| Low-latency FantasTickTM ticker plant |
Low-latency FantasTickTM ticker plant is a high performance solution for processing direct market feeds from exchanges and processed feed from vendors. It can be deployed in a stand-alone mode with dissemination of output into a network or as a dynamically loaded library that delivers results to the hosting logic via simple callback interface to avoid latency added by OS networking levels). The solution is extremely scalable in terms of optimal distribution of load between available CPUs and can be tuned to address specific needs of different data feeds for reaching maximum efficiency. It delivers very impressive performance and is very modest in terms of required memory. Depending on feed complexity(compressed or not) and required aggregation (order-based feed requires more work then price-level based feed) added latency is in the range of 10-30 microseconds. For example, it is possible to handle all US equity and futures direct market feeds on a single quad-core machine. The product can be configured to calculate different time-series statistic which can be used for quantitative analysis in algorithmic trading. Also the Ticker Plant can be deployed in re-play mode using a feed previously recorded to a file. This feature is essential for back-testing of trading strategies. Feeds supported by the ticker plant: Direct feeds: NASDAQ INET Total View NYSE ARCA ArcaBook BATS PITCH Direct Edge NYSE Open Book, NYSE Best Quote, NYSE Alerts Toronto Stock Exchange TL2 and TBF CHI-X Canada, CHI-X Europe Alpha Canada CME FAST/FIX MICEX FAST/FIX HOTSPOT ITCH ICE Data vendors: BLOOMBERG BPIPE EXEGY ACTIV FINANCIALS Adding support for a new feed handler to the ticker plant is very simple process and usually requires only several days of implementation (it mostly depends on clarity of the feed specification). |
| FIX GateWays and native APIs |
The FIX GateWay engine is a high-performance solution that supports FIX
ver. 4.1 - 4.4 and has optional FIX drop-off capabilities. It is very
flexible with respect to supporting different flavors of FIX protocol using configuration settings and quite straightforward in deployment. The
FIX engine is a reasonably threaded product that offers a good performance of
several thousand FIX messages per destination a second with low CPU(s) usage. For client-side connectivity the FIX GateWay offers simple record-based protocol with order flow integrity checking and data recovery capabilities. The FIX GateWay is certified with the next exchanges and brokers: NASDAQ INET NYSE ARCA BATS Direct Edge TSX Alpha CHI-X Canada Currenex Integral FX HotSpot CME ICE Merrill Lynch Genesis Securities Nomura In addition to NASDAQ FIX we also support NASDAQ native OUCH protocol to minimize latency impact for trading on NASDAQ. |
| Algorithms Hosting Engine API and Trading Console |
The Algorithms Hosting Engine is a high-performance solution that hosts and executes trading strategy implemented inside a DLL module. The DLL has to expose a C++ interface expected by the Hosting Engine. The interface can be bridged with C# code in case if trading logic needs to be implemented in a C# DLL. The interface is a set of functions (API) called by the Hosting Engine framework for data feed events, execution events, risk control events, system monitoring events, etc. In its turn the framework provides orders execution functionality to the trading logic. The framework takes care of trades and orders management what allows a strategy developer to concentrate on the business logic. It also allows to define a private data flow in the framework using simple structure-based approach. The Engine can host virtually unlimited number of DLLs that deploy different trading rules and strategies. The Algorithms Hosting Engines that can be hosted on a single or multiple computesr are connected to a central risk management coordination application sever called the Trading Hub. Trading activity executed inside the Hosting Engines (which can potentailly be located in different geographical locatitions) can be monitored using Trading Controlling Console - a GUI application that is connected to the Trading Hub. The Trading Console allows to start/stop trading for particular strategies, adjust execution parameters and analyze order flow and executions. It also allows a third-party client application to interact with the trading system using simple record-based application-level protocol deployed on top of a TCP/IP. In this case the Trading Console acts as a dispatching server to relay data between a third-party client and the trading framework. Click here to download demo projects using FTP (user and pwd 'guest'). |