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FOREX TECHNOLOGY


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on three ECNs, one is now seeing firms wanting to be on all the ECNs and having direct connections to a variety of different dealers,” Indeed, increasingly it is common today to see firms having perhaps ten to fifteen FX data connections and FX execution venues.


“Tat’s really a significant data integration challenge,” argues Tibbetts. “It’s not the raw volume, but just the number of different counterparties firms are connecting to and the semantics involved with some of those venues. And, on any given day one of those venues could be experiencing a technical problem.”


Challenges


So, some of the issues centre on a scalability challenge and particularly if a firm has a legacy infrastructure built around dealing with a single dealer or even several preferred ECNs. Minor Huffman, CTO at FXall says: “Te two main challenges we see are processing delays with micro-bursts of market data and bandwidth constraints, especially during market events. We’ve seen many examples where a client’s bandwidth requirement increases by an order of magnitude during a market event.”


Richard Tibbetts


“It’s not the raw volume, but just the number of different counterparties firms are connecting to and the semantics involved with some of those venues.”


Infrastructure


Richard Tibbetts, Chief Technology Officer (CTO), StreamBase Systems, commenting on the challenges facing FX trading firms in handling increasing volumes of market data for their trading, analytics and risk management operations, says: “It all rather depends on the infrastructure in place and what a firm has to cope with. However, if the institution in question has a relatively modern infrastructure, it’s not the volume of FX data that [necessarily] poses a problem.”


He adds: “Your peak volumes are still under 20,000 messages per second typically, so such firms are not tending to run into raw bandwidth issues in the way that one can encounter with equities data.” With a wider variety of sources available now for FX market data, the issue is more about data integration.


“What we’re seeing is firms wanting to have a wider variety of sources,” says Tibbetts. “As opposed to being


72 | april 2011 e-FOREX


Unlike the equities world, the FX market also has banding (i.e. rates) for different levels of volumes traded - be it $10m, $50m or $100m. Trenner adds: “In foreign exchange or in the credit markets the data is often not so readily available. And, the number of providers of that data is very much larger than the other asset classes. So, one only needs to subscribe to a small number of instruments relative to those other asset classes. Nevertheless, there’s the requirement to blend market data of those instruments from many disparate venues.”


He says that anther challenge is that in general, the most actively traded currency pairs have more frequent tick updates than other asset classes. “One may have a narrower set of data types to accumulate, yet there’s a much greater amount data in general in each of those types. Tis means having to perform a series of operations that are going to be “critical to your


Justyn Trenner, CEO & Founder, ClientKnowledge, says: “Te FX market is different [to the equities world] in that there is a more limited number of instruments. Clearly, with equities and fixed income there are a huge number of instruments. But the data is generally readily available - even if you may have to subscribe to it.”


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