the data flow maps to

include flow of message between objects and methods calls using collaboration diagrams.

21.6. LOOP 2: Design Interface Packages

In a multitier architecture, the business tier is generally a middleware application, com-

municating with data and presentation tiers running on other machines across a network

of (potentially disparate) platforms. (Typical developers create middleware as a publish/

subscribe system, where sources publish data to the entire network and consumers of the

data subscribe to messages.) Fortunately, a database design document, data maps, and data

flow maps have to a large extent been documented in Stage 2, which will speed the design

of the code that connects the business logic, that is, the trading engine, to other packages.

21.6. L O O P 2 : DESIGN INTERFACE PACKAGES

Trading

Engine

User

interface

Accounting

software

Risk

software

Real time

data feed

Execution

software

Valuation

data

Funda-

mental

data

Calculated

data

Economic

data

FIGURE 21-2

Message-oriented middleware is a client/server architecture that increases the inter-

operability, portability, and flexibility of an application by allowing the application to

be distributed over multiple platforms. It reduces the complexity of developing applica-

tions that span multiple operating systems and network protocols by insulating the devel-

oper from the details of the various operating system and network interfaces and APIs.

Message-oriented middleware typically supports asynchronous calls between the client

and server applications, enabling applications to communicate without having to under-

stand the technology of the other application within the network.