Chief information officer Rob Brouwer describes the innards of Berlin Bourse's Equiduct Platform this way:
Its functionality is fully distributed-which means communication is always routed along the fastest path available in the system, without necessarily going through a centralized hub. It is written in C++, running in fault-tolerant mode in two London-based data centers. Connectivity to eacg market is with the FIX 4.4 protocol, with no proprietary API (application programming interface); the production environment is 24 Sun multicore servers running Solaris.
"We're not religious," he says.
Current roundtrip time - the time between the moment an order is received on the firewall in Equiduct's data center until the resulting trade is released - is 1 millisecond when the system is running at peak load.
Peak load means the data center is handling about 200,000 incoming reference prices per second; roundtrip time under that traffic should drop to 350 microseconds by the end of the year. The price matching engine was built in-house.
Equiduct hired Aleri, a builder of complex event processing software, to create a software module that sits outside the platform, monitors business activity and flags the moment-to-moment splits in equity liquidity across the different venues.
OneTick, a database management software module, handles tick-by-tick storage of vast volumes of real-time market data such as trades, quotes and order books.
Brouwer reckons the difference-maker in the market model is Equiduct's price-determination algorithm. The algo uses the reference prices from other execution venues to determine the price on the Equiduct market. On a daily basis Brouwer's platform takes in 300 million real-time prices from other markets. These are level 2 prices-they reflect a ranked list of the best bid and ask prices for the participants, and allow detailed analysis and deconstruction of a given trade. The platform takes the full depth of data from all venues for storage in the tick-by-tick database.
Equiduct's matching engine was built in-house. The firm also employs "typical" middleware from Oracle; TIBCO Rendezvous is used for inter-component messaging.
This article can also be found at Securities Industry News.
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