High Frequency Trading Platform
We have helped companies to enhance their trading applications by providing, through our delivery service, high-performance scalable gateways to numerous exchanges and a variety of instruments. Our technical and business experts strive to focus on meeting business needs by using technology as a tool to meet these needs in a predictable and timely manner.
Exadel has developed a trading connectivity framework as a foundation for building high-frequency trading gateways. High-frequency trading has gained momentum in the last few years and continues to grow. Some sources estimate that high-frequency trading accounts for about 40 percent of U.S. futures volume and about 60 percent of equities volume.
Using our framework, we have developed market data and order routing gateways for high-frequency trading. Our adapters are deployed to multiple exchanges around the world and deliver significant competitive advantage to our clients. Each gateway implementation is optimized for performance and scalability.
Key Features
- Unified Gateway API
- Optimized for performance (minimal kernel calls, optimized thread synchronization, efficient logging)
- Support for TCP and UDP multi-cast protocols
- Support for standalone and message bus-based architectures (Tibco and 29West supported among others)
- High configurability, including trading instruments selection
- Portability across operating systems (Linux 32- and 64-bit, Windows 2000, 2003, Vista)
- Support for C++ and Java
- High-frequency trading support
Our Services include:
- Development of custom adapters
- Certification of adapters with corresponding exchanges
- Porting to other operating systems
- Training
Interface Facility
- Functional areas: gateway instance and session lifecycle management, order routing interface, market data interface, callback interface
- Synchronous and asynchronous modes
- Single and block orders
- Order status notification and execution reporting
- Command load balancing
- Flexible instrumentation
Accounts (sessions) represent logical communication end-points with the exchange
- Each gateway instance can have one or more accounts
Local order book contains a set of active orders, submitted to the exchange
Instrument collection serves as a source of securities and their attributes
- Equipped with fast instrument search
Events and data logging facility provides operational gateway logging and data dump services
- Executes in a separate low priority thread
Configuration facility provides the ability to configure gateway instance parameters at instance initialization
Testing and certification UI
- Supports testing and certification of order routing and market data functionality
Custom Gateway Development
Market Data Gateways
- Standalone Market Data Mode
- Gateway runs in a separate process
- Communicates with trading application via message bus
- IPC transport is used if client application is hosted on the same server
- Reliable UDP multicast or TCP protocol is used for remote client
- Configurable data publishing interval
- Binary message format to maximize throughput and minimize
- latency
- Embedded Market Data Gateway Mode
- Statically linked to trading application
- Dynamically linked to trading application
- Configurable Market data feeds
- Best price
- Full depth
Order Routing Gateways
- Single or multiple orders in one transaction
- Block orders
- Change or cancel single or multiple orders
- Asynchronous and synchronous modes of command execution
- Order recovery
- Order-commands load balancing between sessions
- Local order book to associate execution and trade reports and to minimize data requirements from trading application to change or cancel orders
Implementation Services
- Development of custom gateways
- Certification of gateways
- Integration with trading applications
- Porting to other operating systems
- Training and production support