Interview with Wolfgang Eholzer – “One of our core beliefs is that we should offer at least two ways of hooking up to our system,” says Wolfgang Eholzer (pictured), Head of Trading System Design for Eurex.
When it comes to cross-border electronic trading, Eurex Exchange has been a first mover since it was born out of the merger between Deutsche Terminbörse (DTB) and the Swiss Options and Financial Futures Exchange (SOFFEX) in 1998. While its technological capabilities have developed enormously, the ability to provide the right technology to suit different client needs has evolved as well.
Eholzer explains: “We don’t believe that a one size fits all approach is appropriate today. We would either be forcing one group to invest substantially in their technology infrastructure for low latency and high data volumes. Or we would be giving insufficient support to liquidity providers (market makers) in our futures and options market who need to quote in a short period of time.
“We offer two different kinds of interfaces to support clients’ trading requirements. We have clients for whom low latency and highly capacity of the trading platform matter a lot. But we also have other clients, who we value highly, who are more interested in technical interfaces that are simple to integrate and don’t cause large infrastructure spend on their end,” says Eholzer.
Take market data for example. An HFT firm can receive highly granular market data with a good latency profile using a 10 Gbit/s network and trade from a co-location cabinet. But for a manual trader, that wouldn’t make economic sense.
“Consequently, we also offer a stripped down data feed that provides benchmark futures price updates every quarter of a second. This is sufficient for a fund manager who just wants to buy a few Euro-Bund Futures, for example.”
This “dual” approach applies to order management in just the same way as it does to market data feeds. Traders can either leverage a high-speed binary interface, or a standard FIX interface for order management.
By the end of June this year, all Eurex Exchange products will have been migrated to the new trading architecture, which has been live since December 2012. The Exchange has been and will continue to transition products in a stepwise approach. The system is similar to that which was rolled out at International Securities Exchange (ISE) in the U.S. two years ago (ISE is part of Eurex Group since 2007).
As well as offering higher capacity and even lower latency, the new system also offers enhanced functionality. Eholzer says: “It supports considerably more strategy trading on options. You can pick and choose the legs you want with the signature you want. Enhanced implied ins and outs for futures spreads are available as well.”
Also, the availability of a native GUI (Graphic User Interface) to access the new trading architecture means that clients won’t need to have a server installation. All they’ll need is a browser and a Java virtual machine to access and use the GUI.
“We had a big footprint on clients’ premises with the legacy platform, which we wanted to avoid with the new platform,” adds Eholzer. “At ISE (median) latencies are in the order of 200 to 220 microseconds for the order/quote door-to-door latency.”
As for improved capacity, Eholzer notes that they did a load test recently for clients: “Compared to peak market data volumes for futures in the old system, we saw a factor of 13 or 14 more market data points per unit of time. So it’s a major step forward. We have advised our clients that they should calculate an increase of a factor of 10 to 20 on short time scales for market data.”
