Open Source Continues to Change Electronic Trading


When it comes to news coverage of electronic markets, speed is often the first thing – sometimes the only thing – that gets mentioned.  But more often than just low latency, what traders require is predictability, efficiency and, from the IT side, some of the most innovative coding in the financial industry.

Last year, Ari Studnitzer wrote about the long standing emphasis on risk management and trading controls that has guided advancement on CME Group electronic markets. Today, that emphasis is reinforced with a new technology standard that will benefit users of Globex, CME Group’s electronic trading system.

Real Logic Ltd. and Informatica have collaborated to create an open source project that provides extensive support for Simple Binary Encoding (SBE), the messaging standard developed through The Financial Information Exchange (FIX) Trading Community that forms the messaging foundation for MDP 3.0, the forthcoming Market Data Platform upgrade for Globex.

Recent improvements in hardware, software, and networking have put pressure on the FIX protocol, the  electronic communications protocol that enables the real-time exchange of market information.  CME Group worked with the FIX Trading Community to create the Simple Binary Encoding Specification.  SBE provides a low latency binary encoding specifically tailored to the needs of high-throughput, low latency communication in the financial industry.  SBE achieves rapid encoding and decoding of FIX messages while still remaining compact on the wire.

SBE has been designed from the ground up to be optimized for low latency communications. The MDP 3.0 release on Globex will offer several enhancements and improvements that are directly attributable to the efficiency introduced with SBE.

The collaboration between Martin Thompson of Real Logic, and Todd Montgomery of Informatica, has resulted in a highly optimized open source implementation of the SBE specification that can be leveraged by financial firms as part of the migration to MDP 3.0.

These SBE decoders will create an environment that can be used directly by firms or treated as a reference implementation that can be extended into custom solutions tailored to individual firms’ needs.  This is not just a Globex advancement. Whether a firm uses the reference implementation or develops their own, interoperability with Globex is assured by conformance to the published SBE standard. The project also includes a suite of performance tests that demonstrate SBE’s viability as a low latency messaging specification.

The result will be an environment that has it all: speed, efficiency, predictability and the leading edge technology that makes it all possible. 

Read more about SBE at github. Read more about the project on Informatica’s blog and at the Mechanical Sympathy blog.

Globex customers can get started testing MDP 3.0 immediately here.

Barry Galster is executive director of software engineering and match engine development at CME Group.

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