FX Dealing Accelerator

Introduction

The FX Dealing Accelerator (FXDA), a reusable set of software components that provide Spotfire® Foreign Exchange (FX) customers a 'fast start' to deploying FX Market Data/Dealing solutions. The FXDA is available to in open source format, available for customization and rapid deployment of highly customizable FX pricing/trading platforms.

The FXDA provides FX Venue connectivity, Market Data and Execution venue handlers, customized spread calculations/distribution and execution modules, simulation, trading execution and live monitoring, in one continuous loop. The FXDA provides a template for FX system implementation that reduces time to market from months or years to weeks.
 

Here's a video showing how the Accelerator works.

Download

The FX Dealing Accelerator can be downloaded from the Exchange.

Business Scenario

The Foreign Exchange (FX) business is the exchange of one currency for another. Currencies are traded over the counter (OTC) at an agreed exchange rate. Unlike the stock market, there are no centralized venues/exchanges. Parties agree on a rate and trade directly. The market operates 24/5, that is from 0100 GMT on Monday (Hong Kong) to 2300 GMT on Friday (Chicago). The market operates a combination of machine and human (voice) trading. The approximate daily turnover in FX trading is $5 trillion, far higher than in Equity (stock) markets.

Benefits and Business Value

The FX Dealing Accelerator offers the ability to create an FX trading/pricing application that is both flexible and fast to deploy. An FX platform will typically source prices from a number on venues, or Liquidity Providers (LP). These providers will typically have a FIX API or a proprietary API. For the most part a FIX API is now becoming standard. The FX Accelerator provides a framework that connects to LPs and manages the lifecycle of the connection. The burden of maintaining the connection for both Market Data prices and Execution handling is removed. The developer is free to concentrate on adding business specific logic and rules that add value to their organisation.

Functional Objectives

The FX Dealing Accelerator and Demo as described, provide an FX Dealing (Pricing and Execution) application. The Stages in this application are out lined in the figure below:
 

In Summary the processing steps are:

• Ingest Market Data from Liquidity Providers (LPs) via the Trading Components Framework
• Produced an aggregated view of these prices
• Create an average calculation of these prices (in our case VWAP volume weighted average price)
• Apply custom spreads, as loaded in the reference data section (more later)
• Publish these rates to interested subscribers via Live Datamart.
• Display Market Data and Position in Spotfire®

Technical Scenario

The FX Dealing Accelerator (FXDA) provides FX Venue connectivity, Market Data and Execution venue handlers, customised spread calculations/distribution and execution modules, simulation, algorithmic trading execution and live monitoring, in one continuous loop. The FXDA provides a template for FX system implementation that reduces time to market from months or years to weeks while enabling the customer to express their unique IP and or business model.
 

The accelerator is written using Spotfire® Streaming and includes a customized JavaScript UI, in addition to a full Spotfire® DXP. The Trading components framework ships with Streaming and provides the connectivity and venue handling, along with samples to the following FX venues: 360T, SuperSonic, Barclays BARX, CitiFX, Currenex, Deutsche Bank Autobahn FX, Digitec D3 Streaming Interface, EBS, Exegy Input, FXall, FXSpotStream, GAIN GTX, Goldman Sachs Electronic Trading FX, Hotspot FX Trading System, HSBC FIX, Integral FX Inside, KCG Hotspot FX, LavaFX, MarketFactory?, Morgan Stanley, Nomura FX, Saxo Bank, Thomson Reuters Enterprise, UBS,  Wall Street Systems.

The demo illustrates using the building blocks of Streaming, Streaming Trading Components Framework, Live Datamart and a sample JavaScript UI. The market data is provided by means of an in built simulator that provides prices based on current market exchange rates.
 

Live Datamart is used to capture the current state of market data and display information on an interactive, custom developed HTML5 application. This is all built on top of the LDM JS API, which is fully supported.

Components

The FX Dealing Accelerator built Spotfire® Streaming and Spotfire®

The Streaming Trading Components Framework simplifies creating foreign exchange trading applications by providing a set of modules and schemas that include market data and execution handlers for more than a dozen FX venues. The framework's packaged modules, parameterized properties, and consistent interfaces simplify many of the complexities normally associated with creating FX trading applications.
 

At the highest level, the Trading Components Framework packages its modules into two types of venue-specific handlers:
 

Market Data Handlers

Modules that access streaming market currency exchange data.
 

Execution Handlers

Modules that communicate trades with execution venues.
 

Supported Venues

A Trading Components venue is the source of a data feed. All supported venues are for FIX. Market Data handlers for the following venues are currently available in Trading Components. Nearly all venues also have execution handlers, as indicated in the second column.
 

Note

To connect to venues you must have purchased and in some cases downloaded their associated premium adapters. Whether packaged with Spotfire® Streaming software or separately, you are only entitled to use premium adapters that are listed in your contract. If the Separate column in the table contains Yes, the associated adapter comes as a separate download. For a complete list of standard and premium adapters and their usage restrictions, click here.

TABLE of Venues here

Additional Resources

Refer to the FX Dealing Accelerator Readme Article.