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MICEX Launches Low Latency Market Data Service

Clients will obtain real time trading data — including exchange indices, the 10 best bids/offers, as well as market statistics — as a multicast stream.

Moscow Interbank Currency Exchange (MICEX) Group, the largest exchange in Russia, the CIS, Central and Eastern Europe, said they release of a new low latency market data feed service — MFIX Market Data Multicast.

The new service, developed by B2Bits, EPAM Systems' Capital Markets Competency Center — a provider of FIX connectivity solutions —will enable MICEX clients to obtain real time trading data — including exchange indices, the 10 best bids/offers, as well as market statistics — as a multicast stream of UDP-based FIX/FAST 5.0 SP2 encoded messages.

This new implementation replaces the currently employed MFIX Market Data, developed by B2BITS in 2009, which uses separate TCP connections for each client. Though the earlier version provided full market data services, the number of concurrent users streaming data was limited by its older architecture. The new MFIX service is designed to address this limitation, while providing greater overall efficiency, according to today’s release.

MICEX clients with the appropriate leased line connections will be able to receive market data within single digit milliseconds of a transaction. Market data is published to a client immediately after an order/event with an average delay of less than 1 millisecond.

In a statement, Alexandre Shlyappo, VP, MICEX commented: "The FIX-based trading software developed by EPAM's B2BITS has proven to be a highly reliable, quality solution. The majority of our clients — large market data providers — have adapted their systems to the FIX protocol format. The brand new MFIX Market Data Multicast service works as a real time trading data publisher. With significantly decreased market data feed delays, it provides the high performance, low latency infrastructure critical to stock exchange participants. I am confident this service will exceed our clients' expectations in processing the rapidly increasing volume of market data traffic while reducing its publishing time."

MFIX plans to go live in September, 2011. The data will be disseminated over the leased lines. Co-location clients will also be able to receive the data feeds. Three types of service are currently planned: • A standard Level 2 feed with 2 Mbit network traffic for all three MICEX markets: Equities, Futures and Options, as well as the Currency market. This feed is expected to maintain data delivery latency below 10 milliseconds even through transient market activity spikes; • A low latency Level 2 feed with 10 Mbit network traffic. This feed should not cause any additional publishing delays due to bandwidth limits; • An active order list feed with 6 Mbit network traffic.

The exchange invites all development teams who are interested in this opportunity to start building feed handlers using the web-based connection to the MICEX test environment. The test environment is available 24/7, and the developer's manual can be accessed here.

Ivy is Editor-at-Large for Advanced Trading and Wall Street & Technology. Ivy is responsible for writing in-depth feature articles, daily blogs and news articles with a focus on automated trading in the capital markets. As an industry expert, Ivy has reported on a myriad ... View Full Bio

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