MFIX Market Data Multicast

The group of MICEX, exchange structure in Russia and the CIS countries, and EPAM Systems company, the developer of the project (custom) software in Central and Eastern Europe, completed in the summer of 2011 creation of the MFIX Market Data Multicast system. Its implementation will allow clients of MICEX - broker and investment companies - to obtain market data on the course of exchange biddings in a FAST format under the UDP protocol in the multicast mode. At the same time the speed of providing the necessary information increases and the existing limits for the number of the companies which are at the same time serviced by MICEX are lifted.

Now for dissemination of market data on the course of biddings in a FIX format on MICEX the solution MFIX Market Data developed in 2009 by EPAM Systems company is used. Information (including – short characteristic of a financial instrument, the current values of quotations, data according to requests and transactions, etc.) is provided by means of TCP connection on an individual subscription. It limits the maximum number of at the same time serviced clients as for each of them – even at a request of identical information – the separate copy of data forms and goes. To improve quality of service for clients and to increase efficiency of use of computing and network resources, on MICEX the decision on creation of the MFIX Market Data Multicast system was made. The project was implemented by specialists of Competence center in financial markets which is a part of EPAM Systems company.

System operation of MFIX Market Data Multicast is based on application of the FAST format - it is the version of the FIX protocol (the international standard for information exchange and commission of transactions in the currency, urgent and share markets) adapted for stream transfer of market data. Due to its use it is possible to optimize electronic exchange of financial information. The choice of UDP as the transport protocol allows to deliver data to users with the minimum delay. Use of multicast technology gives the chance to create the reference data streams identical to all clients. As a result process of receiving by clients of MICEX of information on the course of biddings becomes more convenient and operational, and the speed of delivery of data is defined only by link quality of communication between the client and MICEX.

According to the vice president of MICEX Alexander Shlyappo, the software products on the basis of the FIX protocol developed by EPAM company proved as reliable and qualitative solutions. "Most the large companies – distributors of information on the course of biddings of Group of MICEX transferred work of the systems to the FIX protocol. Development of the MFIX Market Data Multicast service, essentially new to Group of MICEX, working by the principle of the immediate publication of data on events in the Trade and Clearing System of Group of MICEX allows to lower considerably delays of obtaining market data for a wide range of our clients. It is sure that this service will meet expectations of our clients in the conditions of very rapid growth of volumes of market information and requirements to time of its publication" - he told.

Artak Oganesyan, deputy CEO for business development, EPAM Systems company: "We are proud of the opportunity given us again to apply experience and knowledge which were gained in a work progress with domestic and western exchange structures and financial companies, in the project for Moscow Interbank Currency Exchange. The solution developed by EPAM together with IT department of the customer allows to strike with one shot two targets. On the one hand, it helps MICEX to provide more convenient and flexible service for the companies and opens additional opportunities for involvement of new clients. On the other hand – allows MICEX to lower load of the IT equipment and it is more productive to use the existing resources. It will be possible estimate advantages which will be brought by use of MFIX Market Data Multicast already during public testing of this system. I will note that similar practice was approved earlier by MICEX and EPAM at development and deployment of the MFIX Transactional application. And, as showed this experience, carrying out such tests guarantees further reliable and productive use of the created solutions".

Start of MFIX Market Data Multicast in commercial operation is planned for September, 2011. For check of ability to integrate the software of clients and the MFIX Market Data Multicast system since July 4, 2011 of MICEX and EPAM begin public testing of a new solution. To take part in testing, it is necessary to send the request in a free form to the address soft-support@micex.com (to specify MFIX Market Data Multicast in a subject of the letter). Interface description of a system is available on the website of MICEX to the address: http://www.micex.ru/services/marketdata/software/fix. After completion of testing MFIX Market Data Multicast will earn in the full-scale mode.