I am investigating how involved creating a very simple options trading platform will be(not for profit but for learning purposed). Can someone please explain the process flow of how Black Scholes option pricing is used within trading platforms, the below is my understanding please correct me if i am mistaken:
1) in memory prices of options derived from Black Scholes formula.
2) an incoming buy order for an option in FIX protocol format.
3) trading platform compares the price of buy order with the price derived from Black Scholes and decides to buy accordingly.
please correct me if i am mistaken anywhere thanks in advance
That is the job of the user application, Quickfix will not help in any matter regarding this.
You take the message, parse it and store the rwquired information for yourself.
This again is the job of the user application. Inforamtion collected from Step 2 will help you in this.
FIX is a message format for communicating, which should be kept away from your programming logic. Else it will slow down the messaging unnecessarily for no apparent gain.