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 Futures Exchange.

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

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Platform Description

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.

FIX Messages

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

• 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 (9).
• 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 (8).

Used Technologies

• 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 training