New FX market system tests for HFT clients
Dear FX market clients,
The planned production launch date of a new version of trading and clearing system of FX market is June 23, 2018. This release has a set of features that may be important for operation of high frequency trading algorithms.
We invite you to participate in pre-release public testing of new trading system on production infrastructure on Saturday, 26 May 2018.
You can thoroughly measure roundtrip times and data publication latencies in scenarios you may be interested in.
Please note that suggested testing is primarily targeted at your adaptation to non-functional changes in trading system. To get ready for functional changes, we recommend using our internet testing environments.
The following parameters are identical to current production version:
- Average message delivery time from collocated client to the input queue of matching engine, for all message type and protocols
- FIX and FAST message formats, connectivity parameters, configuration and binaries for these services
Changes in ASTS Bridge interfaces and connectivity parameters were reported in earlier notifications.
The differences of new release from production are:
- Maximum order processing rate is almost doubled
- Order Cancel message roundtrip time is reduced
- Significantly reduced response time for an aggressive order that hits multiple trades at registration
- Significantly reduced data publishing time for events with multiple trades per aggressive order, relative to trade time, for all data types and protocols
- If you send new order or order replacement message immediately after receiving data for an event with multiple trades, then you order response time will be increased by the time of processing positions data for concluded at this event trades at risk management subsystem of trading system.
To participate in testing, please write a request to help@moex.com with a list of user names (SenderCompIDs) and contact information.
Testing schedule will be published later.