Inside Market Data

The interview/article below appeared in the last issue of Inside Market Data.


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Saxo Bank Plans FAST Data for Q4


Danish investment bank Saxo Bank will develop a proprietary feed handler to capture data via the FAST (FIX Adapted for Streaming data) protocol before the end of this year, and will also decide whether to use FAST for outbound distribution of quote data from its trading platform to clients, officials say.
Saxo is developing the new FAST feed handler to support the upcoming launch of FAST-format feeds from Nordic exchange operator OMX and the Chicago Mercantile Exchange. "We have direct connections to both OMX and the CME, so ... it would be to consume data from these sources," says Karsten Strøbæk, lead developer with Saxo. With the CME set to roll out a FAST-enabled feed later this year, the bank is planning to deploy its handler in Q4, Strøbæk says.
By developing a FAST feed handler, Saxo will be able to draw in both exchanges' data via the same interface - though both exchanges will maintain other versions of their feeds. OMX will roll out its FAST feed later this year alongside a new consolidated feed being built by technology partner Cicada (IMD, April 30), and the CME will maintain its proprietary RLC feed until the end of 2008 (IMD, Feb. 19).
Saxo does not yet have any FAST software in production, but has begun an initial test to evaluate how the protocol would fit into its architecture. However, the bank plans to allocate more development resources to the project once CME and OMX are closer to launching their feeds, and expects to complete all development work on the handler in-house. "We built our own FIX library for the message parsing and handling messages," says Strøbæk, who also serves on the Market Data Optimization Group of the FIX protocol's governing body.
Saxo intends to redistribute the data from the exchanges' FAST feeds to internal applications using its own proprietary data distribution platform. "We've built our own push-based system. [The data] is pushed into a central publishing system, so [any] subsystem can then subscribe to it. Everything is [stored] in-memory," Strøbæk says.
Once the FAST feed handler goes live, Saxo will then examine the possibility of distributing its own market data from the bank's trading platforms for equities, foreign exchange, contracts for difference and futures, using the FAST protocol. "We've built our own B2B server that supports trading in several different asset classes ... [so] one possibility would be to use FAST to distribute quotes from the platform," says Strøbæk.


Jean-Paul Carbonnier