FX Aggregation
Dispersed liquidity amongst multiple FX venues leads to an increase in trades, a decrease in order sizes, and makes it extremely difficult to gain complete market visibility. This results in inefficient executions and higher execution costs.
Both buy-side and sell-side FX trading organizations need tools to:
- Create aggregated FX price books displaying top of book and depth of book
- Find arbitrage opportunities across multiple FX market venues
- Send orders to the FX venues offering the best spread
FX Aggregation Webcast
Requires Flash 9 or higher
StreamBase provides pre-built connectivity to existing major FX market data feeds and allows you to ingest and normalize data from multiple venues. StreamBase also allows you to abstract order syntax and semantics and create a consolidated order book showing top of book and depth of book.
The StreamBase FX Aggregator includes five core components:
Market Data Feed Handler
The StreamBase FX Aggregation Framework interfaces with any market data feed and supports multiple data formats and protocols. It normalizes and consolidates data from multiple feeds and filters data to focus on markets, symbols, and events of interest. It also provides the ability to construct a level 2 order book of the entire FX market.
Execution Algorithms
The StreamBase FX Aggregation Framework incorporates client designed algorithms and provides each algorithm with access to liquidity snapshots. The StreamBase platform can also integrate data from other asset classes and other data sources to drive algorithms.
Venue Consolidation
The StreamBase FX Aggregation Framework receives market data in the form of streams. As data flows through the system it identifies changes and updates the in-memory order book, aggregating all data to produce a complete, continually updating view of the entire market including depth. The FX Aggregation Framework holds its aggregate view in memory, enabling instant reference for execution strategy implementation.
The StreamBase FX Aggregation Framework integrates with any market data source and is currently in production consuming and consolidating numerous separate market data feeds. Some of the FX venues that StreamBase can connect to out-of-the-box include:
- Currenex
- Goldman Sachs Electronic Trading FX
- UBS Fx2B
- Hotspot FXi
In addition StreamBase supports market data from Bloomberg, Thomson Reuters and many other data providers. And because the FX Aggregation Framework is built on an event stream processing engine it is capable of handling extremely high market data volumes.
Full Product Download
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