Case Study – FX Market Making Infrastructure


The bank wanted to upgrade its existing FX trading infrastructure with the following objectives:

  • Lower latency
  • Higher volume of transactions
  • Lower total cost of application and infrastructure
  • Store all price data from multiple liquidity providers and ECN’s
  • Develop hedging and market making strategies, back test, optimise and implement on the same codebase
  • Increase profit per pip from client trades and market making.
  • Lower risk with faster hedging
  • Increase customer satisfaction
  • Increase share of global FX market
  • Maintain key development, especially IP, in house


Stage 1: Proof of concept during non farm payroll announcements. Tests were conducted processing 150,000 orders over a 4 hour period; 10,000 messages per second with a median time of 25 microseconds.

Stage 2: The build and delivery of custom components for the bank’s workflow and integration with its existing credit, risk  and back office systems. This involved teams from Deltix and the bank working closely to agree requirements and conduct user acceptance testing as the phased deliveries were made. This phase also included training and configuration of the production hardware.

Stage 3. Limited live production. This was achieved within 6 months

Stage 4. Full production. Within a year the bank was in full production trading FX in all time zones with its increasing global client base.

Products Deployed

This solution:

  • covers the entire “tick-quote, publishing-order (client and internal) flow management, position hedging, FX market making” workflow
  • enables complete visibility and transparency for decision making in all steps of this workflow. This visibility is available in both graphical form where the minutest details of market, quote and order activity are displayed, and code form where users can easily read through the steps of the code and make changes
  • allows thorough research and back testing of all the details in this entire workflow (this is unique and a real advantage)
  • Deltix supports seamless “research to production” deployment; in other words the strategies and hedging plans the bank develops (this is the bank’s IP and they control access) and test are deployed to production using exactly the same codebase
  • uses rich and battle-tested award winning Deltix technology
  • is a low latency high volume system; during our last formal experiment for approximately 150,000 orders (a little more than 4 hours with 10 orders per second) generated from input data flow (10,000 messages per second) we collected the following statistics for tick-to-order latencies:
    • Mean: 26 microseconds
    • Median: 25 microseconds
    • Quantile 99.00%: 36 microseconds
    • Quantile 99.90%: 79 microseconds
    • Quantile 99.99%: 399 microseconds

The Results

  • Lower total costs for infrastructure and hosting (Deltix high performance products have a small hardware footprint)
  • Lower internal costs (Deltix systems need fewer skilled people to manage them)
  • Higher profit per client trade: increased P&L per pip
  • Higher profit from market making activities: increased P&L per pip
  • Lower risk (sophisticated risk interface)
  • Higher customer satisfaction (fewer trades rejected due to better pricing)