Moscow Exchange rolls out ultra-low latency market data solution for derivatives

By   /  February 2, 2019  /  Comments Off on Moscow Exchange rolls out ultra-low latency market data solution for derivatives

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Source: Moscow Stock Exchange

On 18 February 2019, Moscow Exchange will launch an updated version of the FAST protocol and a new FAST Full_orders_log Online service to enhance market data delivery from its Derivatives Market. This is currently the fastest real-time feed with nanosecond precision timestamps for access to all on-exchange orders and trades in derivatives. 
Approximately 15 million orders are submitted to, and up to one million trades of up to five million contracts or RUB 350 billion are executed through the Derivatives Market’s trading platform on a daily basis. 
The new service will allow trading members to cease using other market data sources and thereby reduce their infrastructure costs associated with access to derivatives trading. At present, clients generally use the Plaza II and FAST protocols in parallel to receive market data.   
All existing market data services available for members of the MOEX Derivatives Market through the FAST and Plaza II protocols with a 10 millisecond update rate will remain unchanged. Clients not sensitive to latency may continue to use the Full_orders_log service providing a similar volume of market data via the Plaza II protocol at lower speeds. 
The protocol specification and further details on technical features of the new FAST Full_orders_log online service and termination of the market data services with a 3 ms update rate are available on Moscow Exchange website.

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