Customer
Dash Financial Technologies is a provider of one of the
industry's most advanced multi-asset trading technology and
execution services platforms.
Challenge
Dash Financial (an
agency executing broker/dealer) chose EPAM to develop the Smart
Order Router System, which applies a sophisticated trading strategy
engine to assure te best execution, systematize the venue selection
process, and reduce execution costs. To be "smart", an order
routing system must take into account more than just the parameters
of the order. It must also analyze real-time market conditions, and
combine that with historical data about the way securities were
traded in the past, venue performance, and the execution
options.
Solution
The Smart Order Router (SOR) is built based on FIX Antenna C++,
and utilizes its business layer to implement routing strategies
based on security type, current NBBO, Exchanges ranking, and the
cost of routing and execution on various execution venues. It
allows implementing algorithmic trading strategies, such as WVAP,
TWAP, time slicing, etc. The Solution is integrated with a
Reporting engine and a Billing engine. It operates with a latency
of under 2 milliseconds, processing ~20% of the US OCC options
volume.
Key highlights of the solution:
Security type, Market Data, and Exchange ranking-based trading
strategies
Strategies based on the amount of fees paid as PFOF to
execution venues
Strategy rules and routing tablescan that are based on
virtually any set of criteria and reloaded intra-day without
affecting existing workflow
Full-blown order state machines for street and customer
orders
Sophisticated security master engine using multiple data
sources
L1/L2 market data feeds to determine the best routing strategy
(~1mln market data updates per second per instance)
Flexible XML-based FIX mapping engine
Seamless integration into existing broker FIX
infrastructure
Deferred DB writing for better SOR performance
Solution is integrated with Dark Pool, Reporting Engine and
Billing engine.
C++, Oracle, FIX Antenna С++
Technologies and Tools
C++, Boost
Oracle
Google V8 (ECMAScript)
Eclipse for debugging
Complex Event Processing
FIX, ITCH
Results
The project was successfully implemented and has been
working in production since the beginning of 2010. Active
development continues into present day (new execution venues become
available, rules of existing venues are constantly changing, new
order types become available, etc.).