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“Flash Boys†– Rigged or Imperfect?
David Mercer, LMAX Exchange CEO, shares his thoughts on the recent book release of “Flash Boys†and the sensationalist views expressed by its author Michael Lewis. David Mercer comments, algorithmic execution is a part of high frequency trading (HFT) and that all market makers and exchanges engage in HFT. Exchanges are very transparent venues with everyone having a choice as to whether they trade there or on another venue, and the notion that an author has uncovered rigging in the markets is false.
David Mercer, LMAX Exchange CEO, shares insights.
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Safer & more efficient markets following 2013 – 2014 regulatory changes?
LMAX Exchange CEO, David Mercer comments on whether the markets are safer and more efficient following the regulatory changes seen in 2013 and at the start of 2014. David Mercer suggests the full effect is still yet to be seen, however trade reporting and central clearing can make the markets safer and more efficient if […]
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Greater Transparency through Randomisation?
LMAX Exchange, CEO, David Mercer shares his thoughts on the recent news on how the randomisation of an order book leads to greater transparency.
David Mercer comments the efficiency of randomisation might be perceived as a short term solution to greater transparency, however randomisation is not practised in any of the major global exchanges and experience to date dictates clients do not want their order filled randomly.David Mercer, LMAX Exchange CEO, shares insights.
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Fast growth – LMAX Exchange
Latency is a big deal for trading in FX and other financial instruments for that matter. At LMAX Exchange fast and consistent execution is really important for our clients – as are our unique vision of a level playing field for buy and sell side, transparency and fairness. Speed of trade execution is really important […]
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LMAX Exchange Android app
Fast, mobile access to LMAX Professional is now available via Androidâ„¢ – joining our suite of iPhone®, iPad® and Blackberry® apps and enabling clients to:
- access real-time prices/market movements for all LMAX Professional instruments
- view the market depth (the only iPad and Android apps showing depth)
- open, close and manage positions on the move
- monitor account balance
Our iPad and Android apps integrate seamlessly with LMAX Professional, and deliver traders low latency, exchange quality execution and a variety of unique features to enhance trading experience:
- interactive charting of instrument prices with scrolling, panning and pinch to zoom
- social media interaction
- multilingual interface: English, French, Italian, Chinese, Japanese (more soon)
The app is free to download and use with your LMAX Professional account.
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How much market data can you really eat?
My team was constantly explaining to partners/clients how the combination of our message rate + their distance from LMAX Exchange + their 20 levels of depth request + their bandwidth = can create a terribly congested pipe for their session with LMAX Exchange which in turn would result in a very poor experience for them.
Unfortunately, we had to spend many hours trolling through our very detailed FIX logs as well as requesting TCP logs from our IS colleagues in order to get the data we needed in a format that clearly explains and documents this experience so that we can be more precise with our explanations. The FIX logs allow us to review the timestamps from the time LMAX Exchange creates the FIX market data message to the timestamp of when it is put on the wire.
This gives us a clear idea of whether there is a significant delay in getting the message out of LMAX Exchange to the client. The TCP logs then give us the details of the client’s TCP window size and we can use this value to identify that when we see a TCP Window Size returned to us in a rapidly diminishing value then this clearly points to the client being unable to process our messages quickly enough. These messages end up backing up on our side waiting to be sent in the next TCP packet where the window size was !=0
Obviously, if a client is far away from LMAX Exchange then it will take longer to send and receive messages. Since most clients connect to LMAX Exchange via the Internet, if they are far away from LMAX Exchange then the chances of having messages dropped is significantly higher. If a client is,
- geographically distant from LD4 (LMAX datacentre)
- requesting 20 levels of depth
- subscribed to ALL LMAX instruments
then it is highly improbable that all those messages will actually make it to the client. On top of this, his business logic will be unable to process the huge number of messages that he does receive so the messages will start to get backed up on the LMAX Exchange side waiting to be sent.
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Swarming
Over the years there has been much lively debate over what constitutes best practise in software development. Whilst this is a topic that people clearly feel strongly about and one that has received a lot of attention there has never really been an industry wide consensus on the subject. Given that people have been developing software in one form or another for nearly eighty years (or considerably longer if you include people that lacked any working hardware on which to run it) you’d think we’d have figured out how to do it by now. The reason we haven’t, probably has something to do with the fact that different situations have different needs and that those needs evolve over time. Individual taste, fashion and the desire of pundits to sell more books may also be implicated. The relentless grind of technology change is probably a relatively minor factor.
“ Here at LMAX Exchange we use a number of software development practises that work very well for us. Many of these we pretty much use all the time. Others are employed frequently if a little more selectively. One practise that falls into this category is swarming. †-
We’re hiring!
LMAX Exchange is currently looking for a few more, really good, senior developers to join our truly amazing technology team. LMAX Exchange is a fantastic place to work, so check out our careers page and (unless you’re a recruitment agent) get in touch – we’d love to hear from you.
Fact is, we’ve been recruiting pretty much non-stop for quite a while now. We put a lot of energy and care into making sure we find the right people, but it’s equally important that LMAX Exchange is the right move for any prospective candidate.
In terms of skills and experience, we’re not really that prescriptive. Basically, you simply need to be an exceptionally talented developer who is also intelligent and willing to learn. Pretty much regardless of what you already know, there is a lot to learn and quickly – but that also needs to be a big part of the attraction of the role.
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Are Connectivity Options Limiting your Choice of Liquidity Providers?
So you need a liquidity provider? Your team has been approached by numerous LPs all pretty much offering the same commercial deal, so how do you choose? Let’s say you go down the path with one particular LP and after some tough negotiations you reach a commercial agreement you are both satisfied with. Now it […]
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Taming configuration complexity
LMAX Exchange is a sophisticated piece of technology and it comprises a reasonable number of moving parts that have been assembled with a lot of love and care. As is the case with most non-trivial IT solutions, much of how the exchange is put together and also how it behaves is controlled by a large […]
TCA and fair execution.
The metrics that
the FX industry must use.
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