Extent3 exante broker_for_algorithmic_trading_2012

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Extent3 exante broker_for_algorithmic_trading_2012

  1. 1. EXANTE Broker for Algorithmic Trading Andrey Okhlopkov, COO Sergey Troshin, PhD, Tech LeadApril 2012
  2. 2. Contents1. Early Beginning algorithmic trading on buy side2. The Idea of Becoming a Broker allow everyone to write, test and execute algorithms on server side3. First Steps BackOffice. Financial instruments reference book. Market history.4. Future and Plans 2
  3. 3. 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 3
  4. 4. Algorithmic Trading Platform 4
  5. 5. The Idea: Broker for algo tradersWe 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 5
  6. 6. 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 6
  7. 7. The Idea: Broker for algo traders 7
  8. 8. Erlang OTPFunctional programming language and runtime system Concurrent processes with async. messages (actor model) Single assignment, dynamic typingPros• 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) 8
  9. 9. Erlang Benchmarks• Process spawn time 1.5 µs• Local node message loop delay Msg. Size (Integer items) 10 100 1 000 10 000 Time (µs) 1.5 3.1 20 200• Remote node message loop delay Msg. Size (Integer items) 10 100 1000 10 000 Time (µs) 150 150 200 500• Remote node message throughput Msg. Size (Integer items) 10 100 1000 10 000 Msg./sec 220K 190 35K 10K 9
  10. 10. Erlang Benchmarks• RPC loop delay Msg. Size (Integer items) 1 10 100 1000 Time (µs) 180 200 200 320• Port loop delay Msg. Size (Integer items) 1 10 100 1000 Time (µs) 10 20 25 150 10
  11. 11. Symbols Reference Book• 100K+ symbols each has 100+ parameters• Data modifications (updates)• All over the world availability 11
  12. 12. Market Data Storage 12
  13. 13. Back Office• Trades Processing• Risk control• User Accounts Management 13
  14. 14. TodayNowadays 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) 14
  15. 15. Today 15
  16. 16. TodayAPI 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 16
  17. 17. Future and PlansWe 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 17
  18. 18. Questions? Andrey Okhlopkov, COO (oh@exante.eu)Sergey Troshin, PhD, Tech Lead (st@exante.eu) 18

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