[hx2a]

When I was a trader at Merrill Lynch (NYC, 2005) I traded these basket securities on a Swiss exchange through a Rube-Goldberg-like trading system employing two Excel spreadsheets. Here's how it worked:

A spreadsheet on my computer would pull data from Bloomberg using their Excel API and would price the securities. Those prices would be pulled off the spreadsheet by some Reuters application that would then send those numbers through a 56K modem to Reuter's system. Somebody I never met in London would screen scrape the prices from Reuters into Excel. From that Excel spreadsheet the prices would be posted on the Swiss exchange. I was responsible for any resulting trades and they would go into my book.

These were two sided prices (bid-ask) so if the process broke and the market moved I would get picked off. Thankfully they were mostly all delta 1 instruments with 50 bps of spread so that didn't happen too often.