• Jan
  • 14
  • 2009
  • 11:45 AM

ArcaDirect Order Entry -- It's Fast

By: dweiss
File Under: NYSE Arca, Universal Trading Platform

Allow me to introduce myself. My name is David Weiss, I am VP of Connectivity for NYSE Euronext. I am an NYSE Arca “lifer” and have been involved in the evolution of the Arca electronic platform. For the last 10 years I have been responsible for getting our client base connected to the Exchange. I have also been involved in developing new functionality and technologies on the NYSE Arca platform. I will be blogging on things related to new technology and functionality on the NYSE and NYSE Arca platforms. My plan is to spur discussion on the direction of our platforms and to solicit feedback on what we can do to make things better for you.

As a topic for my first post, I will explain what ArcaDirect is and why it has become popular among our high frequency trading customers.

ArcaDirect is a platform we developed several years ago in response to feedback we got from our clients. They were paying an arm and a leg for bandwidth as a result of increased message rates and relatively large FIX messages. ArcaDirect is a proprietary order entry platform which uses a fixed-length protocol very similar to our internal messaging protocol. The result is very small messages (10 times smaller than a standard FIX
message) that don’t require a whole bunch of translation before being delivered to our matching engines. These efficient, smaller messages result in a system that has more throughput and lower response times.

Throughput and response times:

FIX: 2,500 messages per second; 2 millisecond acknowledgements
ArcaDirect: 5,000 messages per second; 700 microsecond acknowledgements

Currently, ArcaDirect can be used to enter orders into the NYSE Arca equities, NYSE Equities (Using the PO+ order type), NYSE Arca Options, and NYSE Amex options market centers. There are plans to deploy ArcaDirect for order entry into the Universal Trading Platform, which will be deployed globally on all NYSE Euronext exchange platforms. This modified ArcaDirect platform will be called UTP Direct. We are confident that it will be adopted by many high-frequency traders globally as an alternative to our standard FIX connectivity.

If you are a high-frequency trader or are simply interested in the fastest access to the NYSE Arca platform, you should consider using ArcaDirect.

Comments

Thanks, Dave, and welcome to the Exchanges blog crew!

by Ray Pellecchia on January 14, 2009 11:50 AM

IMO, something needs to be done about the lack of liquidity right now. You should notice how bad the price action is if you send a MKT order for just 100 shares. Thank you.

by tony dey on January 14, 2009 7:38 PM

I couldn't agree with Tony MORE. What the nyse has to understand is volume will never come back if there is no human interaction. A black box or algorithm can only trade so much volume by itself. I think the value of real traders and real price action has been completely forgotten. This new market gives the false sense of liquidity with actually none. When every bid or offer is controlled by a program that cancels as soon as 100 shares are filled, something is WRONG. I trade this market every day. Writing about what I see and complaining about it probably does more harm than good for me, but it is hard not express my feelings on this issue. I know you guys say you are trying new things to make the market more efficient and a better place to trade, but new is not the answer. You have to look backwards and see what worked for years and years.
Thank you,

by josh on January 15, 2009 8:43 AM

tony, to summarize what we have been saying for 2 years....its a joke.

on another topic:

It obvious Glass-Steagall doesnt work. (basically allowed for the creation of financial super-markets by allowing commercial and investment banks to be one in the same)

I wonder when the smart guys are going to figure out that REG-NMS, and all its lovely gifts, doesnt work either.

thanks,

j

by jt on January 15, 2009 10:58 AM

Hi

I am new to this board. I have a quick question with respect to FIX engine Failover & Recovery time. What is the industry standard regarding FIX Failover Time?

by Mark on January 22, 2009 6:00 AM

Mark, i'm not aware of a published standard for FIX engine failover and recovery but I can comment on our model.

Our FIX engines run on a storage area network. In the event of a hardware failure on one of the FIX gateway machines we have backup hardware standing by. The new hardware connects to the SAN and assumes the identity of the failed machine. All sequence numbers, etc.. are retained and clients are able to reconnect to their sessions immediately.

We've test these failure scenarios often. From the time we realize there is a problem and we initiate the procedure to the time the gateway is back up is under 2 minutes.

We also recommend that clients maintain a backup session on a different gateway that can be used immediately in the event of a failure.

I hope this helps.

by Dave Weiss on January 23, 2009 8:56 AM

Sorry I still wonder what I need to have in order to use ArcaDirect.

by som3006 on January 23, 2009 12:03 PM

ArcaDirect is available as an order entry gateway to broker dealers that are members of the NYSE Arca equities and/or options platforms.

by Dave Weiss on January 23, 2009 3:23 PM

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