FIX-compliant Futures and Options Exchange Platform

EPAM Systems and SDS Financial Technologies created a joint venture for the purpose of marketing and implementation of Genesis exchange technology. This technology was used for Chicago Climate Futures Exchange and Dash Financial.

FIX compliancy together with the requirements for low latency and high availability were cornerstones of the architecture of the platform. Platform can be used for trading exchanges, alternative trading systems, multilateral trading facilities, dark pools and internalization engines for many asset classes.

Platform Structure

FIX Compliant Exchange preview

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Market Model

  • Order-driven market model - orders from different participants compete alongside each other; orders are placed into central order book where they are matched using a consistent set of rules.
  • Matching algorithm - matching of orders is based on price/time priority; there are special rules for processing of hidden orders and replace requests.
  • Supported order types - platform supports the following order types: market, limit, stop, stop limit, IOC, FOK, AON, GTD, GTC, hidden/iceberg orders, orders with minimal quantity and several types of conditional orders (e.g. OCO)).
  • Real-time market data distribution - platform produces market data in real-time; the following market data elements are distributed by the platform: L1, L2 (aggregated and non-aggregated), last trade, high/low, open/close prices, settlement prices, Greeks.
  • Market phases - different market phases/trading sessions can be set up on per instrument/group of instruments; market pre-open, market open and market close phases are currently supported.
  • RFQ - RFQ can be used to indicate interest for less liquid instruments; these RFQs will be distributed to all participants who can react by submitting quotes.

Platform Features and Benefits

  • State-of-the-art technology - platform is built on technology specifically designed for high performance, message throughput and scalability; platform meets and exceeds the highest standards for enterprise exchange infrastructure.
  • High reliability - all components and platform failover process are designed to operate at mission critical levels of resilience and redundancy.
  • High performance FIX Engine - platform includes fully FIX compliant gateways for order entry clients and market data distribution.
  • Low latency Order Matching Engine - the matching engine provides high throughput sub-millisecond matching of simple and advanced order types.
  • Variety of supported instruments - platform supports futures and options trading (outright and complex instruments).
  • Variety of supported order types - platform supports a lot of simple and advanced order types (market, limit, stop, stop limit, AON, FOK, IOC, GT orders, hidden/iceberg orders, conditional orders).

FIX Messages

The following application-level messages are supported by exchange platform:

  • Order entry:
    • New Order - Single (D), New Order - Multileg (AB), Order Cancel/Replace Request (G), Multileg Order Cancel/Replace Request (AC), Order Cancel Request (F), Execution Report (8), Order Cancel Reject (9), Quote Request (R).
  • Market data:
    • Market Data Request (V), Market Data - Snapshot/Full Refresh (W), Market Data - Incremental Refresh (X).
  • Security master:
    • Security Definition Request (c), Security Definition (d).

Used Technologies

  • Infiniband - Infiniband switched fabric technology was chosen to implement low-latency messaging solution. The solution delivered throughput of 80,000 client orders per second with latency below 0.2 milliseconds.
  • C++ - C++ with Boost libraries was chosen to implement platform-independent, highly efficient Order Matching Server, Market Data Server, Security Master Server, as well as the middleware for intra-server communication.
  • Java - Oracle JRockit Java Virtual Machine (JVM) with deterministic garbage collector was chosen to deliver mission-critical application servers. Java Secure Socket Extension (JSSE) enabled secure communication over the Internet.
  • Relational database - generic SQL interface and stored procedures customizable for any relational data base were used. Standard SQL server tools used for data replication.
  • FIXEdge - B2BITS FIXEdge was chosen as FIX Order Gateway for FIX clients.
  • WebLogic - Oracle WebLogic Application Server was chosen as a unified application server that brings performance, scalability, efficiency, and manageability together.

We offer project management, customization and implementation of the platform including:

  • Requirements definition study, business planning, custom development, design for the deployment platform
  • Integration, configuration and testing
  • 24x7-hour support, global help desk, system and application training