FX TRADING SYSTEMS
monitor what is happening and quickly identify where any issues are.
Once these rates are captured, they need to be stored in a database. Capturing tick data across many currency pairs means
potentially thousands of
updates per minute, so the database must be robust, with plenty of storage ‘headroom’; a full HDD will quickly crash any machine.
Hardware
Tis could be an entire article in itself, but suffice to say this environment cannot be run on a standalone computer and the only robust solution is to house the server in a data centre, of which there are many to choose from. Typically in London though, for a low latency connection to the main ECN’s, it means locating in ‘LD1 through 5’ – and more oſten LD4 in Slough.
Tere are many other equally good data centres located in other locations, only a few milliseconds further away,
but in the world of high frequency trading (HFT) where low latency is vital, even having a server a few feet closer to the exchanges’ servers, can make a difference; and there is now a high premium to pay for both the location of the data centre, as well as location within the DC itself. Te old adage of ‘location, location, location’ seems to hold true even in the world of HFT. Tere are similar data centres and premiums on space, in every major financial centre.
IT has come a long way in recent years and there are now Virtual Private Server (VPS) solutions available, which are both more robust than a single physical server as well as relatively inexpensive to maintain; the server actually residing on a ‘cluster’ or servers, meaning that any one server can completely fail, yet allow the VPS to continue running uninterrupted with
no downtime.
From this perspective, the playing field has been very much levelled in favour of smaller firms and individual traders, who can now afford similar levels of redundancy and raw processing power, which would have cost as least ten-fold the amount, until relatively recently.
Execution
Once clean data is coming into the algorithm, which is running on a stable environment, the last piece of the jigsaw is the execution itself. Without clean data,
spreads widening in an
Figure 7: Location of the key London Data Centres
illiquid market can mean signals being triggered erroneously, and valid trades being missed. Having addressed both of these challenges, the final step is the
34 FX TRADER MAGAZINE October - December 2013
execution of the trade itself. We worked with Cambridge Trading Research to develop robust execution algorithms, but again there are other firms who can write custom APIs (Application Programming
Interface) and many brokers provide ‘off the shelf solutions’.
Although there are a number of vital connections in the chain, a good rule of thumb is to keep each step as simple as possible, and to minimise the number of things that can go wrong.
Te solution that we settled on with CTR is having the algorithm write a simple string to a text file, with all the relevant details for the order, such as which currency pair, Buy or Sell, Amount,
type of order (limit
or market etc.). Tis file is then read by the CTRs Order Entry System and sent to the relevant broker in the correct format, meaning the solution can integrate with almost any broker.
Tis means that the VPS can be connected to via Remote Desktop, with every step of the process able to be monitored visually: Te data can be seen coming into Excel (see Figure 6), we can see it then plotted visually as a chart in any charting platform, such as MultiCharts™, we can see the orders being appended to the text file, as they’re written, and then visually see them executed in the ECN’s Graphical User Interfaces (GUIs).
Te system is also independently monitored 24 x 7 by the data centre, for any loss in connectivity.
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