Integration DAG: Trading hours

Why this page is structured this way: Trading hours is the highest-throughput phase. Per-order, the pre-trade RMS pipeline is a tight sequential chain that runs in milliseconds. Aggregated, the system runs millions of those chains per day plus an outer loop (trade-booking → MTM → margin-recompute) plus four time-locked peak-margin snapshots. Three DAGs cover these layers separately.

TL;DR

• 3 ASCII DAGs: per-order pre-trade pipeline, intraday execution-and-snapshot loop, closing window.
• 28 unique integration nodes.
• Peak-margin snapshots at 11:30 / 12:30 / 13:30 / 14:30 are the most consequential time-locked events; missing one or having a shortfall during one triggers DMF penalty.
• Per-trade pipeline runs in single-digit milliseconds; orchestration overhead must stay below ~5ms or order latency degrades.

Conceptual overview

Once the market opens at 09:15, the broker’s tech stack settles into an OMS/RMS loop that repeats per order: validate, release, execute, book, update margin, repeat. Surveillance runs in parallel at the exchange level (NORMS), with the broker’s mirror surveillance system catching exchange-side flags and adding broker-specific rules (intraday OTR caps, GSM/ASM intervention). Four times during the session — at 11:30, 12:30, 13:30, 14:30 — the clearing corp captures a margin snapshot; the broker must have sufficient client-collected margin in each.

DAG 1 — Per-order pre-trade pipeline (millisecond-scale)

TH-ORDER-RECV   (web / mobile / dealer / API / FIX inbound)
        │
        ▼
TH-PT-SEGMENT_CHECK     (segment active for client?)
        │ fail → reject
        ▼ pass
TH-PT-MARGIN_LOCK       (compute required margin; reserve against available)
        │ fail → reject
        ▼ pass
TH-PT-MWPL_CHECK        (derivatives only)
        │ fail → reject
        ▼ pass
TH-PT-ORDER_TYPE        (NRML / MIS / CO / BO validation)
        │ fail → reject
        ▼ pass
TH-PT-SURV_CHECK        (GSM / ASM / restricted-stock / illiquid)
        │ fail → reject
        ▼ pass
TH-PT-RELEASE           (OMS submits to exchange via FIX / CTCL / API)
        │
        ▼
TH-EX-ACK               (exchange order ID returned)
        │
        ▼
TH-EX-MATCH             (if matched, trade confirmation returned)

DAG 2 — Intraday execution loop + peak-margin snapshots

TH-EX-MATCH (from DAG 1)
        │
        ▼
TH-TRADE-BOOK           (broker OMS records the trade)
        │
        ├──► TH-MTM-UPDATE          (running MTM on open positions)
        ├──► TH-MARGIN-RECOMPUTE    (per-client margin re-snapshot)
        ├──► TH-SURV-OTR_INCR       (OTR accumulator tick)
        ├──► TH-SURV-PATTERN        (manipulative-trade flagging — async)
        │
        ▼ loops back to next order

                  ╔═══════════════════════════════════════╗
                  ║  Time-locked at 11:30/12:30/13:30/14:30 ║
                  ║                                         ║
                  ║  TH-SNAP-PEAK_MARGIN                    ║
                  ║       │                                 ║
                  ║       ▼                                 ║
                  ║  TH-SNAP-DMF_ROW   (one per snapshot)   ║
                  ║       │                                 ║
                  ║       └──► aggregated post-EOD          ║
                  ╚═══════════════════════════════════════╝
                  (runs in parallel with execution loop)

TH-BD-WINDOW                (block-deal: 08:45-09:00 morning, 14:35-15:05 afternoon)
        │
        ▼
TH-BD-REPORT                (separate reporting flow)

TH-TG-DETECT                (technical glitch — event-triggered)
        │
        ▼
TH-TG-REPORT                (intraday submission to SEBI within prescribed minutes)

DAG 3 — Closing window (15:30–15:40)

TH-CW-START         (15:30; continuous trading ends)
        │
        ▼
TH-CW-AUCTION       (call-auction window for closing price)
        │
        ▼
TH-CW-PRICE_DISC    (settlement-price discovery)
        │
        ▼
TH-CW-FINAL_MARGIN  (post-closing margin snapshot for record)
        │
        ▼
(hands off to EOD phase)

Per-node detail

node_id	operation	depends_on	blocks	parallel_eligible	idempotent	retry_policy	rollback	sla	failure_surface	spec_source
TH-ORDER-RECV	Order capture (web / mobile / dealer / API / FIX)	[entry]	TH-PT-SEGMENT_CHECK	[none]	no (user-keyed)	none	[none]	< 100ms	client UI	[industry typical]
TH-PT-SEGMENT_CHECK	Is segment active for this client?	TH-ORDER-RECV	TH-PT-MARGIN_LOCK	[none]	yes (local lookup)	none	reject order	< 1ms	OMS reject code	[industry typical]
TH-PT-MARGIN_LOCK	Compute SPAN+ELM+exposure; reserve against available	TH-PT-SEGMENT_CHECK	TH-PT-MWPL_CHECK	[none]	yes (order-keyed)	none	release margin reservation	< 2ms	OMS reject	Margin compliance domain
TH-PT-MWPL_CHECK	Market-Wide Position Limit (derivatives)	TH-PT-MARGIN_LOCK	TH-PT-ORDER_TYPE	[none]	yes	none	release margin	< 1ms	OMS reject	NSE F&O MWPL circulars
TH-PT-ORDER_TYPE	NRML / MIS / CO / BO validation	TH-PT-MWPL_CHECK	TH-PT-SURV_CHECK	[none]	yes	none	release margin	< 1ms	OMS reject	[industry typical]
TH-PT-SURV_CHECK	GSM / ASM / restricted / illiquid	TH-PT-ORDER_TYPE	TH-PT-RELEASE	[none]	yes	none	release margin	< 1ms	OMS reject	Surveillance domain
TH-PT-RELEASE	OMS sends order to exchange	TH-PT-SURV_CHECK	TH-EX-ACK	[none]	conditional (order-id-keyed)	1× on FIX disconnect; manual on persistent	release margin if final fail	< 2ms	OMS reject / FIX session error	NSE/BSE/MCX FIX specs
TH-EX-ACK	Exchange returns order ID	TH-PT-RELEASE	TH-EX-MATCH or [exit-after-day]	[none]	n/a	n/a	release margin if order rejected	< 5ms typical	OMS / FIX session	[industry typical]
TH-EX-MATCH	Exchange matches order, returns trade conf	TH-EX-ACK	TH-TRADE-BOOK	[none]	n/a	n/a	[none]	event-driven	OMS	[industry typical]
TH-TRADE-BOOK	OMS records the trade	TH-EX-MATCH	TH-MTM-UPDATE, TH-MARGIN-RECOMPUTE, TH-SURV-OTR_INCR, TH-SURV-PATTERN	[none]	yes (trade-id keyed)	3× then critical alert	[none]	< 10ms	OMS / back-office	[industry typical]
TH-MTM-UPDATE	MTM on open positions	TH-TRADE-BOOK	next pre-trade margin compute	parallel-with margin-recompute / OTR / pattern	yes	3×	[none]	< 5ms	RMS	[industry typical]
TH-MARGIN-RECOMPUTE	Per-client margin envelope refresh	TH-TRADE-BOOK	next TH-PT-MARGIN_LOCK	parallel	yes	3×	[none]	< 5ms	RMS	Margin compliance domain
TH-SURV-OTR_INCR	OTR accumulator tick	TH-TRADE-BOOK	TH-SURV-OTR_BREACH (event)	parallel	yes	3×	[none]	< 1ms	surveillance console	NSE NORMS
TH-SURV-PATTERN	Manipulative-trade pattern flag (async)	TH-TRADE-BOOK	TH-SURV-FLAG (downstream review)	parallel	yes	async best-effort	[none]	< 100ms	surveillance queue	NSE NORMS + social-media surveillance
TH-SNAP-PEAK_MARGIN	Capture client margin state at fixed clock	[time-trigger 11:30/12:30/13:30/14:30]	TH-SNAP-DMF_ROW	[none]	yes (snapshot-id keyed)	retry next-cycle if missed (DMF row)	[none]	< 30s after trigger	clearing corp DMF reject	Margin compliance domain
TH-SNAP-DMF_ROW	Generate DMF row from snapshot	TH-SNAP-PEAK_MARGIN	EOD-DMF-AGGREGATE	parallel-with continued execution	yes	3×	[none]	< 1s	ops queue / DMF reconciliation	Clearing-corp DMF specs
TH-BD-WINDOW	Block-deal window detection (08:45-09:00, 14:35-15:05)	[time-trigger]	TH-BD-REPORT	parallel-with execution	yes	n/a	[none]	window-bound	n/a	BSE/NSE block-deal circulars
TH-BD-REPORT	Block-deal reporting flow	TH-BD-WINDOW	[exit]	[none]	yes	3×	[none]	< 5m post-window	ops queue	exchange block-deal circulars
TH-TG-DETECT	Technical glitch event detection	[event-trigger]	TH-TG-REPORT	parallel	yes (incident-id)	none (event-triggered)	[none]	event-driven	ops console	Cyber security / technical glitch SEBI Aug-2023 circular
TH-TG-REPORT	SEBI intraday glitch report	TH-TG-DETECT	[exit]	[none]	yes	1× then escalation	[none]	within prescribed mins	SEBI portal	SEBI Aug 2023 technical-glitch circular
TH-CW-START	15:30 closing-window trigger	[time-trigger]	TH-CW-AUCTION	[none]	yes (date-keyed)	none (time)	[none]	scheduled	n/a	[industry typical]
TH-CW-AUCTION	Call-auction for closing price	TH-CW-START	TH-CW-PRICE_DISC	[none]	n/a (exchange-side)	n/a	[none]	< 10m	exchange	NSE/BSE closing-auction circulars
TH-CW-PRICE_DISC	Settlement-price discovery	TH-CW-AUCTION	TH-CW-FINAL_MARGIN	[none]	n/a	n/a	[none]	< 1m	exchange	NSE/BSE closing-auction circulars
TH-CW-FINAL_MARGIN	Post-closing margin record	TH-CW-PRICE_DISC	EOD-* (hand-off)	[none]	yes	3×	[none]	< 1m	RMS	[industry typical]

Practical notes

• [gotcha] Per-order pre-trade RMS budget is single-digit milliseconds. Anything slower starts showing as order-rejection latency that traders notice within hours. Most brokers measure each pre-trade node’s P99 latency continuously, with alerts at >3× baseline.
• [industry practice] The 4 peak-margin snapshots (11:30 / 12:30 / 13:30 / 14:30) are time-locked at the clearing corp side, not the broker side. The broker’s job is to ensure margin position is stable at those exact clock times — pre-computing margin at 11:25 / 12:25 / 13:25 / 14:25 (the “settled state” five minutes before snapshot) is a common optimization.
• [risk trade-off] Async surveillance (TH-SURV-PATTERN) doesn’t block order execution. If real-time detection were stricter, brokers would catch more market manipulation but introduce latency that the trading-experience product team would push back on. Most brokers tune the balance toward async + post-EOD review.
• [cost optimization] The block-deal window (TH-BD-WINDOW) sees concentrated activity; some brokers route block-deal orders through a separate OMS lane to avoid degrading the main retail-order pipeline during the window.

Verified through

2026-05-14

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AI-generated and not legal, financial, or compliance advice. See the project README for full disclaimer.