High-Frequency Trading Platform for Indian Prop Trading Firm
Case study

High-Frequency Trading Platform for Indian Prop Trading Firm

The Client

An industry veteran, the client set its sights on further expanding its investment offerings to include everything from equities to derivatives to government bonds. In 2010, they set out to launch a world class prop trading business. As of 2021, the company is widely recognised as one of the leading players on the Indian capital market. 

Business Challenge

The client obtained a license from the National Stock Exchange of India (NSE) with plans to start a proprietary trading business. The client needed a trading platform that would work seamlessly with select NSE segments:

  • Equities 
  • Index Futures 
  • Index Options

The platform needed an interface that would allow traders to execute strategies and monitor  their performance. The client wanted to employ numerous High-Frequency Trading (HFT) strategies of which trading speed is paramount. The solution needed to maintain a list of passive arbitrage strategies including:

  • Futures-to-futures
  • Conversion-reversal
  • Volatility 

The solution also needed to maintain active bidding strategies, namely, cash-futures arbitrage. Overall, futures-to-futures was the most lucrative and competitive. The HFT strategies were submicrosecond-level sensitive, so the platform required ultra-low latency software. The client approached Devexperts with the project, requiring their expertise and experience in delivering lightning fast, reliable and secure technology solutions to the capital markets industry.

Solution

Devexperts undertook comprehensive, methodical and evidence-based research on modern approaches to HFT technology across the industry and in India. A minimum viable product (MVP) was developed to test all hypotheses as a series of experiments over the course of 1 year. During the research phase, Devexperts was able to refute many common theories. For example, prior to the project, It had been widely believed that the early connection to the Quote engine generated faster quotes. Devexperts proved that wasn’t the case and began searching for a better solution.

Devexperts ended up building the client much more than a run-of-the-mill HFT solution. After painstaking R&D and iterations, the client was presented with a sophisticated, customised HFT powerhouse that can be divided into two core components: 1) an Indian-based NSE collocation and 2) a Devexperts OMS module. The solution comprised the following technologies:

  • NSE Tap. A Trading Access Point facilitates IT Infrastructure consolidation and routes the orders and trades between the Client and Server in an optimized protocol.
  • NSE (Tick-by-Tick) TbT receiver. This is the market data receiver application over the NSE TbT protocol.
  • HFT core
  • Memory
  • HFT FIX gate. This is the gate that receives strategies through the FIX protocol.
  • QD gate. This is the library that sends quotes back. 
  • dxCore server
  • OMS Database
  • Quote multiplexor
  • Dealer. This is the interface on which a client’s traders can set up and execute a strategy. 
  • Local admin. This is the dxPro interface that shows information about accounts, trades and strategies.
Deployment architecture with Devexperts and NSE
Deployment architecture

Devexperts considered many different ways to minimise latency and focused on significantly improving the speed. The final techniques used to optimise speed included:

  • Customizing the TCP stack parameters;
  • Binding thread to the CPU Core (CPU affinity);
  • Customizing the TCP for the localhost;
  • Boosting the server frequency;
  • Removing the system jitter; and
  • Customizing the cache line usage and context switches.

The end solution fully complied with all Indian laws and regulations, including NSE rules.

Devexperts used many tools throughout development. The emulator was written using the Erlang programming language. The algorithmic engine was written in pure С language to avoid nonlinear latency spikes, which can be caused by languages containing a Garbage Collector. 

The hardware and SDK aspect included:

  • Mellanox and WMA
  • Solarflare and OpenOnLoad

Results

Devexperts took on the project with vigour and dedication, conducting thorough research and analysis, implementing the MVP and successfully launching the high-frequency prop trading platform. Devexperts’ engineers, testers and developers approached the project from an industry best practices framework to deliver a highly competitive HFT solution to the client. Not long after the platform made its market debut, it’s features became widely recognised as having comparable speed to those of the client’s main competitors. 

Upon project completion, Devexperts identified room for further development and advised the client accordingly. Cooperation between the client and Devexperts continues today and the client is now ranked among the top-three Indian stock trading companies.

To learn more about Devexperts, our expertise and other projects, visit the main case studies page.