The following documents/artefacts are intended to act as a draft/proposed replacement for the material currently found in the Lab:

Whisperer

The Whisperer platform is composed of a series of individual processes that combine together to form a unified platform, composed of the below constituent parts:

The API Server 

The MarketFactory API (MFAPI) Server is the heart of the Whisperer platform and acts as the interface to which the customer infrastructure connects. The API Server creates the customer sessions to the Whisperer platform and permits the customer infrastructure (and the associated users) to gain access to the Trading Venue Feeds/connections for the instance. As the only interface for the customer infrastructure, the API server is also the site of the session handling elements associated with customer connections to Whisperer prior to feed/venue connection subscription.

DB Logger

The DBLogger applies the user authentication requirements for Whisperer, through use of a Lightweight Directory Access Protocol (LDAP). Ensuring that only users established within the designated customer infrastructure, listed individuals, known devices etc.. are the only users granted access to the platform and associated connections. failure to authenticate with the DBLogger will result in the customer infrastructure or user(s) being rejected. These user entries can be made directly to the LDAP database or explicitly to a static configuration.

DC Server

The Drop Copy Server (or DC Server) generates a stream of MFAPI TradeCapture Messages. MarketFactory can then allowan MFAPIClient to subscribe to these messages, similar to a traditional FIX drop copy using the MarketFactory protocol instead. This is an additional feature that can be enabled for customers, the benefits of which are described in more details below (under additional services).

FeedServers

Every Trading Venue that MarketFactory's Whisperer is able to integrate with has a FeedServer (a term used synonymously with Feed Handler) which makes the integration possible. The Feed Servers connect directly with the API server under the MFAPI classic model of operation. Customer infrastructure can connect directly to the Feed Server (for market data only) using the MarketFactory's new SBE implementation. The benefit of direct connection with the Feed Server being that messages do not have to pass through the single bottleneck of the API server ( which traditionally has been the only interface available to the customer infrastructure). The more direct approach is not only aimed at reducing latency at times of high message frequency but also improves high availability by reducing dependency on access to the API server in order to obtain market data from Trading venues.

The Feed Servers also exist as a source of normalisation, by integrating venue messages, tags and fields to align with the MarketFactory message protocol resulting in a Feedserver that aims to be as closely compatible to the venue as possible, whilst maintaining a normalised library of messages to smooth out the differences between differing trading venues and their protocols.

Additional Services

The Whisperer platform is also supplemented with additional features provided by MarketFactory, that enhance the benefits available to customers outside of connectivity alone. These optional modules are explained below:

Drop Copy 

Traditionally exchanges and other trading venues are “producers” of Drop Copies. With executing / clearing brokers and trading firms being “consumers” of Drop Copies. MarketFactory has made some changes to this traditional model by synthesising drop copy messages using the information obtained from the API server (in a standard format) following the execution of a trade. The purpose of this message is to act as a supplement to a customers risk management model by producing a comparable series of messages that can be compared to the venue drop copy feed to identify and deal quickly with any inconsistencies.

"Drop copy" can be viewed as an element or contributor to risk management that equips market participants with near real-time copies of trade reports and messages related to orders. Drop Copy as a report then summarises a participant’s execution activity on a trading venue, to provide an accurate picture of the firm's position in the market.

Drop Copy as a Risk Management Tool

Robust risk management policies and procedures are critically important aspects of any market participant’s trading operation. To aid in the implementation of and adherence to those policies and procedures, many trading venues have provided their participants with Drop Copy feeds. Consumers of Drop Copies have different methods of leveraging Drop Copy functionality to meet their individual risk management needs. The following examples illustrate possible uses of Drop Copies by Consumers:

• Consumers may use Drop Copies for real-time trade reconciliation. At a minimum, they typically compare the information provided by a Drop Copy in real-time with the trade notifications received from production trading sessions. This comparison process allows firms to reconcile their electronic trading activity with an independent source of exchange-provided trade notifications. In the event a discrepancy is found, the responsible party or parties may take action immediately to address trading risk, determine the cause of the discrepancy, and resolve any issues.
• Consumers may also use Drop Copies to supplement their risk management process. Trading firms, for example, may have multiple trading sessions on a single trading venue. Drop Copies provide market participants with the ability to consolidate multiple trading session reports into a single data feed. This consolidated data feed may then be used by operational staff to monitor a participant’s trading activity.
• Brokers that provide their clients with sponsored access to trading venues may use Drop Copies to monitor the trading activity of those clients. Brokers use Drop Copy to monitor: 
  
  

1. When trading activity approaches limits established by the sponsoring broker.
2. Unusual changes in intraday trading activity that may indicate a potential problem at the client.
3. Activity that may increase positions in accounts that are in a “liquidation only” state. 

All events would lead to a discussion with the client to understand the situation and take appropriate action.

For more information on the MarketFactory provided Drop Copy please click here

PrimeBrokerTradeReporting

A prime brokerage account allows customers to utilise broker dealers or execute their orders themselves while designating a central or main firm to maintain custody of their assets. The firm that carries and receives the customer’s cash and securities is known as the “prime broker”. Prime brokerage accounts are usually established by institutional investors and larger retail investors. Acting as agents of security and trust for the market (trading venues and market participants) by ensuring participants have the capital to make good on their trades.

The PrimeBrokerTradeReport developed by MarketFactory uses the MFAPI to collect data from DropCopy events received from theAPIServer. The data is then arranged in the format required by a Prime Brokers such as JPMorgan, and periodically (every 30 seconds) the service sends any pending records to thePrimeBroker usingSFTP, for processing by the Prime Brokers back office systems. 

The PrimeBrokerTradeReport achieves this by connecting to Whisperer as a regular "DropCopy" user, this MFAPI user is established in the standard procedure within the Whisperer configuration, with access to the appropriate Feeds which are of interest to the Prime Broker concerned.  The Whispererdropcopy(on which thePrimeBrokerTradingReport draws a large part ofit'sinformation) will not be discussed further here.

Hosted Servers

Hosting of clients algo servers inside MarketFactorys cage. This is the lowest latency and the highest throughput option. Each hosted server will have a 10Gbit connection to MarketFactory Whisperer server with sub-microsecond latency. 1Gbit connection is also supported.

Market Data Collection

Due to MarketFactory's unique position within the market and with connectivity to 70+ trading venues, MarketFactory has a unique portfolio of historic Market Data from the FX market going back for years. 

The FX market, contrary to most other asset classes is an almost entirely fragmented over-the-counter market, aside from the very small number of FX futures that are trading at relatively low liquidity levels. Customers will very rarely encounter a single serious liquidity provider that will take a stab at estimating total traded volume in any of the currency pairs. Having said that, there are some brokers that may show traded volume that crosses their own books, only.

To further confound the picture it is not appropriate to compare FX markets with any listed cash equity, futures, or options market. Why is this the case?

In some pools the actual liquidity still comes from various firms. If considered closely a 200 million block in the end passed from one participant to the other, while each participant in the chain retains a small chunk until it is split up sufficiently for the remaining participant to hold. So the same 200 million or part of it may pass the same brokers and order books several times before it is swallowed up by those the risk eventually ends up with.

What MarketFactory will in time be able to do is leverage it's unique market access and substantial Market Data portfolio to provide a vivid view of the historic movements of the FX market across venues at a resolution not previously seen before through use of a broker or trading venue. This product is presently only a concept but will remain in the sights of the MarketFactory's Product and R&D teams for future Development.

Market Data Collection

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