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.
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
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 a 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 reside in the
order book. If a client order can be matched fully or partially to
orders from liquidity provides, a cross order is sent to the
exchange, and in the case of success, a fill is reported back to
client. Otherwise, the client order can either be cancelled or
propagated to the order router to be routed to exchanges as an
ordinary single order (depends on parameters of order).
The 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 the
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 the 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 - a 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 the 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