Smart Order Router System for Dash Financial

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 (agency executing broker/dealer) chose EPAM to develop Smart Order Router System, which applies sophisticated trading strategy engine to assure 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

Smart Order Router (SOR) is built based on FIX Antenna C++, utilizes its' business layer to implement routing strategies based on security type, current NBBO, Exchanges ranking and 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 Reporting Engine and Billing engine. It operates with the latency under 2 milliseconds processing ~20% of US OCC options volume.

Dash success story_pic1

 

Key highlights of the solution:

  • Security type-, Market Data-, Exchanges ranking based trading strategies
  • Strategies based on amount of fees paid as PFOF to execution venues
  • Strategy rules and routing tablescan be 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 in to 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 till present time (new execution venues become available, rules of existing venues are constantly changing, new order types become available, etc.).