Features

FastMatch runs 3 independent matching engines globally: New York in NY4, London in LD4 and Tokyo in TY3. Matching engines are acting as separate ECNs and emit their own market data, trades, and midpoint values. By default, a customer’s order will not be re-routed to a matching engine in a different region, even if that matching engine has a better price. Customers should contact FastMatch if they would like their orders to be re-routed.

2.1 REGULAR TRADING HOURS

Trading hours are Sunday 17:30 NY time through Friday 17:00 NY time. Maintenance time: Between 17:00 and 17:30 NY time each day. FIX sessions will be disconnected during maintenance hours.

2.2 HOLIDAY TRADING HOURS
2.2.1 December

Trading will be suspended at 17:00 NY time on Friday December 22nd 2017 and re-enabled at 17:30 NY time on Tuesday December 26th 2017.

2.2.2 January

Trading will be suspended at 17:00 NY time on Friday December 29th 2017 and re-enabled at 17:30 NY time on Tuesday January 2nd 2018.

3.1 DAY

Keep an order on a book until cancel is received. If not matched, all open orders will be automatically canceled when session gets logged out at the end of trading day.

3.2 GOOD FOR TIME

An order will stay on a book for a period of time that a client specified in milliseconds.

3.3 IOC*

The order is either partially or fully filled or cancelled.

3.4 FOK*

The order is either fully filled or cancelled. FOK orders will only match vs a single counterparty; they will not match with several counterparties.

* Note: Some clients can be configured to have their IOC and FOK orders not to cancel immediately in case of no fill, but stay on the system for a period of time (Time to Live). In those cases, the liquidity from the IOC/FOK order should be disseminated on the market data feed and the order should be available for matching with other orders.

4.1 MARKET

Market order type will execute the order at the prevailing market rate. Market orders will never execute outside of protective band. Currently the protective band is set to FastMatch midpoint plus/minus the pip value listed at www.fastmatch.com/listings. If there is no liquidity available within the protective band, the market order will be rejected.

4.2 LIMIT

Order will be at the executed at the limit price or better.

4.3 PEGGED

Pegged orders are floating orders that are linked to a reference rate such as midpoint, best bid or best offer.

4.3.1 Pegged To Midpoint

FastMatch calculates and disseminates midpoint value for the top of its entire book. Given that every market data customer receives a customized feed based on its preferences and interaction rules, a midpoint between customer’s best bid and offer might not correspond to the midpoint of the entire platform. Pegged to midpoint order will be floated at FastMatch platform’s midpoint.

4.3.2 Aggressive Pegged

Orders will float with the aggressive side as a reference point. Buy orders will float relative to the best offer on the platform, sell orders will float relative to the best bid on the platform. Clients can specify either ‘PIP Offset’ or ‘% of Spread Offset’ value.

4.3.2.1 PIP Offset

A client can specify offsets of the peg as a PIP. For example, a client can specify aggressive pegged bid with 0.1 PIP offset. The system will float the bid at the best offer available on the platform less 0.1 PIP

4.3.2.2 % of Spread Offset

A client can specify offset as a percent of the best spread on the platform. For example, a client can specify aggressive pegged bid with 10% offset where the spread on FastMatch currency pair is 1.2 PIPs. The system will float the bid at the best offer available on the platform less 0.12 PIP (10% of the current spread).

4.3.3 Passive Pegged

Orders will float with the passive side as a reference point. Buy orders will float relative to the best bid on the platform, sell orders will float relative to the best offer on the platform. Clients can specify either ‘PIP Offset’ or ‘% of Spread Offset’ value.

4.3.3.1 PIP Offset

A client can specify offsets of the peg as a PIP. For example, a client can specify passive pegged bid with 0.1 PIP offset. The system will float the bid at the best bid available on the platform plus 0.1 PIP.

4.3.3.2 % of Spread Offset

A client can specify offset as a percent of the best spread on the platform. For example, a client can specify passive pegged bid with 10% offset where the spread on FastMatch currency pair is 1.2 PIPs. The system will float the bid at the best bid available on the platform plus 0.12 PIP (10% of the current spread.)

4.3.4 Pegged with a Limit

Clients can specify limit price on their pegged orders. FastMatch will never violate the limit price while executing the order. The limit order will serve as a cap on the execution price.

4.3.5 Peg Display options

By default, pegged orders are not displayed. Clients can choose to display their orders to some trusted counterparties or to all counterparties. Clients have to contact FastMatch team for this special set up.

4.4 MINIMUM QUANTITY

Clients that do not want to interact with smaller prints on the other side can enter minimum quantity instruction on their orders. FastMatch will execute customer’s order if a single counterparty exceeds the minimum quantity set.

4.5 ICEBERG

Clients can specify to display none or a portion of their orders to counterparties. This functionality will work with Limit and Pegged and minimum quantity order types.

Random Iceberg will display random quantities each time the FastMatch market changes. A client can specify the minimum, maximum and increment size for random display.

Iceberg quotes (last look) will display none or the portion of the quote to counterparties

4.6 MARKET ON CLOSE

FastMatch will run 23 auctions a day every hour starting at 6:45PM EST and finishing at 4:45PM EST. This order type will enable a client to submit an order to participate in FastMatch auction.

4.7 ADD LIQUIDITY ONLY

Order will only trade with other orders that arrived later. Such orders will not execute against liquidity provider’s quotes (last look).

4.8 MAXIMUM DELAY

A client can specify on every order how long of a maximum delay it is willing to endure while waiting for the answer from a quote provider (last look). The longer a client is willing to wait, the more quote liquidity providers (last look) it can match against.

4.9 ONLY QUOTES

A client can specify to trade only vs quotes (last look) and not orders on a book.

4.10 ONLY ORDERS

A client can specify to trade only vs orders and not quotes.

4.11 LSP (Leak/Sweep Protection)

Leak/Sweep Protection (LSP) order type provides an ability for makers to protect themselves on FastMatch platform when an aggressive taker sweeps across markets. LSP order type also protects taker clients from revealing order information to makers unless that order results in a trade. By using LSP order type, makers can effectively outsource last look function to a neutral venue - FastMatch. This is especially important where taker clients demand no information leakage, yet the maker is able to protect itself against takers’ sweeps. When LSP order type is enabled by a maker, FastMatch will hold the orders from a taker that are attempting to match with the maker’s quote for a specified period of time (hold time). If, during the hold time, the market moves away beyond a specified PIP threshold, FastMatch will reject the order from a taker. Otherwise, FastMatch will send the order to the maker for execution at the original matched price. A maker can select a benchmark for the market movement such as its own quotes, FastMatch midpoint, FastMatch best bid/offer. FastMatch expects makers to execute 100% of orders on the connections where LSP is enabled. Makers can provide price improvement on the execution and can specify the following parameters for LSP order type:


  • Market benchmark:
    • Maker’s own quote movement
    • FastMatch midpoint to midpoint movement
    • FastMatch BBO to BBO – price move of the best bid/offer on the opposite side of the taker’s order
    • Order price To FastMatch BBO – price move of the order price compared to the best bid/offer on the opposite side of the taker’s order
  • Hold time (in milliseconds)
  • Tolerance benchmark movement in PIPs per currency pair
  • Minimum hold time – the time that the benchmark is allowed to be outside of the tolerance zone
  • Immediate reject upon breach of the tolerance or reject at the end of the hold time
  • Net or Gross DSL and NOP limit (for fully disclosed clients)
4.12 P&L PROTECTION

FastMatch P&L protection provides real time P&L monitoring for liquidity providers with an automated way to limit losses if a taker client suddenly becomes not profitable. P&L protection allows a liquidity provider to set a USD P&L daily limit that it is willing to lose versus any particular taker or a number of takers. P&L protection will automatically block a taker from interacting with the stop crossing a taker with a liquidity provider if that would cause the liquidity provider to exceed the loss limit.

4.13 CONVERSION OF QUOTES TO ORDERS

FastMatch offers to liquidity providers the ability to convert their quotes into orders. The conversion helps liquidity providers constrained by IT resources to place orders on FastMatch’s central limit order book. Liquidity providers that opted for the conversion of their quotes into orders, have to accept 100% of trades for FastMatch

4.14 ALGORITHMS AND TCA

FastMatch offers execution of large orders algorithmically via API, GUI and Credit Suisse AES suite of products. FastMatch offers three algorithm choices: Patient, Normal and Aggressive. Once the algorithmic order is completed, FastMatch will automatically generate and deliver to the client the Transaction Cost Analysis (TCA) report

4.15 IOC-to-POST

The FastMatch platform incorporates a configurable feature that provides taker clients an ability to improve their fill rates by converting an unfilled IOC order into a short duration Day order that is posted on FastMatch’s platform and is displayed to other participants. Clients can choose a particular time period or a randomized time period within a range for an unfilled IOC order to be posted on FastMatch’s platform.

FastMatch is using flexible matching logic to match orders and quotes. If there are two orders at the same price, the larger size wins the entire counterparty order; there is no pro-rata allocation. When sorting by price, orders are sorted according to their limit price; quotes (last look) are sorted according to their adjusted limit price. FastMatch adjusts quotes’ prices according to its flexible matching logic. FastMatch adjusts prices of quotes only for priority sorting purposes during the match. Such adjustments are not reflected in the prices FastMatch disseminates in the market data. Flexible Matching is an adjustment mechanism of adjusting quotes’ prices based on liquidity provider’s fill rate, response time and market impact. The fill rate is how often a liquidity provider accepts vs. rejects a trade from FastMatch. Response time is how quickly a liquidity provider accepts or rejects a trade. Market impact is how far the market moves in the direction of the taker once the taker’s order was sent to a liquidity provider. The fill rate, response time and market impact information is recorded by FastMatch every time a maker and a taker interact. This information is used in the new matches to adjust the quote price of the makers that provide poor fill rates, long response times and large market impact. The adjusted price is then used only for sorting purposes during the match.

FastMatch offers market data in FIX 4.2 and Binary format. Fastmatch is able to send market data in FIX incremental snapshot or full snapshot. Here are some features of FastMatch market data:

6.1 REAL TIME

FastMatch disseminates bids and offers in real time with no delays. FastMatch will only show quotes of counterparties a client can trade with. By default, FastMatch will not show crossed markets to a client. It will uncross them by removing the older quote. If a client does not want this function, it needs to contact FastMatch support. Quotes will show whether the originator of the quote is an order vs a quote (last look) provider. For quotes originated by Last Look providers, FastMatch shows the maximum time the provider has to respond.

FastMatch can limit the amount of quotes sent in the following ways: showing aggregated quotes at the same price level; showing only selected number of quote levels; showing only X number of the biggest orders at each price level; throttling quote updates to defined times a seconds.

6.2 TRADES

Fastmatch will report the real time deals for the entire platform with prices and sizes of the deals. If the trade is done vs a quote (last look), the liquidity provider accept trade time is populated.

6.3 MIDPOINT

FastMatch will calculate the midpoint based on its top of the book. FastMatch will publish the midpoint value updating every millisecond.

FastMatch offers a number of protections to customers.

7.1 CANCEL ON DISCONNECT

When connection is broken all active orders left in the system cancelled immediately. Client receives ‘cancel’ messages after reconnect.

7.2 SEATBELT PROTECTION

Seatbelt protection protects FastMatch from executing trades at off market rates. Currently the protective band is set to FastMatch midpoint plus/minus the pip value listed at www.fastmatch.com/listings.

7.3 FAT FINGER CHECK

Fastmatch will reject orders exceeding 300 million.

7.4 PRE-TRADE LIMIT CHECK.

All orders are pre-trade credit checked.

Fastmatch will warn User or Prime Broker, where applicable, of utilization of limit at chosen alert level. 70%, 80% & 90% utilization alerts are available. Orders that would give rise to breach of limit available will be rejected.

7.5 EXCESSIVE QUOTING

FastMatch will ignore quote provider quotes if they exceed predefined, configurable levels. For instance this levels could be defaulted to 30 updates per pair for G4, and 15 updates per second for other pairs with a total setting 500 updates for all pairs per second per client.

7.6 EXCESSIVE ORDERS

FastMatch will reject new orders if a client has more than 100 orders open for the same currency pair.

7.7 EXCESSIVE ORDERS

If a provider rejects multiple times consecutively, FastMatch will assume that a provider has technical difficulties and will take out their quotes from the match. For example, if a provider rejects 5 times consecutively, FastMatch will ignore provider’s quotes for 30 seconds, if a provider rejects 10 times for 1 minute, 20 times for 8 minutes and so forth. FastMatch will automatically disable a quote (last look) provider and send an email if a provider takes more than maximum allowed response time.

ManageMatch is the aggregation system that allows creating a unique market for every client/currency pair. ManageMatch system is used internally by FastMatch liquidity management to configure a proper liquidity for the client. The system can also be white labeled to clients as an aggregator service.

Fastmatch has two GUIs available that are provided by TradAir and Celer Technologies. GUIs can be used as a white label aggregator platform in conjunction with ManageMatch.

FastMatch is integrated with Traiana Harmony, Traiana Netlink, Traiana CreditLink, Markitserve and offers FIX drop copy.

The SafeMatch auction is open to buy-side and sell-side participants

AES: Any client with access to the AES FX suite of algorithms can submit orders to the SafeMatch Auction

FIX: By specifying the Market on Close order type a FIX connected client can enter orders into SafeMatch Auction

Orders can be submitted and cancelled up to the auction start at 3.55pm London Time

11.1 CURRENCY PAIRS AVAILABLE

All currency pairs are available

11.2 AUCTION START TIME

3.55pm London Time (10.55am Eastern Time), match results known in less than 100 microseconds after auction start.

11.3 AUCTION METHODOLOGY

After auction close at 3.55pm London Time, orders are matched in size/time priority. Only market orders are supported at this time. Clients will know what is matched at and will also know what their imbalance is at 3.55PM London Time plus 100-500 microseconds.

11.4 AUCTION PRICE CALCULATION

An average rate is calculated utilizing midpoint between the best bid and best offer on FastMatch for all quotes over the duration of the auction calculation window as a simple average over the auction calculation window time.

11.5 AUCTION CALCULATION WINDOW

Auction calculation window begins at 3.57.30 PM London Time and ends at 4.02.30 PM London Time for all currency pairs.

There is a gap of 2.5 minutes between the auction close/match at 3.55 PM London Time and the start of the Auction Price Calculation.

Clients will receive the price for their matched orders at 4.02.30 PM London Time.

11.6 IMBALANCE HANDLING

Option 1: Have imbalance canceled back

Example: Client A submits buy 100 million, Client B submits sell 50 million. Client A opts for cancel back of imbalance. Client A receives a fill for 50 million at the average rate over calculation period, and receives “nothing done” for 50 million

Option 2: Imbalance is executed by an algorithm.

FastMatch will execute the imbalance via a proprietary algorithm. The algorithm will only work the imbalance size during the calculation window. The objective of the algorithm will be to complete the entire imbalance quantity during the calculation window.