Design the deployment procedure for a change to a live market making strategy, given that the market is open, the strategy holds inventory, and the change alters quoting logic. State the order of operations and what makes each step safe.

Design the deployment procedure for a change to a live market making strategy, given that the market is open, the strategy holds inventory, and the change alters quoting logic. State the order of operations and what makes each step safe.

Approach: Treat the live position as state that must be preserved and the new code as unproven, then order the steps so that every one is reversible before the next begins.

Run the new binary in shadow mode against live data with sends suppressed, compare its intended quotes against the running strategy, then cut over one instrument at a time with a kill switch armed and the old binary still resident for rollback. Shadow mode is first because it is the only test with no risk: the new code consumes the same feed, produces the same decisions, and a comparison of its intended orders against the live ones exposes a logic change that a unit test would miss. Warm up matters here too, since the shadow process must be through its cold start before the comparison means anything. The cut over is per instrument, a canary, so a defect costs one symbol's inventory rather than the whole book, and the first instrument chosen is a liquid one where a mistake is cheap to unwind. Before switching, pull the old strategy's quotes and let the exchange confirm the cancels, so no orders exist that the new process does not know about, then hand it the position from the drop copy rather than from the old process's memory. Keep the previous binary running with sends suppressed so rollback is a flag rather than a restart. Arm the kill switch on tightened limits for the first session, and require the change to survive a full open and close before widening. Never deploy into the first or last minutes of the session, where liquidity and message rates are both worst.

Follow-up: The shadow strategy disagrees with the live one on 3% of quotes. How do you decide whether that is the intended change or a defect?

Key concepts: shadow mode, canary, rollback, kill switch.