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FIX-compliant Dark Pool for Options
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
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.
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Dark Pool platform is an alternative trading system (ATS) to
trade US equity and index options.
Liquidity on the platform is provided by market markers
(liquidity providers) who have special mass quoting interface to
enter orders into the system.
Client orders pass the Dark Pool and have an opportunity to
cross with orders from liquidity provides which are resided in the
order book. If client order can be matched fully or partially to
orders from liquidity provides, cross order is sent to exchange,
and in case of success fill is reported back to client. Otherwise
client order can either be cancelled or propagated to order router
to be routed to exchanges as ordinary single order (depends on
parameters of order).
National Best Bid Offer (NBBO) from market data providers is
used to justify if client orders can be internalized.
The following application-level messages are supported by
- Between Dark Pool and FIX Order Entry Clients:
- New Order - Single (D), Order Cancel/Replace Request (G), Order
Cancel Request (F), Execution Report (8), Order Cancel Reject
- Between Dark Pool and FIX Liquidity Providers:
- Mass Quote (i), Quote (S), Quote Cancel (Z), Mass Quote
Acknowledgement (b), Execution Report (8).
- Between Dark Pool and FIX Exchanges:
- New Order - Cross (s), New Order - Single (D), Execution Report
- Infiniband - Infiniband switched fabric technology was chosen
to implement low-latency messaging solution.
- C++ - C++ with Boost libraries was chosen to implement
platform-independent, highly efficient Dark Pool components, as
well as the middleware for intra-server communication.
- Relational database - generic SQL interface and stored
procedures customizable for any relational data base were used.
Standard SQL server tools used for data replication.
- FIX Antenna C++ - B2Bits FIX Antenna C++ was chosen as FIX API
for Dark Pool.
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