Intelligent execution for fixed income markets — adaptive routing,
real-time risk, and full lifecycle order management in a single platform.
Core Capabilities
Smart Order Router
Adaptive venue selection using composite scoring across fill rate, response time, slippage, and availability. Per-asset-class venue preferences. Automatic failover via circuit breakers.
Algo Wheel Engine
Rule-based algorithm selection with configurable thresholds. TWAP, VWAP, Implementation Shortfall, and Passthrough strategies. Config-driven — no code changes to adjust routing logic.
Real-Time Risk Management
Pre-trade risk checks on every order: notional limits, position limits, rate limits. Pending order exposure included. Per-client configurable thresholds. Global kill switch.
Fixed Income Analytics
Accrued interest, dirty/clean price, YTM, duration, modified duration, convexity, DV01. Standalone reusable DLL with PIMPL encapsulation. Settlement date calculation (T+1/T+2).
Real-Time Dashboard
Live trading dashboard via WebSocket. Order blotter with fill progress, position P&L grid, venue performance gauges, activity feed. Order entry, rules management, and risk monitoring.
FIX Protocol Engine
FIX-based connectivity for TradeWeb, Bloomberg, and MarketAxess. Session management, message logging with ring buffer, and queryable FIX message audit trail.
Crash Recovery
Persistent order book and position state via PostgreSQL. On restart, active orders and executions are replayed from the database to rebuild full in-memory state before accepting new flow.
REST & WebSocket APIs
Full CRUD order management, RFQ workflow, position queries, and system health. JWT authentication, rate limiting, pagination. Real-time event streaming over WebSocket channels.
System Architecture
→
API Gateway
Auth + Rate Limit
→
Piranha Core
Algo + Risk + SOR
→
→
Execution Algorithms
TWAP
Time-weighted average price. Splits large orders into equal child slices over a configurable duration with venue rotation.
Best for: Large blocks
VWAP
Volume-weighted execution targeting intraday volume curve. Minimizes market impact on mid-size orders in liquid names.
Best for: Mid-size IG
IS
Implementation Shortfall. Aggressively front-loads execution to minimize arrival price slippage. Adaptive urgency.
Best for: High yield
DMA
Direct Market Access passthrough. Zero-touch routing to a single venue. Lowest latency path for small or urgent orders.
Best for: Small / urgent
Venue Connectivity
| Venue | Protocol | Asset Classes | RFQ | Streaming | Auto-Route |
|---|
| TradeWeb |
FIX 4.4 |
UST, Agencies, IG Credit |
✓ |
✓ |
✓ |
| Bloomberg |
FIX 4.4 |
IG, HY, EM, Munis |
✓ |
✓ |
✓ |
| MarketAxess |
FIX 4.2 |
Corporate Credit, EM |
✓ |
— |
✓ |
| DirectPool |
Internal |
All (internal crossing) |
— |
— |
✓ |
Risk & Compliance Framework
Pre-Trade Checks
Every order validated against notional limits, position limits, and rate limits before reaching venues. Includes pending order exposure.
Circuit Breakers
Per-venue circuit breakers with configurable failure thresholds. Automatic venue isolation on degradation with SOR failover to healthy venues.
Kill Switch
Global emergency halt. Instantly stops all new order flow and triggers cancel-all on working orders. Dashboard-accessible and API-triggered.
Audit Trail
Every order, execution, amendment, and cancellation logged with timestamps. Queryable FIX message log. Full database persistence for regulatory compliance.
Client Isolation
Per-client risk limits and position tracking. JWT-authenticated API access with role-based permissions. Client-scoped WebSocket channels.
TRACE Reporting
Built-in TRACE trade reporting framework for FINRA compliance. Automated post-trade submission with configurable MPID and reporting rules.
Deployment & Operations
Health Monitoring
Comprehensive health endpoint with per-component status. Graceful startup (traffic held until all systems ready) and graceful shutdown with ordered hook execution.
Simulation Mode
Built-in simulation engine with realistic fill generation, partial fills, slippage modeling, and synthetic market data. Demo-ready with a single --simulate flag.
Ready for evaluation
Full source code, test suite, and live dashboard demo available.