Moscow Exchange has rolled out a new high-speed derivatives market data feed, SIMBA

October 20, 2021 - Moscow Exchange has rolled out a new high-speed derivatives market data feed, SIMBA. The service allows clients to receive market signals faster than all previously available connectivity methods.

The service speed is ensured by a newly established software interaction between the SIMBA gateway with the central component of the trading system, and a high-speed segment of the network infrastructure designed specifically for transmitting large volumes of data to multiple recipients in real time.

The new service implements the "Public Data First" principle (public market data is made available faster than private data) and eliminates the need to use multiple sources simultaneously to obtain market signals. The protocol is based on the modern Simple Binary Encoding, which significantly speeds up the process of obtaining and processing market data by clients' trading algorithms. Similar technologies are successfully used at the largest exchanges worldwide, supporting the trend of development of high-tech client trading systems.

The new service, combined with the TWIME trading protocol, delivers an optimal IT solution for clients whose trading strategies are extremely sensitive to the speed of market data feed and order entry latency.

The new SIMBA SPECTRA interface is designed to provide MOEX Co-location clients with the fastest public data feed of the Derivatives market. The service is recommended for low latency trading and HFT in a combination with TWIME trading interface.

Key Features:
  • the fastest solution to receive market data directly from SPECTRA trading platform - faster than FAST Full order Log (FAST FOL) in the vast majority of cases: 99,5% (preliminary internal measurements);
  • reduced latency: median value is about 20 microseconds* lower than FAST Full Order Log (FAST FOL);
  • "Public Data First principle": minimized latency arbitrage between public and private market data sources. No practical need to discover price movements through TWIME execution reports anymore.

Functionality:
  • The service disseminates the full order log except off-book (technical) clearing trades and IOC order misses. Dataset specially designed to meet ultra-low latency and HFT clients` needs. For users' convenience SIMBA Gate also broadcasts security definitions;
  • The new best prices are published in the very beginning of a transaction - there is no need to process all the order book events one by one to find the new final order book state;
  • Protocol is based on FIX Simple Binary Encoding - decoding friendly data representation for faster reaction to market signals. Especially valuable for FPGA-based systems.

Implementation details:
  • direct connection of SIMBA Gate to the Matching ensures lower latency compared to FAST FOL and TWIME;
  • the new dedicated network in MOEX Co-location eliminates traffic interference with trading and auxiliary services.
  • More information on service implementation details and architecture