High-performance Credit-Market Data Filtering
January 1, 2020Tradeweb Markets Inc. Mathematics, 2019-20
Liaison(s): Stefan Kutko, Justin Peterson ’85
Advisor(s): Talithia Williams, Jessalyn Bolkema
Students(s): Anna Serbent (PM-S), Mingyu Zheng (PM-F), Tse Yang (T.Y.) Lim, Cat Ngo, Jeremy Jess
Tradeweb would like to explore alternative architectures for its credit market filter, with the goal of making it more horizontally scalable. The Tradeweb Clinic team has built out a MongoDB-centered filter and testbench for monitoring the filter’s performance. The entire pipeline (testbench and filter) has been deployed on AWS to match the scale of standard trading activity and to see if the database-centered approach can achieve the desired performance metrics.