FAST and FIX protocol implementations for MOEX

Customer

The Moscow Exchange (MOEX) Group  is the main liquidity and price discovery centre for Russian instruments. Moscow Exchange hosts trading in equities, bonds, derivatives, currencies, money market instruments and commodities.  Moscow Exchange ranks among the world's top 20 exchanges by total capitalisation of shares traded, and also among the 10 largest exchange platforms for bonds and derivatives trading. Securities of over 700 issuers are admitted to trading on the equity and bond markets of Moscow Exchange.

Solution  

MOEX teamed up with  B2BITS®, EPAM Systems' Capital Markets Competency Centerto create an open Market Data and Transactional interfaces  compliant with the standard Financial Information Exchange (FIX) protocol. EPAM's B2BITS is a well-respected provider of tools and technologies for exchange connectivity, OMS and EMS solutions. It has a solid track record of successful solutions development and implementations in the security industry.

FIX Market Data service developed by EPAM offers the following benefits:

  • It provides subscription services to all securities traded on the exchange, as well as data snapshots, incremental updates, instrument definitions, and status information
  • It supports both the FIX (version 5.0 SP2) and FAST protocols
  • Its interface enables access to MOEX via a diverse range of vendor solutions designed for brokers, investment banks, and insurance companies
  • The services and interface provided by MFIX Market Data dramatically reduce the time for on-boarding of new clients

MFIX  Transactional service developed by EPAM is the fastest way to communicate to MOEX Trading System.

MFIX Transactional offers the following solutions: 

  • MFIX Trade which is used to submit orders, cancel orders, request order status and receive execution reports for each order
  • MFIX Trade Capture which is used to receive executed trades, including negotiated and REPO deals and corresponding executions
  • MFIX Drop Copy which is used to receive copies of all execution reports available for the user.

MFIX Trade, MFIX Trade Capture, and MFIX Drop Copy  services are served by separate servers (connections differ by IP addresses and port numbers) and have different access levels.

MFIX Trade service delivers only messages related to orders of appropriate user. MFIX Trade Capture and MFIX Drop Copy services deliver data according to user permissions at Trading System.

MFIX Transactional supports the FIX 4.4 protocol.

Each of these solutions provides the functionality of broadcasting their current state and availability. MOEX support team uses the specially developed by EPAM monitoring tool to have real-time information about the state of each service.

 

Technologies and Tools

Results

The MFIX Market Data implementation that MOEX commissioned has strengthen the competitive position of Russia's stock market. It has been successfully used on MOEX production since 2008.