Extent3 exante broker_for_algorithmic_trading_2012

April 2012

EXANTEBroker for Algorithmic Trading

Andrey Okhlopkov, COOSergey Troshin, PhD, Tech Lead

Contents

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1. Early Beginningalgorithmic trading on buy side

2. The Idea of Becoming a Brokerallow everyone to write, test and execute algorithms on

server side

3. First StepsBackOffice. Financial instruments reference book. Market

history.

4. Future and Plans

Algorithmic Trading Platform

• Fast market data and order execution to exchanges throughout the world

• Framework for algorithms written using Scala language

• UI for viewing current algorithm status

• Algorithms were programmed by developers

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Algorithmic Trading Platform

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The Idea: Broker for algo traders

We want to provide our clients with service that we needed while being algotraders:

• Create algorithms using specially designed simple language in convenient IDE

• Perform algorithm backtesting using historical market data

• Execute algorithms on our servers throughout the world

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The Idea: Broker for algo traders

• Provide our solution for the clients• We need some additional

components• These components should not

decrease latency, stability and throughput of current system

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The Idea: Broker for algo traders

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Erlang OTPFunctional programming language and runtime system

Concurrent processes with async. messages (actor model)Single assignment, dynamic typing

Pros• Designed for distributed systems development• No serialization needed (Erlang terms)• Transparent world-wide nodes (messages and RPC)• Easy monitoring and real-time tracing• Out-Of-The-Box Templates• Other languages integration (C/C++, Java, etc)Cons• Calculations are slow• New development team needed (Risks)

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Erlang Benchmarks

• Process spawn time 1.5 µs• Local node message loop delay

• Remote node message loop delay

• Remote node message throughput

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Msg. Size (Integer items)

10 100 1 000 10 000

Time (µs) 1.5 3.1 20 200

Msg. Size (Integer items)

10 100 1000 10 000

Time (µs) 150 150 200 500

Msg. Size (Integer items)

10 100 1000 10 000

Msg./sec 220K 190 35K 10K

Erlang Benchmarks

• RPC loop delay

• Port loop delay

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Msg. Size (Integer items)

1 10 100 1000

Time (µs) 180 200 200 320

Msg. Size (Integer items)

1 10 100 1000

Time (µs) 10 20 25 150

Symbols Reference Book

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• 100K+ symbols each has 100+ parameters

• Data modifications (updates)

• All over the world availability

Market Data Storage

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Back Office

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• Trades Processing

• Risk control• User Accounts

Management

Today

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Nowadays EXANTE is a full-fledged broker with it’s own platform:

• Variants of instruments (100K+)• Integration sability (Feed and/or Execution)• Multi-platform client (Win, MacOS, Linux)

Today

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Today

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API for algorithmic traders:• FIX market data and execution

gateways available if different regions

• Client can choose which gateway to connect or even connect tom multiple gateways simultaneously

Future and Plans

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We are working on allowing clients to:• Create algorithms using specially

designed simple language• Perform algorithm backtesting using

historical market data• Execute algorithms on our servers

throughout the world

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Questions?

Andrey Okhlopkov, COO (oh@exante.eu)

Sergey Troshin, PhD, Tech Lead (st@exante.eu)