Capstone Scenario¶

Objective¶

Run a complete exchange session that combines configuration, market making, trading, risk controls, clearing, market data, persistence, and reporting.

Prerequisites¶

Chapters 01–16 completed.
Ability to run multiple terminals/processes simultaneously.

Scenario¶

You are running a classroom exchange with three symbols (AAPL, MSFT, TSLA), two human traders, one admin/operator, and one manual market maker per symbol. Your goal is to open the market, provide liquidity, generate trades, trigger a risk event, inspect P&L/statistics, and verify persistence.

Exercise 1: Generate a Fresh Config¶

pm-config-gen \
  --symbols AAPL MSFT TSLA \
  --gateways TRADER01:TRADER TRADER02:TRADER GW_ADMIN:ADMIN MM_AAPL_01:MARKET_MAKER MM_MSFT_01:MARKET_MAKER MM_TSLA_01:MARKET_MAKER \
  --sessions-enabled \
  --static-band 0.10 \
  --dynamic-band 0.05 \
  --output engine_config.yaml --force

Open the file and confirm the symbol and gateway sections are present.

Checkpoint: config contains 3 symbols, 2 traders, 1 admin, and 3 MMs.

Exercise 2: Start the Exchange Stack¶

Use separate terminals:

pm-engine --config engine_config.yaml --verbose
pm-scheduler
pm-stats
pm-clearing
pm-audit --terminal
pm-viewer --symbol AAPL

Checkpoint: every process starts cleanly and connects.

Exercise 3: Connect Gateways¶

Open gateway terminals:

pm-alf-console --id TRADER01
pm-alf-console --id TRADER02
pm-alf-console --id GW_ADMIN
pm-alf-console --id MM_AAPL_01
pm-alf-console --id MM_MSFT_01
pm-alf-console --id MM_TSLA_01

Checkpoint: all gateway identities authenticate.

Exercise 4: Provide Manual MM Liquidity¶

Submit quotes:

MM_AAPL_01> QUOTE|SYM=AAPL|BID=149.95|ASK=150.05|BID_QTY=500|ASK_QTY=500|TIF=DAY|QUOTE_ID=AAPL-CAP-001
MM_MSFT_01> QUOTE|SYM=MSFT|BID=419.90|ASK=420.10|BID_QTY=300|ASK_QTY=300|TIF=DAY|QUOTE_ID=MSFT-CAP-001
MM_TSLA_01> QUOTE|SYM=TSLA|BID=249.75|ASK=250.25|BID_QTY=200|ASK_QTY=200|TIF=DAY|QUOTE_ID=TSLA-CAP-001

Verify with QLEGS|SHOW=ALL on each MM gateway and BOOK|SYM=... from a trader.

Checkpoint: every symbol has a live two-sided market.

Exercise 5: Generate Trades and Amendments¶

From TRADER01:

TRADER01> NEW|SYM=AAPL|SIDE=BUY|TYPE=MARKET|QTY=100
TRADER01> NEW|SYM=MSFT|SIDE=BUY|TYPE=LIMIT|QTY=100|PRICE=419.50|TIF=DAY
TRADER01> ORDERS
TRADER01> AMEND|ID=<msft_order_id>|PRICE=419.70

From TRADER02:

TRADER02> NEW|SYM=MSFT|SIDE=SELL|TYPE=LIMIT|QTY=100|PRICE=419.70|TIF=DAY

Checkpoint: you have at least one market fill, one amended order, and one cross-trader fill.

Exercise 6: Trigger an Operator Action¶

From the admin gateway:

GW_ADMIN> HALT_SYM|SYM=TSLA

Try to trade TSLA from a trader gateway and confirm it is rejected. Then resume:

GW_ADMIN> RESUME_SYM|SYM=TSLA

Checkpoint: symbol halt blocks trading and resume restores it.

Exercise 7: Inspect P&L, Audit, and Stats¶

Check the observer terminals and run:

pm-stats-cli trades --symbol AAPL --limit 10
pm-stats-cli summary

Explain what each observer showed:

pm-clearing: positions and P&L.
pm-audit: raw event stream.
pm-stats-cli: persisted trade/statistics view.
pm-viewer: current book state.

Checkpoint: you can trace one trade through all observers.

Exercise 8: Persistence Check¶

Place a GTC order, restart the engine, and confirm whether it restores:

TRADER01> NEW|SYM=AAPL|SIDE=BUY|TYPE=LIMIT|QTY=100|PRICE=140.00|TIF=GTC

Restart pm-engine, reconnect TRADER01, then run:

TRADER01> ORDERS

Checkpoint: you can explain what persisted and what expired.

Final Review Questions¶

Answer these without looking at earlier chapters:

Which process owns the order book?
Which commands create, amend, cancel, and inspect resting orders?
Why does a quote have both a quote_id and two child order IDs?
What is the difference between public market data and drop-copy?
Which order types never rest on the book?
What happens to DAY vs GTC orders at session close?
How do you halt and resume a single symbol?

Checkpoint: you can answer every question from memory or by using the user guide.

Review map: