Features
- Simple Binary Encoding for high performance market data interfacesThe FIX Trading Community realised that its message encoding was no longer fit-for-purpose for high-performance trading. It came up with the Simple Binary Encoding (SBE) standard to balance the needs of latency versus bandwidth utilisation. We look at how the market data interfaces at the CME Group were implemented with SBE.
MIFID II Clock Sync RequirementsJanuary 2018. MIFID II RTS 25 compliance begins. Five requirements. Seems simple enough, right? Not so fast ...- Models for daily and intra-day volume predictionA practical approach to building an intuitive model for intra-session and all-day traded volumes. Multiple factors are combined in a straight-forward manner to give robust and usable results.
How to align broker and customer interests and make exchanges more competitiveUS regulators are focused on conflicts of interest caused by maker-taker rebates. Is there a way to align broker and customer interests and still incentivise liquidity provision?- Hide-and-seek in the limit order bookDespite some disadvantages, hidden orders have become increasingly popular on the US stock exchanges. Archana and Chinmay Jain explore this hidden liquidity. Data from 2012-2015 shows that smaller stocks, more volatile stocks and less liquid stocks have higher levels of hidden liquidity.
Measuring the absolute accuracy of 10GbE packet timestampingPrecise Ethernet timestamps are key to knowing exactly when a network event occurred. Metamako designed and implemented a rigorous test methodology to measure th