Level 2 Market Data Aggregation and Order Matching at a Bank
article4 Aug 2025
Background
A major bank needed a solution to handle substantial trade volumes with ultra-low latency and high-speed order execution. The requirements included reliable Level 2 market data aggregation and storage, advanced order matching and routing capabilities, and seamless connectivity with multiple trading venues to access liquidity.
Challenges
The bank faced several hurdles:
- Managing millions of order requests per hour while maintaining speed and reliability.
- Aggregating and storing large amounts of Level 2 market data for real-time analysis.
- Ensuring efficient internal and external order matching and routing across markets.
- Integrating with multiple venues to access diverse liquidity sources.
Solution
The bank deployed the Ember platform, designed for high-performance trading and data processing. Key features included:
- Real-Time Market Data Aggregation: Efficiently handling large-scale time-series data for detailed analysis.
- Ultra-Low Latency: Processing millions of order requests per hour with minimal delays.
- Custom Order Matching Engines: Optimized for seamless internal and external matching and routing.
- Multi-Venue Connectivity: Providing access to liquidity across global markets.
Results
The Ember platform delivered exceptional results:
- 5,000 active orders managed across several markets on average.
- Over 1 million order requests processed per hour with ultra-low latency.
- Storage and processing of 25+ GB of FIX message logs daily.
- Faster trade execution improved responsiveness to market dynamics and enabled the bank to capture profitable opportunities efficiently.
The solution significantly enhanced the bank’s trading capabilities, ensuring reliable performance, scalability, and a competitive edge in high-volume markets.
