This is a project to write to the API of a Financial Exchange in the US, via their Fast FIX Protocol.
The main aim of this project is to write code that will ensure low latency, high frequency, speed, reliability and high throughput. The code written is going to be used to test a low latency, high frequency trading application.
THE NUMBER ONE GOAL OF THIS PROJECT IS TO TEST THE ROUND TRIP TIME FOR A TRADE (i.e. from when a message is sent to open a trade, to when the next message is sent to close the trade). This is the thing that we are trying to understand or rather the data that we want to capture. The question that we need an answer for is could this round trip time be achieved in microseconds, milliseconds or seconds?
So to the successful developer we are going to give very simple test pseudo code, to write in C/C++, which will simply state something like this, at time 't' to the microsecond, place a trade 'x', if trade 'x' is executed then place stop loss 'a' and profit target 'b'. Once either the stop loss 'a' or the profit target 'b' get executed, then cancel all other orders/close all other positions. As you can read the code is so simple to write and minimal, we decided to keep it this way, at this test phase, as just to reiterate, our main goal is not the code, but to test the round trip time(s).
For our records, so that we can assess the low latency and round trip times, we would like to record the trade time(s) to the microsecond.
So in our view the successful programmer, will not only get paid, but they will also get a fantastic reference from us and after we have completed our testing if successful, we could potentially have more work for them to do for us. We would like to develop a good long term relationship with the candidate we select.
Finally, when you apply please tell us what experience(s) you have had in the past with similar projects and how you would go about writing to the API and coding the main part of the program, considering our requirements as stated above. Also importantly for us, please state how long you think it would take you to engage in & write such a project for us and state your hourly or daily or project rate.