Sunday, July 06, 2008

Foreign Exchange Market

I did quite a bit of work last year on a solution for a client who had an ever-increasing number of foreign-exchange orders that were threatening to swamp an infrastructure that was built for a world where the volumes were smaller and each order was larger.

The basic idea (there was more to it than this...) was to utilise CEP (Complex Event Processing) techniques to monitor the order flow and look for opportunities to aggregate similar, small orders into smaller numbers of large ones.

When I was producing the explanatory materials and sales decks, I included a worked example of how the foreign exchange market works. I had to piece it together and validate it by speaking to colleagues who specialise in this area and by getting a couple of clients to give me their comments.

Interestingly, I stumbled upon a rather detailed US government web site today. It describes the market in great detail. Knowing about this material last year would have saved me a lot of time...

US Government Primer on the FX market

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