Order Allocation Merging & Splitting System

The Problem

Traders needed to merge and split order allocations — a capability previously handled by an external system costing millions in licensing fees. The order graph (parent orders, allocations, placements, executions) is extremely sensitive: any error in ID linkages or quantities could result in multi-million dollar discrepancies per trade.

The external system's license was up for renewal. We had a tight deadline to build this in-house or pay up.

What I Built

I designed and implemented the entire merging/splitting system end-to-end:

Core Order Graph Logic

• Maintained correct ID linkages across parent orders, allocations, placements, and executions
• Handled both "merge with executions" and "merge without" scenarios
• Re-ran fair allocation algorithms to correctly distribute executed quantities

Event Serialization & Race Conditions

• Events are serialized by order ID, but merging creates new IDs
• Updated FIX engine cache to always fetch latest parent order ID from DB
• Handled race conditions where external responses arrive mid-merge

Upstream/Downstream Integration

• Propagated updates to planning, bookkeeping, and position systems
• Ensured external systems received correct data despite not understanding new order shape

Impact

Why This Was Hard

• Financial Risk — Wrong linkages = billions in exposure
• Timing Complexity — Race conditions between merges and external executions
• Legacy Integration — External systems didn't understand the new order shape
• Tight Deadline — License renewal date was fixed

My Role

Full ownership. I designed, implemented, tested, and integrated the entire system — core logic, upstream/downstream systems, validations, error handling, and rollout coordination.