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BAXTER Matching OrderBook

BAXTER Matching OrderBook

The Matching Order Book provides a Bank with the capability to automatically or manually match customer orders against available liquidity and convert them to trades when their target price level has been reached.  It relieves dealers from having to watch every order in the book allowing them to concentrate on their VALUE ADDED trading roles.

Matching is achieved through the provision of prices and liquidity to the module by the BAXTER Trading Platform and/or additional liquidity provided by Bank Partners.  Orders can be entered by the customer via the Web interface or via the Bank sales desk on his behalf.

All trades done as a result of completed orders are capable of STP to the Bank back office and to the customer, downloadable via FTP from the Reconciliation Servers.

Integrated with the BAXTER Trading Platform, the Matching Order Book utilizes the same customer margin schema.  When implemented on a standalone basis, the Order Book contains its own simplified margining capability.

The Trade Supervisor GUI screen allows dealers to view all orders and prices currently in the Order Book.

A typical flow would encompass the following actions: Orders arrive, either via the Web or a leased line connection and are processed by the Price Engine (Broadcast and Tiering) when integrated, or by the Order Book’s Price User Controller when run standalone.  Orders are filtered in real time and applied to the Matching Engine, the Order Book is aware of both the customer price, including margin, and the Bank’s price.  Trades are executed to both parties at the appropriate rate ensuring the correct profit is taken on customer orders where appropriate. Live prices with associated liquidity are fed to the Engine and once an Order is filled it is notified to both parties.

Orders can be filled either in manual mode or automatically and the default mode can be configured system wide or allowed on a dealer by dealer basis.

Configuration

The Matching Order Book is usually implemented as an add-on module to the BAXTER Pricing Engine which allows for the provision of the Banks’ own prices and liquidity into the Order Book.

By using the BAXTER Liquidity Sink (see below) the Order Book can also consume liquidity provided by external sources, with the Bank able to define how and when this external liquidity is used by the Order Book in its matching engine.

Matching OrderBook Integration

Orders can be fed to the Order Book via the BAXTER Price Engine Broadcast module.  Orders will be subject to initial checks to confirm validity and can also have a margin applied based on the customer’s tiering setup in the Price Engine Tiering module.

Orders can be received by the Broadcast module (or if required directly in to the Order Book) via the Web deployed interface or via a Bank user interface with an appropriate adaptor.

Liquidity is provided from the BAXTER Trading Platform via the Liquidity Sink, or a combination of both.

Rules can be specified in the Order Book for how liquidity from various sources is used to fill orders, i.e. only a specified liquidity source is used for selected customers.

Matching Ord

·               Order Book can operate on Price, Time or Order stacking. Priorities can be edited dynamically.

·               There is no application scale limit to the number of orders possible. Scaling is achieved by adding more hardware.

·               Can be combined with BAXTER Liquidity Sink to enable additional liquidity providers.

·               All order types are accepted (i.e. Time, Fill or Kill, etc.)

·               Complex orders like Stops, If-Then, OCO are also included.

·               Matching operates in memory and not using database stored procedures, thereby significantly speeding the matching operation.

·               There is no limit to the number of currencies to be offered. Scaling is achieved by adding more hardware.

Trading System GUI

Traders are able to view activity within the Matching Order Book using the Trade Supervisor GUI.

Using the Trader Supervisor a trader is able to view all orders for all currencies pairs active in the system or filter the view to show only a selection.  The trader is also able to mark orders for manual execution rather than standard auto matching.  The key points of the GUI are:

·               Real time vision of the Order Book

·               Incident resolution achieved by “last alive stare” profile if connection or hardware fails.

·               Manual takeover is possible for safety reasons.

·               Deal history and allocations are visible from here.

·               Full market and price view

Administration

This component sets the rules for each of the Users and is capable of dynamic change. Briefly it covers:

·               Limits with Users

·               Margining

·               Costs included in Traded prices

·               User Creation and maintenance.

When integrated with the BAXTER Trading Platform some of this functionality is provided by the Trading Platform Administration functionality.

Miscellaneous Points

·               The Application can create order margins and market view, which would be of benefit in offering to a Retail Network.

·               Provision of Third Party Connectors, out of the box, for FXAll, Currenex, Hot Spot, Currency Dealing.Net, 360T, FIX and the Web.

·               Trade data is secure.

·               All trade data is stored in the Order Book Database and can be queried at any time.

Liquidity Sink

The BAXTER Liquidity Sink is a sophisticated liquidity source manager complementing the Order Matching Book and Trading platform.

The Liquidity Sink has adaptors for a range of liquidity providers, which then allows the Bank to apply rules for how that liquidity will be used and distributed amongst the Bank’s trading applications.

Rules take into account preferred relationships, cost, reliability, exposure limits and trade/price response speed amongst others.

BAXTER maintains a flexible rules engine within the Sink and can easily accommodate Bank specific rules for liquidity distribution if required.

 

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