Tading

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Informatica Economică vol. 14, no. 1/2010

Upon a Message-Oriented Trading API
Claudiu VINŢE Opteamsys Solutions, Bucharest, Romania claudiu.vinte@opteamsys.com In this paper, we introduce the premises for a trading system application-programming interface (API) based on a message-oriented middleware (MOM), and present the results of our research regarding the design and theimplementation of a simulation-trading system employing a service-oriented architecture (SOA) and messaging. Our research has been conducted with the aim of creating a simulation-trading platform, within the academic environment, that will provide both the foundation for future experiments with trading systems architectures, components, APIs, and the framework for research on trading strategies, tradingalgorithm design, and equity markets analysis tools. Mathematics Subject Classification: 68M14 (distributed systems). Keywords: Trading System API, Straight-Through Processing, Distributed Computing, Service-Oriented Architecture (SOA), Message-Oriented Middleware (MOM), Java Message Service (JMS), OpenMQ
A brief introduction to trading APIs The information technology (IT) has made exchanges far moreefficient in handling heavy volume in a timely fashion and at reasonable cost. Furthermore, IT enables geographically dispersed marketplaces to be more effectively consolidated [1] [2]. The strategic advantage of an electronic platform can be summarized in form of the following beneficial effects:  support for an efficient vertical integration (from trading to settlement);  supply the premisesfor a national and regional strategy (horizontal integration);  offers the fundaments for a decentralized market access for participants;  continuous or extended trading hours;  better overall services for members (availability, functionality, support);  means for an effective centralized market surveillance from the national regulatory bodies. In nowadays trading environment, a market centerstrives to offer a fast and reliable access, from anywhere and anytime, aiming to achieve a fully integrated straight-through processing (STP). The STP desiderate means that, once an order is placed through the order routing channel, it follows a fully integrated online procedure, passing seamlessly from its entrance on the order book, to matching on the exchange, and on through to clearance andsettlement [3] [4]. On IT level, STP requires at least the vertical integration of the capital market. In this context, the trading systems employed by

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the exchange members face a multitude of challenges when it comes to the ability to adapt to continuous changes and improvements implemented both upstream (client connectivity and interface) and downstream (settlement and clearing). In thiscontext, the application-programming interface (API) employed within the trading system of a broker/dealer, or a market access provider, acts as a binding agent among a variety of applications that compose the system. From that perspective, the manner in which the API is designed to facilitate the interactions between applications, it determines the characteristics and the general behavior of theentire trading system. The architectural design and API design of a trading system are intrinsically connected [5]. There have been various approaches in trading architecture design, along with the appropriate APIs. One of the earliest approaches was the clientserver architecture, employing TCP/IP socketbased communication between the multiple clients and the server [6] [7]. The corresponding APIconsists in a collection of call-forwards (request calls from the clients) and call-backs (responses or other informative data provided back to the clients by the server). Conceptually, this communication paradigm can be identified in most of the distributed computing models, the differences residing in the underlying transfer mechanism. One of the most commonly used distributed computing model...
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