Object Trading Shaves Pre-Trade Latency

The enhancements include individual trader and shared order book risk management, nominal value risk management by currency and increased integration options with dynamic configuration and programmatic application programming interface (API) access, says Gerry Turner, executive director of international operations at Object Trading.

The system upgrade was rolled out during the first quarter, enhancing a service that has been live since 2008, as a component of Object Trading's FrontRunner Direct Market Access platform, according to Turner. Two major sell-side global capital markets firms and several buy-side groups had participated in extended beta testing of the upgrade since mid-summer 2009, interacting with a range of major derivatives and cash-equity destinations worldwide, he adds.

The upgrade keeps latency in transactions to less than 10 to 20 microseconds, including enforcement to risk constraints, says Turner. "The upgrade allows customers to increase their risk control by applying real-time pre-trade constraints within their exchange gateway transaction flow, without adding any material latency to that transaction flow," he says. "The average per-transaction latency added by the risk system is measured in microseconds."

The upgrade to FrontRisk leverages low-latency software from FrontRunner, according to vendor officials. FrontRunner is a multi-threaded asynchronous message-based server that uses C++, proprietary protocols and advanced network optimization. It supports the FIX protocol and has a proprietary API library implemented in C++. This library is now also available on Microsoft Windows, Sun Microsystems Solaris, Linux and Mac OS-X, to integrate FrontRunner with client trading systems.

With the FrontRisk upgrade, the service can be integrated into global cross-margin risk platforms without compromising performance of in-line direct market access (DMA) trade execution, says Turner.

The enhanced version of FrontRisk is available now to all FrontRunner users and on Object Trading's more than 50 electronic trading destinations, and will be available on all future destinations, according to officials. Vendor officials would not cite specific figures for the volume of trade executions being processed by the upgraded version of FrontRisk, but, Turner says, "a significant percentage of order throughput through the most liquid contracts on major trading destinations such as the Chicago Mercantile Exchange (CME) and Eurex are being pre-trade risk managed through the mechanism."

Michael Shashoua