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Design a Real-Time Risk Management System
Requirements and Constraints
The Design Challenge
Design challenge: Design a sub-millisecond risk management system for a high-frequency trading firm that enforces position limits, monitors live P&L, and can halt all trading within microseconds of a limit breach.
Every order a trading firm sends to an exchange passes through a risk gate first. That gate has one job: decide, in microseconds, whether the order is safe to send. Get it wrong in the permissive direction and you're Knight Capital, losing $440 million in 45 minutes from a runaway algorithm. Get it wrong in the restrictive direction and your strategies miss fills while competitors capture the spread.
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