The
Moscow Exchange (MOEX) Group is the main liquidity and
price discovery center for Russian instruments. The Moscow Exchange
hosts trading in equities, bonds, derivatives, currencies, money
market instruments and commodities. The 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 the Moscow
Exchange.
Nine years ago, the Moscow Exchange (MOEX)
Group established FIX connectivity (MFIX Trade service) that does
not support FIFO. The volume processed via the MFIX Trade platform
was growing, and the need for strong ordering of client requests by
arrival time became very important.
The task was to increase capacity and to
ensure that the MFIX gateway worked according to the First In -
First Out (FIFO) principle.
B2BITS®, EPAM Systems'
Capital Markets Competency Center was chosen by MOEX as a
reliable partner to develop a solution with the following
requirements:
- Maximize FIFO probability
- Ensure fair play principles in delivering orders to the Trade
Engine queue
- Reduce latency, jitter, and increase system operation
predictability, while simplifying its use
- Minimize the time response in delivering transactions to the
trading system core
- Implement changes in the part of the system most actively used
by customers
- Implement a high-availablity system (quick start)
- Provide the best use of the multi-core CPU
- Increase performance of the current system
- Stay within a fixed budget
- Keep up with the level of its competitors
Solution
FIFO MFIX Trade is based on the current
architecture of FIX Antenna
HFT. The OpenOnload ordered Epoll API is used to receive data
from the network.
The system uses FIFO principles that meet
customers' expectations and comply with industry best
practices.
The service runs a single instance at each
point in time, on each market, to ensure the maximum possible FIFO
probability.
An efficient threading model and optimized
data structure allow for improved performance and reduced latency
and jitter.
MOEX clients have more flexible options to access the Trading
System and effectively utilize High Frequency Trading. FIFO MFIX
Trade lets slower participants predict a position. It increased the
ability of FIFO up to 99.5%.
The service reduced network load and minimized the time it takes
to deliver orders to the Trading System Core. FIFO MFIX Trade
Gateway can efficiently handle short-term splashes of customer
activity and dozens of orders in just microseconds. It is the
fastest way to communicate with the MOEX Trading System.
The solution EPAM developed allows MOEX to be on the cutting
edge of technology and see the value of their investment in
reducing latency of reactions to trading orders.