The following was originally published on Trading Technologies Trade Talk blog. Bringing Sexy Back...to FIX By: Drew Shields, CTO By the time I entered capital markets more than a decade ago, FIX had already become mundane, boring. FIX is essential, but so are eating vegetables, drinking water and exercise. None of those are things I really want to do, and they certainly aren’t worth blogging about. But for the first time in my career, I’m actually excited to talk about FIX. By leveraging the hybrid architecture of TT®, we are putting a modern twist on the boring service of FIX, which we are calling FIX-as-a-service, or FaaS. The challenge in working with FIX is not complexity but management. For both the buy side and the sell side, the challenge is managing many point-to-point connections, each speaking a different FIX dialect, and generally having to do everything manually. While there are some great tools out there for monitoring FIX solutions, and it’s easy to find experienced people to do the work, it nonetheless remains manual, tedious and unexciting. At TT, our new suite of FIX services looks to break the mold and free up our customers to spend their time on more complex and challenging tasks. Put simply, if you are involved in futures, futures options, or cash Treasuries execution workflows via FIX, you can reduce the amount of time and energy you invest in that work by leveraging TT’s FaaS. You will get the most accessible, easy to integrate (no coding required!), resilient, scalable and fast FIX solution on the market. ACCESSIBILITY & INTEGRATION TT’s FIX administration tools are accessed in a browser from anywhere and any device, and all changes are effective immediately. Want to add a new session? Just open your browser, click “New Session,” fill out a few fields and click “Create”—your session will be up and ready for trading in a matter of seconds. No need to call us. No need to request a session and wait for a maintenance window for it to be active. Need to integrate with TT? Rather than integrating directly with our specification, leverage the power of TT’s FIX Profiles to apply rules and symbol mappings which transform messages on the fly, reducing or even eliminating the need to have software developers involved in a FIX integration. And just like when adding new sessions, there is no waiting for maintenance windows or asking for a service to be restarted. Your rules and mappings take effect instantly on live sessions. In addition to putting the power of real-time FIX integration and administration in your hands, TT also works to provide a more accessible solution for your FIX servers. No need for specific IP addresses. Instead, we’ve deployed FIX servers globally behind load balancers which are discovered via DNS, allowing your servers to connect dynamically to the optimal location. While the solution is still essentially point-to-point, you get the flexibility and accessibility of software-as-a-service. RESILIENCY & SCALABILITY An added benefit of our FIX architecture leveraging DNS and high-availability load balancers rather than static IP addresses is that we can scale the solution without disrupting your business. When we are nearing capacity in our FIX infrastructure, we can scale it horizontally and transparently with additional hardware. TT’s FIX servers store the state of each session in a globally distributed database clustered across every TT data center. This allows for immediate and consistent failover for high availability and disaster recovery. If the TT FIX adapter that your FIX application is connected to were to fail for some reason, you don’t need to fail over on your side to a redundant connection. If you simply reconnect, the load balancer will redirect you to another TT server which picks up all session details including sequence number from the database and continues running. This results in a failover scenario that lasts seconds at the most and does not involve any human intervention on either side. TT deploys FIX servers across every data center globally, so even if an entire data center was taken down in a disaster scenario, the same design that makes failover immediate will ensure that FIX sessions can fail across regions just as efficiently. PERFORMANCE The beauty of the TT platform’s architecture is that it has allowed us to bring all the benefits of software-as-a-service to a professional trading platform without sacrificing performance. In the context of FIX, this means that we have made significant investments in co-location, hardware acceleration and optimizations across all software components to ensure we are providing the fastest solution in the market. Today, our end-to-end latency from receipt of a FIX message to it leaving for the exchange (including all risk checks which are part of the OMS) has a median latency of 55 microseconds. We will be continuing to invest in further reducing those numbers. Not only does TT’s FIX solution provide fast execution of vanilla order flow, we’ve also exposed the industry’s fastest autospreader to all FIX clients in addition to our Aggregator (a/k/a smart order router) and all TT synthetic order types. Lastly, because our FIX solution is fully integrated with all the other capabilities of the TT platform, you can even build your own execution algos and then leverage them via FIX. For the sell side, this means being able to leverage TT for execution algo development and distribution not only for users of TT screens but for all your customers regardless of what front end they choose. For a buy-side firm that leverages many different vended systems for execution and order management, this means you can use TT as an algo development platform which can then offer up those custom algos to every other system in your suite of tools. In conclusion, FIX-as-a-service is only part of the story. The market coverage and "elasticity" of the TT global network combined with FaaS completes a broader story. Market access requirements are always evolving (for the buy side and sell side) and the TT global FIX network is always available "on demand." Market access built on traditional technologies requires investment in hardware, infrastructure and telco with multi-year commitments, but building on top of FaaS to offer Market-Access-as-a-Service is yet another way TT is revolutionizing how traders access markets. Check out our new overview of FIX on TT here and contact us to learn more about the details of how TT’s new FIX services can empower your business.
Would you agree it to be a fair statement that TT's Fix solutions don't cut it for hft players in regards to latencies?
Stupid question. Serious HFTs are embedding trading systems on low-latency Ethernet switches and have been doing so for a few years now. Do you think a retail service can compete? Maybe you don't have to be HFT to make a profit! Hint hint!
All this is very well and good. I'm willing to go along with the fact that TT's suite of products is fantastic and perhaps best of breed in the market segment (let's call that <$2,000 per month per user). I'd suggest that it'd be worthwhile for you guys to also make a considerably larger investment in your client support department. I'm currently in the midst of getting set up using a TT FIX adapter - the conformance part was completed a while ago, however working out the cross connect has been a mess, specifically from the TT side. I've certainly considered moving to a different vendor...and believe it or not, it has nothing to do with the technology. I must admit, part of the difficulties have been exacerbated by the broker in the middle. Although, it seems that TT has specifically encouraged having the broker in between the client and themselves, in order to distance themselves from any possible client support role.
That was a rhetorical question as hft was mentioned by the TT executive which is obvious pure snake oil and marketing hype.
That is total bullocks what TT has been saying. In fact a cross connect makes little to no sense at all if you need a broker or any other entity at all in between your strategy & order generating code and the exchange. Hft houses get a file from the exchange with risk limits and are supposed to adhere to those limits when submitting orders. No pre trade risk checks by any third parties at all. Truth be told, many hft houses even omit that step as it shaves another micro or so off latencies. If you cannot compete in this space then I dare to claim that proximity or colocation makes almost no difference.
What you're saying is a bit too general. A cross connect won't magically make the TT infrastructure 'HFT-ready' - obviously. But, the difference between connecting via x-connect and via the internet (even from within the same DC) is rather drastic. The difference in speed is not negligible (and in some cases can be immense depending on the internet route), more importantly however, is the difference in reliability/robustness of the connection, which will be a problem connecting via internet even in the same DC. They also will only provide access to the non-coalesced data feed (which I can't do without), if you have a x-connect. So, if you're not competing for the same fills as the HFT players, but you're nonetheless latency sensitive, I'm not saying I'm a fan of TT (even if it wasn't rather pricey for what it is), but I would say 'that it makes sense'. Wouldn't you agree? There's a lot of time in between 200μs and 1ms. Of course I'd rather have a DMA setup...there's a lot of hoops to go through for that, and I was looking for a 'quicker to market' solution. Had I known that getting on with TT would be such a slow headache, I think that I would have pursued the other route.
Agree with most of what you said in your last post. I just guess hft, as used by TT is misleading and should never be used by TT whatsoever because they simply cannot compete in this space. We are talking max 40 micro seconds to stay competitive. Most hft groups even pre-create orders they send to the market. TT simply cannot compete in this space at all. Of course is there a measurable difference between a connection via internet vs right on premises. But I do not see where the edge here is that TT seems to claim over many other, much more specialized and less pricey players. They do not have experience in this space (algorithmic trading) and why would you choose them over other competitors that have plenty more experience, cleaner interfaces, better connectivity at price points at or below TT's?
It could be that you missed what I said in my first post that I'm connecting via the TT FIX adapter - I'm merely using TT as a connectivity solution for my own system, so their interfaces, aren't such a concern for me. There are a few main outfits that do this: TT CQG - which I tried and was a disaster. They also don't have a gateway in FR2. Stellar - which may be bettter than TT, certainly in the service area. But at least as expensive as them. Rithmic - would have been a solid solution, but they don't have any client-facing servers in Europe (let alone FR2). PATS - not sure if they'd actually compete performance wise. Also, I couldn't get any answers regarding where they have servers, etc. I just realized that my previous post didn't indicate that this setup was specifically for Frankfurt. So, true, if this was for CME, there'd be a quite a few other/better solutions. It's a bit late now...but who am I missing? Oh, and btw...I'm contending that there's a very measurable difference between connecting via the internet (from within the premises!) vs. connecting via x-connect.
Who are you clearing with? Are you trading only futures? Which fcm/broker do you use? And yes I think you stating its for Frankfurt /eurex clears up a few things because there definitely are way better choices in Chicago. I would have to ask colleagues who cover eurex. I will pm you when I hear back.