EPAM Systems and SDS Financial Technologies created a joint
venture for the marketing and implementation of Genesis exchange
technology. This technology was used for the Chicago Climate
Futures Exchange and Dash Financial.
FIX compliancy, together with the requirements for low latency
and high availability, were cornerstones of the architecture of the
platform. The platform can be used for trading exchanges,
alternative trading systems, multilateral trading facilities, dark
pools and internalization engines for many asset classes.
Platform Structure
Market Model
Order-driven market model - orders from different participants
compete alongside each other; orders are placed into a central
order book where they are matched using a consistent set of
rules.
Matching algorithm - the matching of orders is based on
price/time priority; there are special rules for the processing of
hidden orders and replace requests.
Supported order types - the platform supports the following
order types: market, limit, stop, stop limit, IOC, FOK, AON, GTD,
GTC, hidden/iceberg orders, orders with minimal quantity and
several types of conditional orders (e.g. OCO)).
Real-time market data distribution - the platform produces
market data in real-time; the following market data elements are
distributed by the platform: L1, L2 (aggregated and
non-aggregated), last trade, high/low, open/close prices,
settlement prices, Greeks.
Market phases - different market phases/trading sessions can be
set up per instrument/group of instruments; market pre-open, market
open and market close phases are currently supported.
RFQ - RFQ can be used to indicate interest for less liquid
instruments; these RFQs will be distributed to all participants who
can react by submitting quotes.
Platform Features and Benefits
State-of-the-art technology - the platform is built on
technology specifically designed for high performance, message
throughput and scalability; the platform meets and exceeds the
highest standards for enterprise exchange infrastructure.
High reliability - all components and platform failover process
are designed to operate at mission critical levels of resilience
and redundancy.
High performance FIX Engine - the platform includes fully FIX
compliant gateways for order entry clients and market data
distribution.
Low latency Order Matching Engine - the matching engine
provides high throughput sub-millisecond matching of simple and
advanced order types.
Variety of supported instruments - the platform supports
futures and options trading (outright and complex
instruments).
Variety of supported order types - the platform supports a lot
of simple and advanced order types (market, limit, stop, stop
limit, AON, FOK, IOC, GT orders, hidden/iceberg orders, conditional
orders).
FIX Messages
The following application-level messages are supported by the
exchange platform:
Order entry:
New Order - Single (D), New Order - Multileg (AB), Order
Cancel/Replace Request (G), Multileg Order Cancel/Replace Request
(AC), Order Cancel Request (F), Execution Report (8), Order Cancel
Reject (9), Quote Request (R).
Market data:
Market Data Request (V), Market Data - Snapshot/Full Refresh
(W), Market Data - Incremental Refresh (X).
Security master:
Security Definition Request (c), Security Definition (d).
Used Technologies
Infiniband - Infiniband switched fabric technology was chosen
to implement the low-latency messaging solution. The solution
delivered a throughput of 80,000 client orders per second, with
latency below 0.2 milliseconds.
C++ - C++ with Boost libraries was chosen to implement a
platform-independent, highly efficient Order Matching Server,
Market Data Server, Security Master Server, as well as the
middleware for intra-server communication.
Java - Oracle JRockit Java Virtual Machine (JVM) with a
deterministic garbage collector was chosen to deliver
mission-critical application servers. Java Secure Socket Extension
(JSSE) enabled secure communication over the Internet.
Relational database - generic SQL interface and stored
procedures customizable for any relational data base were used.
Standard SQL server tools used for data replication.
FIXEdge - B2BITS FIXEdge was chosen as a FIX Order Gateway for
FIX clients.
WebLogic - Oracle WebLogic Application Server was chosen as a
unified application server that brings performance, scalability,
efficiency, and manageability together.
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