Alpha Novae

A Blog Post

New LMAX FIX+API connector on AlphaTrader 2.3

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This month a new feature is being released with  AlphaTrader 2.3: the hybrid FIX/API LMAX connector. This connector dedicated to our institutional clients allows AlphaTrader to make a leap forward by getting the official FIX certification from our partner, the LMAX Exchange.
A certification which proves the reliability of the communication between the exchange and our trading platform AlphaTrader, and strengthens our offer for professionals.

 

 FIX protocol, a standard of the finance industry

The FIX protocol (Financial Information eXchange) has become one of the main standards of the finance industry in the field of electronics exchanges. Numerous institutions, venues and brokers, such as LMAX Exchange, provide this technology as pre-trade, trade and progressively post-trade real time communication protocole.

As an institutional platform, it is consequently natural for AlphaTrader to implement this industry standard as part of its connectivity technology. The go live with the LMAX Exchange of our first officially certified FIX connectivity strenghtens our services offer to our institutional clients and our partnership with the LMAX Exchange. This will be also lowering our efforts required to onboard a new broker or venue to AlphaTrader and it is opening the door to a lot of new FIX connectors in the near future. Let us know if you have specific needs.

What differences with the LMAX API connector

The API access developed by the LMAX Exchange is based on the event-driven programming paradigm: a message is sent every time a position is modified, the order book change, an order is being filled, an order is modified or cancelled,etc… It also permits to download historical market data.

The FIX protocol works on the same paradigm but it adds functionalities very important for resiliency, stability and reliability of information such as the possibility to

  • recover missing fills
  • reconcile the state of all orders
  • guarantee the good sequencing of messages received
  • replay in the right order the market events happening during a log off period

These functionalities used on a regular basis allow AlphaTrader to verify the data integrity and to correct it if necessary. Even after a log-off period, with the FIX connector, AlphaTrader can recover at restart all the executions missed. No desynchronisations will happen between the platform and the broker, no fills will be missed.

With LMAX, the FIX connectivity also allows to get access to (a maximum of) 20 levels of liquidity depth on the order book, instead of 5 for the API connector. Consequently FIX also allows a higher data update frequency.

Average execution latency between FIX and API does not show very significative differences. 3ms in average for the execution + network roundtrip. However, and it is very importer, FIX connectivity has shown a drastic improvement in the stability of the answer time from LMAX. The ping to LMAX trading engine is exceptionnaly stable with FIX, while we can see important variations with API.

So you may wonder why we needed to realise an hybrid FIX+API connector instead of a FIX only. FIX is great for the reasons we mentionned above, but it does not allow to:

  • retrieve historical data
  • access acount information (balance, equity, margin, etc)
  • access to positions
  • get the list of received pending opened orders on restart

So the ideal connector has to be a mix of the LMAX FIX and the LMAX API connector.

Minimum requirement to use the FIX connection with the LMAX Exchange

In order to be eligible to the LMAX Exchange FIX protocol, LMAX requires our clients a minimum deposit of 10,000 $ and to trade a minimum volume of 25 million $. Otherwise LMAX charges monthly 300 $ the connectivity.

For comparison, only 5,000 $ of deposit or 1,000 $ for our introduced clients, and 5 million $ of volume are necessary to trade through the API. Otherwise LMAX charges 60 $ monthly.

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