1. EXANTE
Broker for Algorithmic Trading
Andrey Okhlopkov, COO
Sergey Troshin, PhD, Tech Lead
April 2012

2. Contents
1. Early Beginning
algorithmic trading on buy side
2. The Idea of Becoming a Broker
allow everyone to write, test and execute algorithms on server
side
3. First Steps
BackOffice. Financial instruments reference book. Market
history.
4. Future and Plans
2

3. Algorithmic Trading Platform
• Fast market data and order execution to
exchanges throughout the world
• Framework for algorithms written using
Scala language
• UI for viewing current algorithm status
• Algorithms were programmed by
developers
3

4. Algorithmic Trading Platform
4

5. The Idea: Broker for algo traders
We want to provide our clients with service
that we needed while being algotraders:
• Create algorithms using specially
designed simple language in convenient
IDE
• Perform algorithm backtesting using
historical market data
• Execute algorithms on our servers
throughout the world
5

6. The Idea: Broker for algo traders
• Provide our solution for the clients
• We need some additional components
• These components should not decrease
latency, stability and throughput of current
system
6

7. The Idea: Broker for algo traders
7

8. Erlang OTP
Functional programming language and runtime system
Concurrent processes with async. messages (actor model)
Single assignment, dynamic typing
Pros
• Designed for distributed systems development
• No serialization needed (Erlang terms)
• Transparent world-wide nodes (messages and RPC)
• Easy monitoring and real-time tracing
• Out-Of-The-Box Templates
• Other languages integration (C/C++, Java, etc)
Cons
• Calculations are slow
• New development team needed (Risks)
8

9. Erlang Benchmarks
• Process spawn time 1.5 µs
• Local node message loop delay
Msg. Size (Integer items) 10 100 1 000 10 000
Time (µs) 1.5 3.1 20 200
• Remote node message loop delay
Msg. Size (Integer items) 10 100 1000 10 000
Time (µs) 150 150 200 500
• Remote node message throughput
Msg. Size (Integer items) 10 100 1000 10 000
Msg./sec 220K 190 35K 10K
9

10. Erlang Benchmarks
• RPC loop delay
Msg. Size (Integer items) 1 10 100 1000
Time (µs) 180 200 200 320
• Port loop delay
Msg. Size (Integer items) 1 10 100 1000
Time (µs) 10 20 25 150
10

11. Symbols Reference Book
• 100K+ symbols
each has 100+
parameters
• Data modifications
(updates)
• All over the world
availability
11

12. Market Data Storage
12

13. Back Office
• Trades Processing
• Risk control
• User Accounts
Management
13

14. Today
Nowadays EXANTE is a full-fledged broker with
it’s own platform:
• Variants of instruments (100K+)
• Integration sability (Feed and/or Execution)
• Multi-platform client (Win, MacOS, Linux)
14

15. Today
15

16. Today
API for algorithmic traders:
• FIX market data and execution gateways
available if different regions
• Client can choose which gateway to
connect or even connect tom multiple
gateways simultaneously
16

17. Future and Plans
We are working on allowing clients to:
• Create algorithms using specially
designed simple language
• Perform algorithm backtesting using
historical market data
• Execute algorithms on our servers
throughout the world
17

18. Questions?
Andrey Okhlopkov, COO (oh@exante.eu)
Sergey Troshin, PhD, Tech Lead (st@exante.eu)
18