QuantFEED EBBO

While the financial sector is facing trading venue consolidation, the equity market remains spread. To trade efficiently and rapidly on the same instrument across different venues, clients need a global view of all the exchanges and MTFs across Europe.

Leveraging its QuantFEED technology, QuantHouse has developed a European Equities Best Bid and Offer Consolidated Feed to enable systematic trading firms to effectively access pan-European liquidity.

Solution

QuantHouse has developed more than 30 European feed handlers to decode,normalise and enrich its feeds of all the different European exchanges and MTFs including: Euronext, London Stock Exchange, Xetra, BATS, CHI-X, Turquoise, SWX Europe, Milan, Madrid, OMX Nordics, Oslo, Nyse Arca Europe and Burgundy etc.

Our solution was developed to consolidate multi-listed equities from all the European exchanges. Therefore the final consumer (trading application) need only have access to one unique server to obtain its Best Bid and Offer on various instruments.

Benefits

Normalised

The QuantHouse feed handler technology decodes and normalises referential and quotation data. This data is normalised into the FeedOS Protocol, which is based on ISO standards and official values from the exchanges leading to a homogeneous definition of instruments. The QuantFEED consolidation server then receives all of the normalised feeds from the different exchanges. From the single API the client can subscribe to the instruments it wishes, optimising processing times and bandwidth.

Flexible

Clients can define their consolidation rules for Best Bid and Offer, as well as their instrument universe. When in production, clients will be able to dynamically disable any single instrument or whole feeds. Furthermore, the order book symbology can be consolidated per ISIN/SEDOL/RIC or other codes. Finally with QuantFEED monitoring tool, clients will have access to precious features such as volume of data and average decoding times on the different markets.

Performance

QuantFEED EBBO clients can capitalise on low latency consolidation by leveraging QuantLINK, the firm’s state of the art global fiber optic network. Clients will reduce their development efforts while improving both performance and service availability.

    Main Features:
  • Full depth consolidated book and aggregated Top-of-Book (BBO) with single digit microsecond latency
  • Consolidation of bid/ask, trades, open/close/high/low and trading status
  • Multiple currency support
  • Dynamic Publish / Subscribe management
  • The consolidation server handles Transmission Control Protocol , Inter-Process Communication and Multicast transportation layers
  • Dynamic redefinition of instruments universe
  • Ability to disable any single instrument or whole feeds
  • Flexible Symbology Consolidation
  • C++, C # or Java API integration