By Yuval Cohen, Technical Lead, Etrading Software; Co-chair Application Layer - Market Data Subgroup of the High Performance Working Group (HPWG), FIX Trading Community.
Over the past few years there has been a proliferation of high performance market data protocols not only in the traditional equities and listed derivatives markets but also in other markets such as foreign exchange, fixed income and energy. With each new protocol comes the need for software vendors and investment banks to develop and maintain new feed handlers, and with that, incur the increased cost.
Increasing costs in an industry that is currently looking to reduce the financial impact of its technology has raised alarm bells within the industry which has resulted in initiatives that should soon establish an opposite trend that converges existing market-data protocols to a few key standards.
Over the past couple of years, FIX HPWG has been working to develop a set of open standards aiming to reduce the overall costs of development, implementation, maintenance and support of high performance trading and market data protocols. An additional initiative to support high performance market data protocols has been started a few months ago and is now being integrated into the working group.
The aim of these new standards is to be easily adopted by execution venues, banks, vendors and other financial firms that communicate with trading or market data protocols.
They cover multiple asset classes: equities, derivatives, foreign exchange, fixed income and other tradable instruments. The new standards have been built with high throughput and low latency as a core requirement and design principal.
The following standards are being developed by various subgroups of the FIX HPWG to provide a solution for high performance, low latency, high throughput market data protocols:
- A complete set of market data workflows and messages which contain:
o Reference data workflows
o Order-book management workflows
o Recovery and initialization of order-books and reference data
o Additional workflows which are common to market data feeds
- A set of high performance encodings which are recommended for non-bandwidth constrained networks
o Simple Binary Encoding (SBE)
o Encoding FIX Using ASN.1
o Encoding FIX Using Google Protocol Buffers (GPB)
- For bandwidth constrained networks, FIX
o Developed FAST (FIX Adapted for Streaming) encoding a few years ago
o Intends to develop CBE (Compact Binary Encoding) in the future
- A new session layer FIXP which provides:
o Reliable, highly efficient, exchange of messages
o Symmetric (peer-to-peer) communication of messages (mainly used over TCP/IP)
o Asymmetric multicast (one-to-many) communication of messages (mainly used over UDP)
o Independence of encodings and transport layer
Some of these open standards are ready to use, whilst the full set of these standards is expected to be technically ready and published in 2015.
There are already execution venues that have started to adopt some of these standards and others that have shown great interest.
In the coming years, there is a good opportunity for the industry to significantly reduce the costs of market-data communication by converging on these fit-for-purpose open standards.