Ultra-Low Latency Price Construction Engine for a Canadian Bank
article9 Oct 2025
Background
A leading Canadian bank sought to improve its ability to respond to rapidly changing market dynamics in the foreign exchange (FX) space. Their existing infrastructure, while functional, struggled to handle the increasing volumes of market data, limiting the bank's ability to construct and distribute prices for foreign currency pairs in a timely manner. To maintain a competitive edge and capture profitable trading opportunities, the bank required a high-performance solution capable of processing real-time data with ultra-low latency.
Challenges
The bank faced several key challenges:
- High Volume of Market Data: The existing system could not keep up with the growing influx of price quotes from major liquidity sources worldwide.
- Latency Issues: Delayed price construction and distribution hindered the bank’s ability to respond to market events quickly.
- System Instability: The infrastructure struggled to maintain consistent performance under heavy load, resulting in inefficiencies and missed opportunities.
- Scalability: The system lacked the flexibility to scale with the bank's growing trading demands.
Solution
To address these challenges, the bank implemented a custom Ember-based price construction engine tailored specifically for foreign currency pairs. The solution leveraged Ember's advanced capabilities in processing real-time data to achieve ultra-low latency and high performance.
Key features of the solution included:
- Real-Time Data Processing: The engine was designed to handle over 100,000 messages (price quotes) per second, aggregated from major liquidity sources worldwide.
- Dynamic Price Construction: Each received price quote triggered the engine to construct a new price immediately, ensuring an up-to-date view of the market.
- Efficient Distribution: The constructed prices were seamlessly distributed across the bank’s network using the widely adopted FIX protocol, ensuring compatibility and reliability.
- Enhanced Stability: The Ember-based architecture provided the robustness needed to handle high data volumes without compromising system stability.
Results
Beyond technical performance, the new price engine empowered the bank to adapt quickly to volatile market conditions, improving decision-making and operational efficiency. It also enhanced client satisfaction by providing faster and more consistent pricing, strengthening the bank's reputation as a leader in FX trading. The solution laid the foundation for future innovation, giving the bank the tools needed to scale and evolve with the demands of the financial markets.
