User:Alexkachanov/Finance/Technologies/Trading venues

Программные системы
Все программные системы на бирже можно сгруппировать в следующие группы:
 * торговая система, система торгов - trading system
 * клиринговая система - clearing system
 * информационная система - information system - базы данных, система вычисления и распространения финансовой информации

As late as 2007, Wall Street exchanges were still largely run on Unix, such as Hewlett-Packard's HP-UX, IBM's AIX and Sun Microsystems' Solaris. Red Hat Enterprise Linux is now the dominant Linux distribution among exchanges, Lameter said. Red Hat counts among its customers the Chicago Mercantile Exchange, New York Mercantile Exchange, Frankfurt Stock Exchange, Eurex derivative exchange and Philippine Stock Exchange.

A typical architecture of an exchange will consist of a number of different subsystems, Lameter said. One component is a matching engine, which pairs a seller and a buyer for each trade. The engine captures all the information about the trade so it can be retraced and audited. Specific engines handle specific sets of stocks. An average exchange will have somewhere from 60 to 100 servers handling the matching.

An exchange will also have a set of front-end processors, which is the system that the traders connect to. This system will usually consist of 500 to 1,000 servers. "The trader is not allowed to connect to the matching engine itself," Lameter said. Instead, the trader's machine connects to the front-end server and the server checks the trade to verify it is possible, then sends instructions for the trade to the matching engine. Once the trade is completed, the front-end processing system then returns a message to the trader.

On the software side, many exchanges still primarily use software that was built in-house, using languages such as Java or C++. Some, however, are migrating toward commercial packages, at least for some tasks such as message passing. Tibco's messaging software and Informatica's 29West are the predominant messaging tools in this space. Many exchanges have also settled on an emerging standard for messaging, the Linux-friendly Middleware Agnostic Messaging API (MAMA).

Microsoft has not yet made major inroads to this market, Lameter said. "Windows is mostly relegated to the back office," he said. He claimed that Windows typically has larger latency times than that of Linux, and noted that in 2009, the London Stock Exchange tried and abandoned Windows servers.

Microsoft declined to discuss the London Stock Exchange, though a spokesperson did note that it has plenty of customers in the financial services industry, such as Thomson Reuters and KAS Bank. Microsoft also cited a 2010 IDC study that showed that, worldwide, Microsoft enjoyed 74.7 percent of the server market, while Linux captured only 21.4 percent of the market.


 * http://www.itworld.com/print/193823

Front-end processors
Aka: gateway.

Системы, которые взаимодействуют с внешними системами. Это - граница, за которой начинается ответственность биржи за ордер. Здесь сеть биржи смотрит во внешний мир. Здесь стоят файрволы, load balancer-ы, здесь проходит валидация ордера, переконвертация его в формат биржи, регистрация и передача в matching engine. Через этот компонент не только обрабатываются ордера от клиентов и отправляются ответные сообщения, но и принимаются запросы на рыночные данные, на сервисную вспомогательную информацию (здесь с помощью особых команд клиент может сверить открытые ордера и проверить свои открытые позиции) и ведется поток рыночных данных в реальном времени.

На первых порах почти каждая биржа имела свой собственный messaging формат и протокол. С ростом популярности FIX-протокола для обмена сообщениями между buy и sell-side, биржи тоже стали добавлять FIX-протокол в ассортимент. Некоторые биржи работают только по FIX-протоколу, некоторые - только native, некоторые имеют два шлюза: один - для FIX, другой - для native, а некоторые - один шлюз, который понимает и FIX и native.

Native-протокол это почти всегда обмен массивами байтов по сокетам. Для работы по своему протоколу биржа раздает библиотеку под разные платформы (чаще всего Windows и Linux) и под разную разрядность - 32-бита и 64-бита. Эту библиотеку разработчики линкуют в свое приложение и через эту библиотеку устанавливают соединение (чаще всего TCP/IP) со шлюзом биржи, принимают и передают сообщения.

С FIX-протоколом проще. Биржа предоставляет документ, который описывает, какой версии FIX-а они придерживаются и какие свои особенности вносят: дополнительные теги, какие сообщения в каком случае отправляются. Разработчику остается только взять имеющийся в его распоряжении FIX-движок и внести необходимые изменения в сообщения в соответствии со спецификацией биржи.

Gateway может быть общим - куда подключаются все клиенты, а может быть отельным-выделенным для какого-то очень важного клиента торгующего в больших объемах и очень чувствительного к latency. чаще всего выделенный gateway предоставляют специалистам или маркет-мейкерам.


 * Cancel-on-disconnect
 * Kill Switch

Matching engine, Trading system
aka: order-matching engine

Trading Systems are systems which perform order matching and execution, create execution notices, as well as retrieve order book information.

Если на бирже торгуется несколько классов ценных бумаг, для каждого класса имеется своя торговая система со своими особенностями: для торговли акций, бондов, фьючерсов и опционов.

Биржи могут
 * могут написать сами или
 * купить торговые системы у знаменитых вендоров-бирж, у которых есть свои IT-отделения и которые поспели первыми в создании своих платформ электронных торгов, или
 * заказать систему у местных IT-компаний или
 * арендовать торговую систему у ведущей биржи и торговать своими ценными бумагами удаленно на платформе, которая физически может быть расположена в другой стране и на другом конце Земли

Иногда некоторым биржам удается написать универсальную торговую систему, которая успешно торгует всеми классами ценных бумах: акциями, бондами и деривативами. Разумеется, физически эти три экземпляра торговой системы разделены и независимы друг от друга.

Современные торговые системы пишутся на всех языках программирования высокого уровня: C/C++, Java и платформе .NET. Во главу угла ставится надежность и скорость работы (скорость исполнения ордеров) - главные факторы в конкуренции бирж между собой при борьбе за клиентов и их ордера. Классический пример - Лондонская фондовая биржа, которая запустила в 2008 году систему на платформе Microsoft Windows, .NET, и эта система рухнула, подпортив репутацию биржи. После чего биржа быстро перешла на платформу Linux и поставила новую торговую систему.

Sequencers benefit from hardware accelerated time-stamping of all the orders incoming from market participants.

The Matching Engines use hardware accelerated in-memory databases, called a Key-Value Store (KVS), for maintaining open orders, aggregated order book building, sorting, as well as matching of outstanding orders based on price, timestamp, volume, and other priorities.

Знаменитые вендоры, которые написали Matching engine для многих бирж:
 * NYSE Euronext: LIFFE Connect (derivatives)


 * MilleniumIT: stocks,


 * NASDAQ OMX:
 * CLICK XT - устарел уже и OMX переводит всех на более прогрессивный Genium INET
 * OS: OpenVMS: Alpha, Itanium; Windows: Intel;
 * Database: Oracle;
 * infrastucture: HP Reliabale Transaction Router
 * биржи: HKEx (до конца 2013 года); ASX; SGX; SICOM; Borsa Italiana; EDX London; International Securities Exchange; Nord Pool; OMX Nordic Exchange; Thailand Futures Exchange (TFEX); Wiener Borse; TOCOM;
 * Genium INET
 * биржи: HKEx (с конца 2013); ASX, SGX (с 2011);


 * Cinnober:
 * TRADEExpress - stock/derivatives

Drop Copy Service
Система сбрасывает копии всех мессаг, которые отправил или получил клиент, который работает по DMA от вашего имени. Поток этих данных используется брокерами для контроля за клиентом без внесения latency, т.е. для валидации и проверки рисков post factum.

Первыми реализовала эту систему биржа CME в своей торговой системе Globex, и с тех пор сервис drop-copy является стандартным предложением всех передовых бирж, где есть DMA.

Данные Drop Copy почти всегда отдаются по FIX-протоколу но есть случаи когда биржа отдает данные по своему нативному протоколу который поддерживает и передачу ордеров и передачу данных drop copy

Index calculation systems
система которая расчитывает собственные индексы биржи и статистику по результатам торгов и подает вычисленные данные в Market data systems.

Не забываем, что есть еще индексы сторонних организаций (например: S&P, Bloomberg, Nikkei). Они вычисляются самими организациями на основании рыночных данных, полученных от биржи.

Market data systems
aka: Information dissemination system, Market Information System

Market Information Systems serve to provide updates of price fluctuation occurring in securities trading in the market. Market information is provided to entities such as securities companies, financial institutions, information vendors, news and communications companies via dedicated lines on a real-time basis.


 * FIX или свой собственный формат
 * напрямую или через data vendor

данные выдаются через market information gateway

Clearance and settlement systems
Системы, которые вычисляют кто кому сколько должен

Информационные системы
System which digitizes delivery/receipt of documents to/from parties such as trading participants and listed companies.

System which digitizes timely disclosure information of listed companies, and communicates this information to the media and Information investors via the network

System infrastructure which consolidates information system's open system online front-end processes and the storage environment. By sharing the system infrastructure, achieve operational efficiency and reduce cost.

Surveillance systems
Системы, которые следят за качеством торгов и выискивают нарушения типа манипулирования рынков, подозрительные инсайдерские сделки, "layering" и прочее.

USA: under Reg NMS, execution venues are delegated responsibility, first and foremost, to ensure that each order receives Best Execution (Best Ex). As a result, execution venues, including market makers, are required to file monthly SEC Rule 605 reports with the SEC to comply with requirements of proper supervision of their Best Ex requirements.

Data centers, инфраструктура

 * свои дата-центры
 * своя собственная магистральная сеть-кольцо, соединяющая первичный дата-центр со вторичным и access-points, points-of-presence
 * услуги по co-location, aka exchange hosting
 * услуги по proximity

Robust data centers which fully comply with the standards described in FISC's (The Center for Financial Industry Information Systems) "FISC Security Guidelines on Computer Systems for Banking and Related Financial Institutions", and also obtained ISMS (Information Security Management System) certification.

участники торгов подключатся изне к бирже через access-points, которые соединены с биржей по высокоскоростной магистрали

Co-location is a service which allows trading participants to install their order placement servers at the TSE primary site. Reducing physical distance to the TSE trading engine has the effect of minimizing the delay in information distribution and reception. This service is used by trading participants and their clients who perform high-speed trading. Securities company equipment (automatic ordering servers) are placed within the exchange's data center to place orders and receive quote information.

Physical co-location eliminates the unavoidable time lags inherent in even the fastest wide area networks. Servers in shared data centers typically are connected via Gigabit Ethernet, with the ultrahigh-speed switching fabric called InfiniBand increasingly used for the same purpose, says Yaron Haviv, CTO at Voltaire, a supplier of systems that can achieve latencies of less than a microsecond, or 1 millionth of a second.

Физический доступ к дата-центрам всегда очень сильно ограничен. Для установки своего оборудования в дата-центре всегда надо пройти многоуровневую проверку и идентификацию. Доступ к своему оборудованию в дата-центре всегда осуществляется только в сопровождение работника дата-центра и в его личном присутствии.

Exchange Latency
Сколько времени уходит у биржи на обработку ордера (order execution) и распространение цены сделки (price distribution) - как быстро цена по которой был исполнен ордер появится в market data. Каждая биржа, пул, ATS и ECN соревнуются в том, кто быстрее обрабатывает ордера.


 * price distribution: (2008 г.) NASDAQ, for example, claims that it disseminates prices within one millisecond of trades being done. To a very poor outlier exchange, which can take up to 18,000 milliseconds to disseminate the price of a trade, this is a very long time. BATS Trading is faster still, disseminating prices in about 400 to 500 microseconds, and producing an order acknowledgement within 400 microseconds of order receipt. The LSE, for example, produces results in two milliseconds. The NYSE takes between three and five milliseconds, and it’s working to reduce that to two milliseconds. Deutsche Börse distributes prices within two milliseconds.


 * order execution: (2008 г.) Typically, order-execution times are slower than price-dissemination times, although that’s not invariably true. At the time of the survey, main board exchanges were achieving times between 25 milliseconds and 100 milliseconds for order execution. The LSE now executes at best within eight milliseconds, with a median of 14 milliseconds. The NYSE claims to execute at between 10 and 25 milliseconds. NASDAQ will claim to be within 15 milliseconds. BATS Trading is much faster than that, producing results within five milliseconds. By contrast, the outliers probably are around 250 to 500 milliseconds for execution. NASDAQ and NYSE latency performance improvements are largely due to their Inet8 and Arca9 acquisitions, respectively.

Технические детали
Иногда в торговом зале биржи, которая полностью перешла на электронные торги, можно увидеть людей, сидящих за терминалами. Это могут быть люди из наблюдающих органов, технические работники биржи, либо рабочие места брокеров, которые работают на бирже, так как не имеют средств на организацию рабочего места в своем офисе (слишком маленький flow, чтобы тратиться на инфраструктуру, далеко расположены от биржи, или что-то еще), в этом случае офис связывается с брокером по-старинке - по телефону - а брокер в торговом зале просто принимает ордера из офиса и вводит их в систему. Бывает, что используют место за терминалом на бирже в качестве backup.

Weehawken
Run by hosting company Savvis
 * BATS Weehawken, NJ
 * BATS Options Weehawken, NJ
 * NYSE Weehawken, NJ (2010: Mahwah, NJ)
 * NYSE AMEX Weehawken, NJ (2010: Mahwah, NJ)
 * NYSE Arca Weehawken, NJ (2010: Mahwah, NJ)

US Stock

 * BATS Weehawken, NJ
 * Direct Edge Jersey City, NJ (2010: Secaucus, NJ)
 * NASDAQ Carteret, NJ
 * NYSE Weehawken, NJ (2010: Mahwah, NJ)

US Options

 * BATS Options Weehawken, NJ
 * Boston Options Exchange (BOX) Newark, NJ
 * Chicago Board Options Exchange (CBOE) Chicago, IL
 * CBOE C2 (2010) Secaucus, NJ
 * Chicago Mercantile Exchange (CME) Chicago, IL
 * Intercontinental Exchange (ICE) Chicago, IL
 * International Securities Exchange (ISE) Jersey City (2010: Secaucus, NJ)
 * NASDAQ Options Market Carteret, NJ
 * NASDAQ PHLX Carteret, NJ
 * NYSE AMEX Weehawken, NJ (2010: Mahwah, NJ)
 * NYSE Arca Weehawken, NJ (2010: Mahwah, NJ)

US Futures

 * Chicago Mercantile Exchange (CME) Chicago, IL
 * Intercontinental Exchange (ICE) Chicago, IL

Прочие

 * LIFFE, NYSE Euronext's markets in Europe - Cannon Bridge data centre in Basildon, England, thirty miles east of London. NYSEEuronext announced that it had migrated all of its matching engines for European markets to the Basildon data center – known as its European Liquidity Center.
 * Eurex: Eurex matching engines are distributed over two data centers and the plan is to move all of its matching engines into the Equinix facility. The company said roundtrip times will be as low as 0,12 – 0,15 ms once both engines are collocated within the Equinix site.

Технические детали
Matching engine физически может сдаваться в аренду другой бирже. В этом случае matching engine находится в одной стране, но на нем торгуются ценные бумаги, которые зарегистрированы на бирже другой страны. В другой стране делается access point со всем необходимым оборудованием и коммуникационным каналом, который уходит за границу в страну, где расположен matching engine. Таким образом для открытия биржи вовсе необязательно писать свой matching engine или покупать его с установкой и настройкой у себя. Можно использовать matchine engine as a service другой биржи, и торговать своими инструментами либо в перемешку с инструментами той биржи или в отдельном sandboxe. Юридически сделки по таким акциям относятся к той стране, где расположен каждый контрагент.

Пример: Корейская биржа деривативов - дневные торги проводятся в Корее на собственном движке, ночные торги проводятся на движке CME, т.е. ордера принимаются в Корее, раутятся в США, там исполняются и возвращаются обратно. Несмотря на то, что торги проводятся в другой стране, юридически они осуществляются в Ю.Корее.

В качестве другого примера - кросс-линк - Бразильская биржа и Чикагская биржа. Обе биржи торгуют инструментами другой биржи. Биржи соединяются высокоскоростной сетью, что позволяет принимать ордер на чикагский инструмент в Бразилии и быстро его перенаправлять в matching engine в Чикаго. Американские контрагенты должны получить разрешение от американского регулятора, чтобы торговать инструментами Бразильской биржи, так как это инструменты другой страны.

США
В США после консолидаций и слияний образовалась Большая Четверка, которые имеет 6 под-бирж. Всего в США 13 бирж, 10 из которых принадлежат Большой Четверке:
 * NYSE, NYSE Amex, and NYSE Arca (3)
 * NASDAQ, NASDAQ PSX, and NASDAQ BX (3)
 * BATS and BATS Y (2)
 * EDGX and EDGA (Direct Edge) (2)

Помимо этого в США имеется еще 40 dark pools, которые в целом делятся на категории: - старички на рынке еще со времен ECN
 * Public crossing networks,
 * Instinet,
 * Liquidnet - a service offered to buy-side institutions only, operates continuously throughout the day. Institutions make the trade blotters of their order manage ment system (“OMS”) available to be compared on Liquid net, which notifies each party when a potential match is found. If parties are interested at that point, they then go into electronic, anonymous negotiation to consummate a trade. Liquidnet operates like a peer-to-peer network that scans buy-side order management systems and sends an instant message when there's a match.
 * ITG POSIT - a service available to both buy-side and sell-side participants, operates a passive, mid point “call market,” where a cross occurs roughly every half-hour throughout the trading day. At a random time selected within a one minute window of time after each cross begins, a midpoint price is set at which all matching buys and sells are executed.
 * Harborside+, which is a service available to both buy-side and sell-side participants, operates continuously throughout the day. Similar to Liquidnet, it looks for potential matches on OMS blotters. When a match is found, a human broker at Harborside+ calls each party and seeks to help both of them negotiate to complete a trade. Открылась в 2002 году, закрылась в мае 2005 года
 * Pipeline Trading, which is a service available to both buy-side and sell-side participants, relies on participant systems entering block orders into its system. Orders that are entered result in screen displays lighting up the symbols of the entered stocks, but does not disclose side. Orders may be priced at any price or at midpoint, which is encouraged by granting near-match notification to midpoint enterers that there is a potential counterparty at a price not far from the midpoint.


 * Internalization pools, such as Goldman's SigmaX and Credit Suisse's Crossfinder - внутренние пулы брокеров. Практически каждый крупный брокер имеет свой dark pool
 * Ping destinations, such as dark pools operated by GETCO and Citadel (these orders do not rest in the pool but give the prop-trading owners of the pool the option to trade with you) - dark pool-ы HFT-компаний
 * Exchange-based pools, such as ARCA Hidden and BATS Hidden - dark pool-ы бирж
 * Consortium-based pools, such as BIDS, LeveL ATS - dark pool-ы консорциумов

SuisseU.S./European Dark Liquidity PoolsAn expanding list of players:

Sponsor: Dark pool
 * Pipeline Trading Systems: Pipeline Block Trading System
 * eSpeed: Aqua
 * Bloomberg: Block Hunter
 * Automated Trading Desk: Institutional Match
 * Investment Technology Group: POSIT Match
 * Investment Technology Group: POSIT Now
 * Instinet: Instinet Global Crossing
 * Liquidnet: Liquidnet
 * Liquidnet: Liquidnet H2O
 * BNY ConvergEx: VortEx
 * Knight: Match
 * NYFIX: Millennium ATS
 * NYFIX: Euro Millennium
 * River Cross: River Cross
 * Credit Suisse: CrossFinder
 * Morgan Stanley: ATS1
 * BIDS Trading: BIDS Trading ATS
 * Merrill Lynch/ITG: BLOCKalert
 * Fidelity Brokerage: CrossStream
 * eBX: LeveL
 * State Street: Lattice
 * NASDAQ: Midpoint Reserve
 * NYSE: Matchpoint
 * ISE: Midpoint Match
 * UBS: UBS PIN
 * Goldman Sachs: SIGMA X
 * Merrill Lynch: MLXN
 * Morgan Stanley: MS POOL
 * Lehman Brothers: Liquidity Center Cross (LCX)
 * Citi: LiquiFi

New York Stock Exchange (NYSE)

 * wiki: New York Stock Exchange
 * HQ location: 40.70683°N, -74.01103°W
 * Matching Engine location: NYSE Technologies: Weehawken, NJ (начиная с 2010: 1600 MacArthur Boulevard, Mahwah, NJ)
 * Exchanges: NYSE Stocks, NYSE AMEX Options, NYSE Arca Options, CTA/OPRA (market data)
 * Duncan Niederauer - NYSE Euronext chief executive
 * CTO - Stetve Rubinow
 * NYSE Technologies (January 2009) - Stanley Young, chief executive
 * Chief Infromation officer: Peter Leukert


 * connectivity: http://usequities.nyx.com/connecting

система торговли Archipelago - куплена в апреле 2005 года

пока на NYSE работает система Hubrid Market System, где устные аукционы сочетанются с элементами электроники. Однако согласно недавно принятому законодательству, устный аукцион вскоре закроется и полностью будет замеен электронными торгами, исключающими участие человека.

NYSE has reduced the time it takes to execute an order to five milliseconds from 105 milliseconds, with the implementation of the new NYSE Super Display Book system (SDBK) for processing orders. As a result, NYSE customers are experiencing trade executions and reports within five milliseconds, as well as order and cancellation acknowledgments in just two milliseconds.
 * http://exchanges.nyse.com/archives/2009/07/dots_all.php

Published: 14 May 2007 The New York Stock Exchange (NYSE) is migrating off a 1,600 millions of instructions per second (MIPS) mainframe to IBM System p servers running AIX and x86 Hewlett-Packard Co. (HP) servers running Linux, with the first part of the move going live today
 * http://searchdatacenter.techtarget.com/news/1254860/NYSE-undertakes-IBM-mainframe-migration-to-Unix-and-Linux

The conversion to Linux followed the acquisition of the Euronext exchange in 2007, and the open source operating system is now powering the NYSE's mission-critical trading systems. Unlike some trading companies that suggest Linux is running their secondary systems, Rubinow emphasized that Linux is running the NYSE's mission-critical trading systems. Instead of running on proprietary hardware, the exchange, now known as NYSE Euronext, runs on 200 four-way HP ProLiant DL585 servers and 400 ProLiant BL 685c blade servers.

“As a result of mergers and acquisitions, the New York Stock Exchange has migrated over the last few years from HP-UX to IBM AIX to Sun Solaris to Linux. NYSE Group CIO Steve Rubinow said, "Red Hat is like water; it's pervasive within our architecture. ... Without it, most of our computers wouldn't be running." ” - Information Week, 14 May 2008

The largest exchange, the New York Stock Exchange (NYSE) Euronext, is run on a Linux system that can generate 1,500,000 quotes and process 250,000 orders every second, offering acknowledgments of each transaction within two milliseconds.
 * http://www.itworld.com/print/193823
 * http://www.computerworld.com/s/article/9053008/NYSE_places_buy_on_Linux_hold_on_Unix

NASDAQ

 * wiki: NASDAQ
 * matching engine location: дата-центр 1400 Federal Boulevard, Carteret, NJ
 * Exchanges: NASDAQ Stock Market, NASDAQ Options Market, NASDAQ PHLX Options
 * 100 компаний поставили свои сервера в дата-центре биржи. Стоимость места - 3.500 в месяц.
 * 200.000 - 250.000 ордеров в секунду, 200.000.000-250.000.000 оредров в торговый день, 20.000.000 транзакций в день - так как не все ордера приводят к транзакциям
 * protocol: FIX, QIX (proprietary), OUCH, RASHport, CTCI

Direct Circuit Connectivity:
 * Con Edison Communications
 * Level 3 Communications
 * Verizon Business
 * Yipes

Extranet Connectivity:
 * BT Radianz
 * SAVVIS
 * Sector Inc.
 * TNS
 * Verizon Business VFN
 * Yipes

Service Bureaus Connectivity:

NASDAQ uses a modified version of the Gentoo Linux distribution. 1

Chicago Mercantile Exchange (CME)

 * wiki: Chicago Mercantile Exchange
 * Chief information officer (на момент 2013.03): Kevin Kometer
 * Matching Engine location:
 * CME previously rented space at the Equinix facility in the Chicago metro area, where the InterContinental Exchange’s (ICE) matching engine, banks and dark pools are also housed: Equinix: Chicago Lakeside, 350 Cermak Boulevard, Chicago, IL;
 * с 29 января 2012 года: новый "CME Group data center" в Aurora, IL
 * connectivity: http://www.cmegroup.com/globex/index.html
 * colocation: http://cmegroup.com/colo
 * CME LNet – 1 Gb direct connectivity solution to the CME Globex fiber network
 * CME Globex Hubs - connection to redundant data centers in Hong Kong, Kuala Lumpur, London, Mexico City, New York, São Paulo, Singapore, Seoul, and Tokyo
 * Client INTERNETLink – a secure, online VPN tunnel,
 * CME EConnect - local points of presence in New York and New Jersey
 * Jackson Direct - from CBOT

Chicago Board Options Exchange (CBOE)

 * wiki: Chicago Board Options Exchange
 * Chief information officer (на момент 2013.02): Gerald O'Connell
 * Matching Engine location: CBOE: Chicago Loop, 400 S. LaSalle Street, Chicago, IL
 * market model: http://www.cbsx.com/aboutcbsx/marketmodel.aspx

BATS Exchange

 * wiki: BATS Global Markets
 * Matching Engine location: Equinix data center in Secaucus, NJ. Secondary data center: SAVVIS CH4 Chicago, IL;
 * Exchanges: BZX Exchange; BYX Exchange; EDGA Exchange; EDGX Exchange; DBZ Options Exchange;
 * CEO - David Cummings
 * connectivity: http://cdn.cboe.com/resources/membership/US_Equities_Options_Connectivity_Manual.pdf

Основана в июне 2005 года. Еще одна маленькая биржа. инновация заключается в том, что сам используется супер-пупер технологии, чем они пытаются переплюнуть NYSE и NASDAQ.

используют многоядерные сервера от HP. стоимость всего оборудования 2 миллиона долларов. Время отклика менее 1 миллисекунды.

Direct Edge (deprecated)

 * obsolete - слилась с BATS 31 января 2014 года
 * John Ryan, Direct Edge’s chief system architect,
 * Chief Technology Officer: Steve Bonanno

Technology: Windows- and Intel-based processing of industry standard and custom-written trading and messaging applications. Intel Xeon 5500 processors, Hewlett-Packard ProLiant G6 servers, Cisco Systems networking, Texas Memory RAM SAN solid-state memory.

Inside the cage are 80 racks of Hewlett-Packard ProLiant servers and related memory storage units. Anywhere from two to 14 servers sit in each rack. About 200 servers, per exchange.

The new platform developed, constructed and installed over the last 18 months replaces a single data center, which had topped out in its ability to handle data about market conditions and transactions at 60,000 messages a second.

The new setup is a Windows-based system based on Intel Xeon 5500 processors, also known as Nehalem, announced last year

new system will be able to handle 220,000 messages every second, while keeping up the pace of acknowledging each order in less than half a million. Each of the two exchanges can handle 2.5 billion transactions a day.

BATS and Nasdaq, for instance, already claim to process orders in 250 microseconds, on average.

Links

 * http://www.information-management.com/news/Tech-powers-Direct-Edge-stock-exchanges-10018388-1.html?zkPrintable=true

CBOE Stock Exchange (CBSX) (deprecated)

 * wiki: CBOE Stock Exchange
 * market model: http://www.cbsx.com/aboutcbsx/marketmodel.aspx
 * tarding engine location: Jul. 5, 2011 moved to Equinix NY4 Internet Business Exchange datacenter in Secaucus, NJ
 * connectivity: http://www.cbsx.com/transservices/CBSXconnectivity.aspx

отпрыск Чикагской биржи опционов. в 2007 году купила Miletus Trading.

система торговли - CBOEdirect

International Securities Exchange

 * wiki: International Securities Exchange
 * ISE is a wholly owned subsidiary of Eurex, a leading global derivatives exchange. Eurex itself is jointly operated by Deutsche Börse AG and SIX Swiss Exchange AG. The International Securities Exchange (ISE) operates two U.S. options exchanges: International Securities Exchange, LLC (ISE) and ISE Gemini, LLC (ISE Gemini).
 * OS: OpenVMS, с 2010 года - Linux Red Hat
 * платформа: HP AlphaServer, потом HP Integrity на Intel Intanium, потом HP Proliant на Intel Xeon 5500

American Stock Exchange (deprecated)
Биржа American Stock Exchange, созданная давно как альтернатива NYSE

On January 17, 2008, NYSE Euronext announced it would acquire the American Stock Exchange for $260 million in stock. On October 1, 2008, NYSE Euronext completed acquisition of the American Stock Exchange

Philadelphia Stock Exchange (deprecated)

 * wiki: Philadelphia Stock Exchange

On November 7, 2007, NASDAQ announced a "definitive agreement" to purchase PHLX for $652 million, with the transaction expected to close in early 2008.[3] On July 24, 2008, the acquisition was completed, creating the third-largest options market in the U.S.

With the implementation of Reg NMS, a revised set of market structure rules designed to achieve efficient, competitive, fair, and orderly markets, the widespread use of technology has resulted in increased competition and order volume. While compliance with Reg NMS is synonymous with infrastructure capable of delivering high-speed performance, the ability to deliver high application availability and network uptime can actually become a competitive differentiator. The Exchange’s benchmark target was to provide quality of execution reports for equity transactions in less than 5 milliseconds, end-to-end round-trip time from its new allelectronic equity trading platform, PHLX XLE.

Solution
The PHLX decided to expand its network capabilities by augmenting its existing single data center with additional sites closer to traders in the metropolitan New York area. The resulting network would allow the Exchange to connect to member firms in common locations while providing for highly reliable and efficient execution of orders and market data.

The foundation of the new network design is an optical infrastructure with fiber running from the primary Philadelphia location to locations in New Jersey and New York’s financial district. The new network design utilizes Juniper Networks M320s connected in a full mesh topology with multiple parallel Gigabit Ethernet links residing over a DWDM network configured as a logically meshed MPLS backbone.

на компьютерах биржи установили JUNOS (от той же Juniper)

Ближний Восток
RALEIGH, NC – February 10, 2011 – Red Hat, Inc. (NYSE: RHT), the world’s leading provider of open source solutions, today announced that the Qatar Exchange, the principal stock market of Qatar and one of the leading stock markets in the Gulf Cooperation Council region (GCC region), has migrated from IBM AIX and Microsoft Windows to Red Hat Enterprise Linux To provide a high-performance market trading platform for investors in the Qatari.

Hong Kong Stock Exchange

 * wiki: Hong Kong Stock Exchange
 * connectivity: http://www.hkex.com.hk/eng/market/sec_tradinfra/CMTradInfra.htm
 * торговая система: Genium INET от OMX
 * co-location: co-location with HKEx markets, at its state-of-the-art data centre at Hong Kong’s "Tseung Kwan O Industrial Estate".

Stock Exchange of Hong Kong's AMS/3 trading infrastructure.

The Automatic Order Matching & Execution System (AMS) is a computer-based system designed to automatically record, match and execute orders to buy or sell securities listed on the Stock Exchange of Hong Kong (the Exchange).

Computers were integrated on April 2, 1986, which has helped modernize the system[2]. In 1993 the exchange launched the "Automatic Order Matching and Execution System" (AMS) that was replaced by the third generation system (AMS/3) in October 2000[3]. Systems as such were added to meet the increased popularity of online Stock trading.

Stock Exchange of Thailand

 * wiki: Stock Exchange of Thailand

The SET has operated fully computerized trading since April 1991, through the "Automated System for the Stock Exchange of Thailand", or ASSET, which enables trading to be efficient, equitable and fluid. In this trading system, two principal methods of trading are available: Automatic Order Matching (AOM) and Put-Through transactions (PT).

This section describes the SET's trading facilities, details on trading rules, and information on Internet trading.

Fully Computerized Trading System

The SET has operated fully computerized trading since April 1991, through the "Automated System for the Stock Exchange of Thailand", or ASSET, which enables trading to be efficient, equitable and fluid. In this trading system, two principal methods of trading are available: Automatic Order Matching (AOM) and Put-Through transactions (PT).

Two Trading Methods

1 Automatic Order Matching (AOM) Trading

AOM trading performs the order matching process according to price, then time, priority, without human intervention. After brokerage houses electronically send buy or sell orders from their offices to the SET mainframe computer, the ASSET system queues the orders and arranges them according to a price-then-time priority. This means orders are first grouped according to price, with the best price taking precedence. Then, within each price group, orders are arranged according to time. In terms of the matching process, there are two methods: continuous order matching and call market method. Continuous Order Matching procedures operate during the regular trading sessions. The ASSET continuously matches the first buy and sell orders in the queue, and at the same time, confirms each executed transaction via the member's (broker's) terminal.

The Call market matching is utilized in calculating the opening and closing prices of a security at the opening and closing of the trading hours. This method allows brokers to enter their orders to be queued for matching at a specified time at a single price that generates the greatest trading volumes for that particular stock. Automatic Order Matching (AOM) Trading

2 Put Through (PT) Trading

The ASSET also allows brokers to advertise their buy or sell interests by announcing bid or offer prices. Members may then deal directly with each other, either on behalf of their clients or for themselves. Prices may be adjusted during the negotiation; hence, the effective executed price may not be the same as that advertised and may not follow the price spread rules. After concluding negotiations, dealers must send details of the result(s) to the ASSET for recording purposes.

Order Routing System (ORS) enables investors to input trading requests electronically. The trading requests will be automatically routed to brokers for approval and submission to the market for matching and trade generation.

Australian Securities Exchange

 * wiki: Australian Securities Exchange
 * technology: http://www.asxgroup.com.au/trading-technology.htm; Jeff Olsson - Tchnology group executive (уже ушел с июля 2012 г.)
 * cash equities: торговая система ASX Trade - NASDAQ OMX ultra-low latency trading platform based on NASDAQ OMX's Genium INET system. С 1997 года у них была NASDAQ OMX CLICK XT. 17 февраля 2015 г. объявили, что торговая система будет TRADEExpress от Cinnober, которая универсально умеет торговать и stocks и derivatives и вообще любым классом ценных бумаг
 * OS: Работали сначала на OpenVMS Alpha, потом перешли на OpenVMS Integrity, все под эгидой HP; 500.000 строк кода на Pascal (!!!!).

Chi-X
Chi-X использует основанную на Linux систему MarketPrizm с временем обработки 400 мкс.

Singapore

 * Singapore Exchange (SGX)
 * market access: http://www.sgx.com/wps/portal/sgxweb/home/services/market_access


 * Singapore Mercantile Exchange (SMX), the first pan-Asian multi-product commodity and currency derivatives exchange

Tokyo Stock Exchange (TSE)

 * wiki: Tokyo Stock Exchange
 * торговая система cash equities: arrowhead - написали сами совместно с Fujitsu
 * торговая система для опционов и фьючерсов: New Tdex+ (Nov.2011) - на базе технологии LIFFE CONNECT, с марта 2014 в результате объединения OSE и TSE, деривативы будут торговаться на платформе J-GATE Осакской биржи, а Tdex+ будет выброшена


 * connectivity: https://www.jpx.co.jp/english/systems/connectivity/index.html

У Токийской биржи два дата-центра: главный (primary) и резервный (secondary). Токийская биржа предлагает услуги по co-location в своем главном (primary) дата-центре. Кроме того имеются еще два дата-центра как Access Points - дата-центр в Икебукуро и дата-центр в Саитаме. Услуги proximity предлагаются в дата-центре в Икебукуро.

Latency между главным и резервным дата-центрами составляет 2 миллисекунды. Доступ к бирже с co-location по сети составляет 4.4 microseconds one-way, из proximity area по спец-каналу - 55 microseconds one-way.

Дата центры связаны кольцом 10G DWDM ring backbone. В backbone можно воткунться через выделенную линию и получать данные у себя в офисе.

Один из провайдеров: NTT

Tokyo Commodity Exchange (TOCOM)

 * wiki: Tokyo Commodity Exchange

Tokyo Grain Exchange (TGE) (deprecated)

 * wiki: Tokyo Grain Exchange
 * web: http://www.tge.or.jp/english/about/about_02.shtml
 * торговая система: NASDAQ OMX trading platform (c 4 января 2011 г.)

Osaka Securities Exchange (OSE)

 * wiki: Osaka Securities Exchange
 * торговая система для опционов и фьючерсов: J-GATE (с 14 февраля 2011 г.) - на базе технологии NASDAQ OMX. interface as API and FIX.


 * connectivity: http://www.ose.or.jp/e/guide/5551

Kansai Commodities Exchange

 * wiki: Kansai Commodities Exchange

futures exchange based in Osaka

Nagoya Stock Exchange

 * wiki: Nagoya Stock Exchange

Sapporo Securities Exchange

 * wiki: Sapporo Securities Exchange

Fukuoka Stock Exchange

 * wiki: Fukuoka Stock Exchange

Tokyo Financial Exchange

 * wiki: Tokyo Financial Exchange

London Stock Exchange

 * wiki: London Stock Exchange (официально The International Stock Exchange of the United Kingdom and the Republic of Ireland)
 * David Lester, Chief Information Officer at the London Stock Exchange
 * Робин Пейн (Robin Paine) технический директор Лондонской фондовой биржи
 * market model: http://www.londonstockexchange.com/traders-and-brokers/rules-regulations/order-book-trading/order-book-trading.htm
 * connectivity: http://www.londonstockexchange.com/products-and-services/connectivity/connectivity.htm
 * co-location: https://www.londonstockexchange.com/products-and-services/connectivity/hosting/hosting.htm
 * hosting & co-location: London Stock Exchange Exchange Hosting

2007-06-18 - TradElect - запущена новая система торгов. построена на .NET и технологии Microsoft (MS SQL Server, Windows Server 2003)

Лондонская биржа: 1 милисек каждые 200 км. по оптоволокну. 12 милисекунд данные из Лондона во франкфурт. 3 миллискунд на сделку в компьютерах на Лондонской бирже. Думают уже о том чтобы сделать 1 миллисек и даже меньше, но пока не знают стоит ли, так как это потребует денег.

2008-06-09 - запущена сверхбыстрая сеть "Performance Channels" (ссылка) 100 мегабитный канал дает задержку в 1 милисекунду в пределах лондонского Сити.

скорость сообщений: LSE: In September (2008), current capacity on TradElect will initially double to 10,000 continuous messages per second. In October, it will double again to around 20,000 continuous messages a second and end-to-end execution latency on TradElect will be reduced by 50% from six milliseconds to three milliseconds, says the LSE.

2008-09-08 - система навернулась (1)

Сообщается, что амортизационные расходы на TradElect составили $40.000.000, это при том, что ещё совсем недавно очередное обновление TradElect потребовало $64.000.000.

Лондонская фондовая биржа (London Stock Exchange, LSE) завершила предварительное тестирование своей новой торговой системы Millennium Exchange от компании MilleniumIT. Источники в бирже сообщают, что тестирование прошло успешно.

Millennium Exchange основана на Linux/Solaris и технологиях Oracle. Уже в ноябре она должна заменить прежнюю систему - печально известную TradElect (от компании Accenture), созданную на основе Microsoft .Net и MS SQL, работающую под управлением Windows и ответственную за серию тяжелых сбоев в работе биржи в течение нескольких последних лет, в том числе восьмичасового простоя в сентябре 2008 года.

Millennium Exchange будет одной из самых быстрых торговых систем: характерное время обработки составляет 125 мкс. Прежде LSE прилагало все усилия, чтобы снизить время обработки в TradElect хотя бы ниже 2000 мкс, что все равно очень медленно по сравнению с конкурентами, например, компанией Chi-X, которая использует основанную на Linux систему MarketPrizm с временем обработки 400 мкс.

David Lester, CEO of Turquoise, said that alongside the 126 microsecond average latency, 99 percent of orders would be processed within 210 microseconds, and only 0.1 percent will take longer than 400 microseconds

Eurex

 * wiki: Eurex
 * management: Jürg Spillmann is the deputy CEO and head of information technology and operations for Eurex Exchange and Eurex Clearing and is overall responsible for technology. His colleague Wolfgang Eholzer is head of trading systems design for the exchange. From 1988 to 1995, Jürg served as chief information offi cer of SOFFEX. He served as general manager of Eurex Frankfurt AG. Mr. Spillmann played an instrumental role in the development of the fully electronic trading system that represents the centerpiece of today’s SWX Swiss Exchange. Mr. Spillmann has been deputy chairman of Eurex since 1997. He serves as director of Eurex Clearing AG and Eurex Zurich AG. He has been a director of International Securities Exchange Holdings, Inc. since December 19, 2007. Mr. Spillmann served as chief information officer of SIX Swiss Exchange Ltd. (also known as SWX Swiss Exchange) since 1995. He has been chairman of the Group Executive Committee of Swx Group since October 2002. He serves as chairman of the Group Executive Committee of SIX Group Ltd. (formerly Swiss Financial Market Services AG). Wolfgang Eholzer is Eurex’s head of trading system design. Since 2007 he has been in charge of the Eurex Technology Roadmap, which resulted in the delivery of the high-speed trading interfaces for order handling and market data. In addition, he is responsible for performance monitoring and capacity planning, as well as for the implementation of the new trading architecture Eurex has introduced at the end of 2012. He is also in charge of new trading functionality and has a particular focus on achieving low latency and high throughput. Prior to his work at Eurex, Wolfgang was in charge of application development for the electronic trading systems Eurex and Xetra at Deutsche Börse Systems, the IT subsidiary of Deutsche Börse Group. Before joining Deutsche Börse Systems, Wolfgang spent two and a half years with Cambridge University (UK) as a research associate in applied mathematics and theoretical physics.
 * trading system: the team is responsible for the recent introduction (year 2012) of a completely new trading architecture for Eurex Exchange. The new system represents a complete overhaul of the Eurex® system, which has been in place since the early 1990s.
 * market model: http://www.eurexchange.com/trading/market_model_en.html
 * connectivity: http://www.eurexchange.com/technology/connection_alternatives_en.html

Сеть бирж Deutsche Börse

 * wiki: Deutsche Börse
 * wiki: Frankfurt Stock Exchange
 * Reto Francioni, CEO of Deutsche Börse
 * торговая платформа: Xetra
 * market model: http://deutsche-boerse.com/dbag/dispatch/en/kir/gdb_navigation/trading/10_trading_platforms/200_xetra/200_market_model
 * connectivity: http://deutsche-boerse.com/dbag/dispatch/en/kir/gdb_navigation/technology/30_Access_Products
 * connectivity: http://www.eex.com/en/Become%20a%20Member/Connectivity

For every 60 miles (100 kilometers) of network distance, a delay of 0.5 –1 ms must be reckoned with.

услуга по размещению серверов - Deutsche Börse Systems Proximity Services

Open Gateway (OG) is a technical device installed at the broker’s office to provide electronic linkage between broker systems and the AMS/3 Trading Host System and the Order Routing System (ORS). Developed on a Microsoft Windows NT platform.

AMS/3 Trading Host

Xetra trading platform [1]

Торговая платформа Xetra используется на других биржах мира с адаптациями:
 * Irish Stock Exchange (вариант ISE Xetra)
 * Vienna Stock Exchange
 * Bulgarian Stock Exchange
 * the European Energy Exchange
 * the Budapest Stock Exchange
 * and a number of other exchanges.
 * It will also be installed on the Shanghai Stock Exchange

Irish Stock Exchange

 * wiki: Irish Stock Exchange
 * market model: http://www.ise.ie/Debt-Securities/Global-Exchange-Market/Market-Model/
 * connectivity: http://www.ise.ie/Membership-and-Trading/Market-Infrastructure/Trading/ISE-Xetra%C2%AE/How_to_Connect_to_ISE_Xetra/

ISE Xetra® is the electronic trading system of the Irish Stock Exchange. ISE Xetra® is the product of a strategic technology partnership between the Irish Stock Exchange and the Deutsche Börse Group which operates the Xetra® platform. The Xetra® system is considered one of the most advanced and reliable securities trading systems in the world with a high level of resilience and a built in back-up facility which enables it to perform consistently at almost 100% service levels for member firm participants.

Прочее

 * Nasdaq OMX Commodities Europe, the power and carbon derivatives exchange