Exante is a broker for algorithmic trading that aims to provide services needed by algorithmic traders. It began by allowing traders to write, test, and execute algorithms on Exante's servers. Exante developed an algorithmic trading platform with fast market data, order execution, algorithm development tools, and monitoring. It now has its own trading platform supporting over 100,000 financial instruments globally with high performance messaging. Exante is working to allow clients to develop algorithms, backtest with historical market data, and execute algorithms on Exante servers worldwide.

1. EXANTE
Broker for Algorithmic Trading
Andrey Okhlopkov, COO
Sergey Troshin, PhD, Tech Lead
April 2012

2. Contents
1. Early Beginning
algorithmic trading on buy side
2. The Idea of Becoming a Broker
allow everyone to write, test and execute algorithms on server
side
3. First Steps
BackOffice. Financial instruments reference book. Market
history.
4. Future and Plans
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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
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4. Algorithmic Trading Platform
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5. 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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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
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7. The Idea: Broker for algo traders
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8. Erlang OTP
Functional 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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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
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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
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11. Symbols Reference Book
• 100K+ symbols
each has 100+
parameters
• Data modifications
(updates)
• All over the world
availability
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12. Market Data Storage
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13. Back Office
• Trades Processing
• Risk control
• User Accounts
Management
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14. Today
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)
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15. Today
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16. Today
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
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17. Future and Plans
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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18. Questions?
Andrey Okhlopkov, COO (oh@exante.eu)
Sergey Troshin, PhD, Tech Lead (st@exante.eu)
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