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The Trading Mesh

How FIX Protocol Limited is Evolving with the Growth of Computerized Trading

Fri, 18 Mar 2011 03:47:00 GMT           

Kevin HoustounAn Interview with Kevin Houstoun 


In this interview for the High Frequency Trading Review, Mike O’Hara talks to Kevin Houstoun, who Co-Chairs the FIX Protocol Limited Global Technical Committee. Kevin is also Chairman and Co-Founder of Rapid Addition (www.rapidaddition.com), a provider of ultra low latency trading infrastructure components, and sits on the Lead Expert Group of the UK Treasury-sponsored Foresight Project “The Future of Computer Trading in Financial Markets”.

 

High Frequency Trading Review: Can you start by telling us a bit about your own background?


Kevin Houstoun: I got into FIX by accident really. I was working at Robert Fleming in the mid-90’s, where among other things, I helped them look at technology they were thinking of using or investing in.

 

They asked me to take a look at this very emergent standard called FIX (Financial Information eXchange), version 2.7 had just been released in the US. They wanted to know if there was any future in it, should they be involved, etc. So we looked at it and we came to the conclusion that it was indeed technology with a future, provided it could somehow gain more widespread adoption and much wider support. So we wrote a FIX engine and gave it away as a kind of teaching aid, to encourage adoption. At the same time I also got involved in the forerunner of FIX Protocol Limited (FPL), the industry association that owns, maintains, develops and promotes the FIX Protocol.

 

From Robert Flemings I moved to Salomon Brothers and helped them set up their electronic trading team, here I worked alongside Kevin Bourne, who went on to run electronic equities trading at HSBC for a number of years. Then I set up Rapid Addition with Clive Browning, who I knew through the FIX world because he had taken the FIX engine that we gave away at Robert Fleming and “productized” it.

 

HFTR: What does Rapid Addition do exactly?


KH: Rapid Addition builds FIX engines and all sorts of things that sit on top of FIX engines. We have a range of products, including RA-Cub, which is really there to satisfy that part of the market that doesn’t need high performance and isn’t in the high frequency trading space, it just needs a FIX engine. We then have RA-Cheetah, which is almost orders of magnitude faster, so it’s capable of listening to market data, making a very basic decision and sending out a FIX order message based on that decision in under 25 microseconds in a 1 GHz network environment, and under 15 microseconds in a 10 GHz environment. Clive’s written a number of FIX engines now and he’s really quite good at it, plus we invest heavily in research and development and that helps to keep us ahead of the pack in terms of performance. Our current biggest project is connecting the markets of Columbia, Chile and Peru together in Latin America to provide a single point of presence for equity order routing into the West Coast of Latin America.

 

HFTR: As well as being Chairman of Rapid Addition, you also Co-Chair the FPLGlobal Technical Committee. What do you see as some of the main impacts of the growth of high frequency trading & low latency automated trading on the evolution of FIX?


KH: Well, there are a number of things, which we’re addressing with various FPL working groups. There’s the FIX Inter-Party Latency Working Group for example, which is addressing the fact that there are lots of vendors out there making claims around latency, but there are no standards behind these claims, so there’s no consistency to them.

 

I’ve just made a claim myself, in fact. I told you that we can do something in 15 microseconds. But unless I sent you the white paper detailing exactly what we are doing, you’ve got no way of knowing exactly what I am measuring.

 

What the FIX Inter-Party Latency Working Group is doing is trying to come up with objective standards around how we do those measurements, as well as standards for how we exchange that information. So if we define latency as being from point A, via points B, C & D to point E and you’ve got a measurement from A to E, you know exactly what it is. And if you’ve got a measurement from A to C and another measurement from C to E, you have standards to allow you to combine those two measurements easily, so that you can actually see, if you assemble those two bits, what your A to E measurement will be.

 

That’s the essence of the FIX Inter-Party Latency Working Group, which has recently started doing some end-to-end testing, with TS Associates, Corvil and Pantor Engineering as the first firms involved in that test. They’ve literally just started on a simulation of various environment setups, so that they’re measuring latency between a number of different countries and so on.

 

HFTR: And will this working group develop standards across all market particpants, buy-side, sell-side, exchanges, etc?


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