Market Data Distribution System

Sinara developed extensions to our Market Data Platform (MDP) to create a market data dissemination (MDD) system for use by the London Metal Exchange.

The system collects real-time prices and quotes from various trading venues and disseminates them to client systems operated by the exchange’s market data customers, including the major market data vendors.

Vendor systems subscribe over a TCP/IP connection and make requests for streaming real-time or delayed data.  A replay facility allows vendors to recover data after an outage.  A separate HTTP based mechanism allows client systems to request report data interactively.

The system supports a flexible product mechanism allowing the complete data set to be ‘diced and sliced’ to suit different customers.  New products, such as contracts based on a new commodity can be deployed through configuration changes without stopping the system.

Clients are only sent data for which they are configured to have permission, regardless of which data access mechanism they use.

Further feeds of matched trades, indicative prices and stock reports were added to the system using MDP’s Contribution API.

All system activity including details of data sent to each client is written to an audit log.

Client APIs and wire protocols support a self-describing message protocol giving the exchange the ability to add further message types and fields without the need to ask the vendors to change their systems.

From the start of development Sinara required only 3 months to deploy a test system and the system was deployed live after a further 3 months.  The system was written using C++ / Oracle / .NET, and continues to be supported and enhanced by Sinara.